发表状态 | 已发表Published |
题名 | Stochastic equation and exponential ergodicity in wasserstein distances for affine processes |
作者 | |
发表日期 | 2020-10-01 |
发表期刊 | Annals of Applied Probability
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ISSN/eISSN | 1050-5164 |
卷号 | 30期号:5页码:2165-2195 |
摘要 | This work is devoted to the study of conservative affine processes on the canonical state space D = Rm+ × Rn, where m + n > 0. We show that each affine process can be obtained as the pathwise unique strong solution to a stochastic equation driven by Brownian motions and Poisson random measures. Then we study the long-time behavior of affine processes, that is, we show that under first moment condition on the state-dependent and log-moment conditions on the state-independent jump measures, respectively, each subcritical affine process is exponentially ergodic in a suitably chosen Wasserstein distance. Moments of affine processes are studied as well. |
关键词 | Affine process Coupling Ergodicity Stochastic differential equation Wasserstein distance |
DOI | 10.1214/19-AAP1554 |
URL | 查看来源 |
收录类别 | SCIE ; SSCI |
语种 | 英语English |
WOS研究方向 | Mathematics |
WOS类目 | Statistics & Probability |
WOS记录号 | WOS:000569820100005 |
Scopus入藏号 | 2-s2.0-85083307860 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/7928 |
专题 | 个人在本单位外知识产出 |
通讯作者 | Friesen, Martin |
作者单位 | 1.School of Mathematics and Natural Sciences, University of Wuppertal, Germany 2.Department of Mathematics, Shantou University, China |
推荐引用方式 GB/T 7714 | Friesen, Martin,Jin, Peng,Rudiger, Barbara. Stochastic equation and exponential ergodicity in wasserstein distances for affine processes[J]. Annals of Applied Probability, 2020, 30(5): 2165-2195. |
APA | Friesen, Martin, Jin, Peng, & Rudiger, Barbara. (2020). Stochastic equation and exponential ergodicity in wasserstein distances for affine processes. Annals of Applied Probability, 30(5), 2165-2195. |
MLA | Friesen, Martin,et al."Stochastic equation and exponential ergodicity in wasserstein distances for affine processes". Annals of Applied Probability 30.5(2020): 2165-2195. |
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