Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion

Peng Jin, Barbara Rüdiger, Chiraz Trabelsi

Published 2015-01-15Version 1

In this paper we find the transition densities of the basic affine jump-diffusion (BAJD), which is introduced by Duffie and G\^{a}rleanu [D. Duffie and N. G\^{a}rleanu, Risk and valuation of collateralized debt obligations, Financial Analysts Journal 57(1) (2001), pp. 41--59] as an extension of the CIR model with jumps. We prove the positive Harris recurrence and exponential ergodicity of the BAJD. Furthermore we prove that the unique invariant probability measure $\pi$ of the BAJD is absolutely continuous with respect to the Lebesgue measure and we also derive a closed form formula for the density function of $\pi$.