Coupling methods and exponential ergodicity for two‐factor affine processes

Abstract

AbstractIn 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.