{
  "id": "1812.05402",
  "version": "v1",
  "published": "2018-12-13T13:05:46.000Z",
  "updated": "2018-12-13T13:05:46.000Z",
  "title": "Existence of limiting distribution for affine processes",
  "authors": [
    "Peng Jin",
    "Jonas Kremer",
    "Barbara Rüdiger"
  ],
  "comment": "27 papes",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space $\\mathbb{R}_{\\geqslant0}^{m}\\times\\mathbb{R}^{n}$, where $m,\\thinspace n\\in\\mathbb{Z}_{\\geqslant0}$ with $m+n>0$. Our main theorem extends and unifies some known results for OU-type processes on $\\mathbb{R}^{n}$ and one-dimensional CBI processes (with state space $\\mathbb{R}_{\\geqslant0}$). To prove our result, we combine analytical and probabilistic techniques; in particular, the stability theory for ODEs plays an important role.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2018-12-13T13:05:46.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J25",
      "60G10"
    ],
    "keywords": [
      "limiting distribution",
      "main theorem extends",
      "one-dimensional cbi processes",
      "conservative affine process",
      "important role"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}