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Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices

Rüdiger, Barbara, Friesen, Martin, Jin, Peng and Kremer, Jonas (2020) Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices. Advances in Applied Probability, 52 (3). pp. 825-854. ISSN 1475-6064

Abstract
This article investigates the long-time behavior of conservative affine processes on the cone of symmetric positive semidefinite d × d matrices. In particular, for conservative and subcritical affine processes we show that a finite log-moment of the state-independent jump measure is sufficient for the existence of a unique limit distribution. Moreover, we study the convergence rate of the underlying transition kernel to the limit distribution: first, in a specific metric induced by the Laplace transform, and second, in the Wasserstein distance under a first moment assumption imposed on the state-independent jump measure and an additional condition on the diffusion parameter
Metadata
Item Type:Article (Published)
Refereed:Yes
Uncontrolled Keywords:Affine process; invariant distribution; limit distribution; ergodicity
Subjects:Mathematics
Mathematics > Mathematical analysis
DCU Faculties and Centres:DCU Faculties and Schools > Faculty of Science and Health
DCU Faculties and Schools > Faculty of Science and Health > School of Mathematical Sciences
Publisher:Cambridge University Press
Official URL:https://www.cambridge.org/core/journals/advances-i...
Copyright Information:Authors
ID Code:31177
Deposited On:11 Jul 2025 09:00 by Vidatum Academic . Last Modified 11 Jul 2025 09:00
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