Stationarity and ergodicity for an affine two factor model

Abstract

We study the existence of a unique stationary distribution and ergodicity for a 2-dimensional affine process. The first coordinate is supposed to be a so-called alpha-root process with α\in(1,2]. The existence of a unique stationary distribution for the affine process is proved in case of α\in(1,2]; further, in case of α=2, the ergodicity is also shown.

28 pages; the title has been changed; a mistake in the proof of Theorem 4.1 has been corrected