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 |
Documents
Full text available as:
Preview |
PDF
- Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Creative Commons: Attribution-Noncommercial-No Derivative Works 4.0 459kB |
Metrics
Altmetric Badge
Dimensions Badge
Downloads
Downloads
Downloads per month over past year
Archive Staff Only: edit this record