Matyas Barczy, Leif Doering, Zenghu Li, Gyula Pap
Published 2013-02-11, updated 2013-09-25Version 4
We study the existence of a unique stationary distribution and ergodicity for a 2-dimensional affine process. The first coordinate is supposed to be a so-called alpha-root process with \alpha\in(1,2]. The existence of a unique stationary distribution for the affine process is proved in case of \alpha\in(1,2]; further, in case of \alpha=2, the ergodicity is also shown.
Comments: 28 pages; the title has been changed; a mistake in the proof of Theorem 4.1 has been corrected
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