Abstract
In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space R⩾0m×Rn, where m,n∈Z⩾0 with m+n>0. Our main theorem extends and unifies some known results for OU-type processes on Rn and one-dimensional CBI processes (with state space R⩾0). To prove our result, we combine analytical and probabilistic techniques; in particular, the stability theory for ODEs plays an important role.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
