Exponential ergodicity of an affine two-factor model based on the α-root process

doi:10.1017/apr.2017.37

科研成果详情

发表状态	已发表Published
题名	Exponential ergodicity of an affine two-factor model based on the α-root process
作者	Jin, Peng; Kremer, Jonas; Rüdiger, Barbara
发表日期	2017-12-01
发表期刊	Advances in Applied Probability
ISSN/eISSN	0001-8678
卷号	49 期号:4 页码:1144-1169
摘要	We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called α-root process, which generalizes the well-known Cox-Ingersoll-Ross process. In the α = 2 case, this two-factor model was used by Chen and Joslin (2012) to price defaultable bonds with stochastic recovery rates. In this paper we prove exponential ergodicity of this two-factor model when α ϵ (1, 2). As a possible application, our result can be used to study the parameter estimation problem of the model.
关键词	Affine process exponential ergodicity Foster-Lyapunov function transition density α-root process
DOI	10.1017/apr.2017.37
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:000416670400007
Scopus入藏号	2-s2.0-85044310784
引用统计	被引频次：12[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/7935
专题	个人在本单位外知识产出
作者单位	Fakultät für Mathematik und Naturwissenschaften, Bergische Universität Wuppertal, Wuppertal, 42119, Germany
推荐引用方式 GB/T 7714	Jin, Peng,Kremer, Jonas,Rüdiger, Barbara. Exponential ergodicity of an affine two-factor model based on the α-root process[J]. Advances in Applied Probability, 2017, 49(4): 1144-1169.
APA	Jin, Peng, Kremer, Jonas, & Rüdiger, Barbara. (2017). Exponential ergodicity of an affine two-factor model based on the α-root process. Advances in Applied Probability, 49(4), 1144-1169.
MLA	Jin, Peng,et al."Exponential ergodicity of an affine two-factor model based on the α-root process". Advances in Applied Probability 49.4(2017): 1144-1169.