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Coupling methods and exponential ergodicity for two‐factor affine processes

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  • Jianhai Bao
  • Jian Wang

Abstract

In this paper, by invoking the coupling approach, we establish exponential ergodicity under the L1‐Wasserstein distance for two‐factor affine processes. The method employed herein is universal in a certain sense so that it is applicable to general two‐factor affine processes, which allow that the first component solves a general Cox‐Ingersoll‐Ross (CIR) process, and that there are interactions in the second component, as well as that the Brownian noises are correlated; and even to some models beyond two‐factor processes.

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  • Jianhai Bao & Jian Wang, 2023. "Coupling methods and exponential ergodicity for two‐factor affine processes," Mathematische Nachrichten, Wiley Blackwell, vol. 296(5), pages 1716-1736, May.
    • Handle: RePEc:bla:mathna:v:296:y:2023:i:5:p:1716-1736
    DOI: 10.1002/mana.202100064
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