scholarly journals Stationarity and Ergodicity for an Affine Two-Factor Model

2014 ◽  
Vol 46 (03) ◽  
pp. 878-898 ◽  
Author(s):  
Mátyás Barczy ◽  
Leif Döring ◽  
Zenghu Li ◽  
Gyula Pap
Keyword(s):  
Stationary Distribution ◽  
Factor Model ◽  
Two Dimensional ◽  
Affine Process ◽  
Stationary Distribution And Ergodicity ◽  
Coordinate Process

We study the existence of a unique stationary distribution and ergodicity for a two-dimensional affine process. Its first coordinate process is supposed to be a so-called α-root process with α ∈ (1, 2]. We prove the existence of a unique stationary distribution for the affine process in the α ∈ (1, 2] case; furthermore, we show ergodicity in the α = 2 case.

scholarly journals Stationarity and Ergodicity for an Affine Two-Factor Model

2014 ◽  
Vol 46 (3) ◽  
pp. 878-898 ◽  
Author(s):  
Mátyás Barczy ◽  
Leif Döring ◽  
Zenghu Li ◽  
Gyula Pap
Keyword(s):  
Stationary Distribution ◽  
Factor Model ◽  
Two Dimensional ◽  
Affine Process ◽  
Stationary Distribution And Ergodicity ◽  
Coordinate Process

We study the existence of a unique stationary distribution and ergodicity for a two-dimensional affine process. Its first coordinate process is supposed to be a so-called α-root process with α ∈ (1, 2]. We prove the existence of a unique stationary distribution for the affine process in the α ∈ (1, 2] case; furthermore, we show ergodicity in the α = 2 case.

Exponential ergodicity of an affine two-factor model based on the α-root process

2017 ◽  
Vol 49 (4) ◽  
pp. 1144-1169 ◽  
Author(s):  
Peng Jin ◽  
Jonas Kremer ◽  
Barbara Rüdiger
Keyword(s):  
Parameter Estimation ◽  
Factor Model ◽  
Estimation Problem ◽  
Two Dimensional ◽  
Dimensional Model ◽  
Parameter Estimation Problem ◽  
Exponential Ergodicity ◽  
Model Based ◽  
Defaultable Bonds ◽  
Two Dimensional Model

Abstract We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called α-root process, which generalizes the well-known Cox–Ingersoll–Ross process. In the α = 2 case, this two-factor model was used by Chen and Joslin (2012) to price defaultable bonds with stochastic recovery rates. In this paper we prove exponential ergodicity of this two-factor model when α ∈ (1, 2). As a possible application, our result can be used to study the parameter estimation problem of the model.

The stationary distribution and ergodicity of a stochastic mutualism model

2018 ◽  
Vol 68 (3) ◽  
pp. 685-690 ◽  
Author(s):  
Jingliang Lv ◽  
Sirun Liu ◽  
Heng Liu
Keyword(s):  
Stochastic Model ◽  
Stationary Distribution ◽  
Sufficient Conditions ◽  
Ergodic Property ◽  
Model Simulations ◽  
Analytical Results ◽  
Stationary Distribution And Ergodicity ◽  
Mutualism Model ◽  
Mutualism System

Abstract This paper is concerned with a stochastic mutualism system with toxicant substances and saturation terms. We obtain the sufficient conditions for the existence of a unique stationary distribution to the equation and it has an ergodic property. It is interesting and surprising that toxicant substances have no effect on the stationary distribution of the stochastic model. Simulations are also carried out to confirm our analytical results.

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