Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion |
| |
| Authors: | Peng Jin Barbara Rüdiger Chiraz Trabelsi |
| |
| Affiliation: | 1. Fachbereich C, Bergische Universit?t Wuppertal, Wuppertal, Germanyjin@uni-wuppertal.de;3. Fachbereich C, Bergische Universit?t Wuppertal, Wuppertal, Germany;4. Department of Mathematics, University of Tunis El-Manar, Tunis, Tunisia |
| |
| Abstract: | In this article, we find the transition densities of the basic affine jump-diffusion (BAJD), which has been introduced by Duffie and Gârleanu as an extension of the CIR model with jumps. We prove the positive Harris recurrence and exponential ergodicity of the BAJD. Furthermore, we prove that the unique invariant probability measure π of the BAJD is absolutely continuous with respect to the Lebesgue measure and we also derive a closed-form formula for the density function of π. |
| |
| Keywords: | Affine process basic affine jump-diffusion exponential ergodicity Harris recurrence stochastic differential equation |
|
|
