2 papers
math.PR2018
Geometric Ergodicity of Affine Processes on Cones
Eberhard Mayerhofer, Robert Stelzer, Johanna Vestweber
For affine processes on finite-dimensional cones, we give criteria for geometric ergodicity - that is exponentially fast convergence to a unique stationary distribution. Ergodic re…
math.PR2017
Geometric Ergodicity of the multivariate COGARCH(1,1) Process
Robert Stelzer, Johanna Vestweber
For the multivariate COGARCH(1,1) volatility process we show sufficient conditions for the existence of a unique stationary distribution, for the geometric ergodicity and for the f…