Geometric Ergodicity for Affine Processes

Date

Dec 6, 2018

Time

2:00 PM - 3:00 PM

Speaker

Eberhard Mayerhofer

Affiliation

U Limerick

Series

TUD Mathematik AG Analysis & Stochastik

Language

en

Main Topic

Mathematik

Other Topics

Mathematik

Host

Prof. Dr. M. Keller-Ressel

Description

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

Last modified: Dec 4, 2018, 3:52:58 PM