科研成果详情

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
ISSN/eISSN1050-5164
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
DOI10.1214/19-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
被引频次:15[WOS]   [WOS记录]     [WOS相关记录]
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.
条目包含的文件
条目无相关文件。
个性服务
查看访问统计
谷歌学术
谷歌学术中相似的文章
[Friesen, Martin]的文章
[Jin, Peng]的文章
[Rudiger, Barbara]的文章
百度学术
百度学术中相似的文章
[Friesen, Martin]的文章
[Jin, Peng]的文章
[Rudiger, Barbara]的文章
必应学术
必应学术中相似的文章
[Friesen, Martin]的文章
[Jin, Peng]的文章
[Rudiger, Barbara]的文章
相关权益政策
暂无数据
收藏/分享
所有评论 (0)
暂无评论
 

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。