Exponential ergodicity of an affine two-factor model based on the $\alpha$-root process

Abstract

We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called $\alpha$-root process, which generalizes the well known CIR process. In this paper, we show that this affine two-factor model is exponentially ergodic when $\alpha \in (1,2)$.

26 pages