Geometric Ergodicity for Affine Processes

Datum

06.12.2018

Zeit

14:00 - 15:00

Sprecher

Eberhard Mayerhofer

Zugehörigkeit

U Limerick

Serie

TUD Mathematik AG Analysis & Stochastik

Sprache

en

Hauptthema

Mathematik

Andere Themen

Mathematik

Host

Prof. Dr. M. Keller-Ressel

Beschreibung

In this talk I report new results about geometric ergodicity of high-dimensional affine processes. This is joint work with Robert Stelzer's group at University Ulm. For affine processes on finite-dimensional cones, we give criteria for geometric ergodicity - that is exponentially fast convergence to a unique stationary distribution. Ergodic results include both the existence of exponential moments of the limiting distribution, where we exploit the crucial affine property, and finite moments, where we invoke the polynomial property of affine semigroups. Furthermore, we elaborate sufficient conditions for aperiodicity and irreducibility. Our results are applicable to Wishart processes with jumps on the positive semidefinite matrices, continuous-time branching processes with immigration in high dimensions, and classical term-structure models for credit and interest rate risk.

Links

• AG Analysis & Stochastik

Letztmalig verändert: 04.12.2018, 15:52:58