2 papers
math.PR2016
Exponential ergodicity of an affine two-factor model based on the -root process
Peng Jin, Jonas Kremer, Barbara Rüdiger
We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called -root process, which generalizes the well kn…
math.PR2015
Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
Peng Jin, Barbara Rüdiger, Chiraz Trabelsi
In this paper we find the transition densities of the basic affine jump-diffusion (BAJD), which is introduced by Duffie and Garleanu [D. Duffie and N. Garleanu, Risk and valuation…