{
  "id": "1302.2534",
  "version": "v4",
  "published": "2013-02-11T17:05:31.000Z",
  "updated": "2013-09-25T06:45:43.000Z",
  "title": "Stationarity and ergodicity for an affine two factor model",
  "authors": [
    "Matyas Barczy",
    "Leif Doering",
    "Zenghu Li",
    "Gyula Pap"
  ],
  "comment": "28 pages; the title has been changed; a mistake in the proof of Theorem 4.1 has been corrected",
  "categories": [
    "math.PR",
    "q-fin.CP"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v4",
      "updated": "2013-09-25T06:45:43.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J25",
      "37A25"
    ],
    "keywords": [
      "factor model",
      "unique stationary distribution",
      "ergodicity",
      "stationarity",
      "affine process"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 28,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1302.2534B"
    }
  }
}