Details of Research Outputs

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.