论文标题
两因素仿射过程
Coupling methods and exponential ergodicity for two-factor affine processes
论文作者
论文摘要
在本文中，通过调用耦合方法，我们在$ l^1 $ -wasserstein距离下建立了指数性的千古性。本文所采用的方法在某些意义上是通用的，因此它适用于一般的两因素仿射过程，该过程允许第一个组件求解一般的CIR过程，并且第二个组件中存在相互作用，并且Brownian声音相关；甚至是两因素过程之外的某些模型。
In this paper, by invoking the coupling approach, we establish exponential ergodicity under the $L^1 $-Wasserstein distance for two-factor affine processes. The method employed herein is universal in a certain sense so that it is applicable to general two-factor affine processes, which allow that the first component solves a general CIR process, and that there are interactions in the second component, as well as that the Brownian noises are correlated; and even to some models beyond two-factor processes.
