Stationarity and ergodicity for an affine two-factor model

Abstract

We study the existence of a unique stationary distribution and ergodicity for a two-dimensional affine process. Its first coordinate process is supposed to be a so-called α-root process with α ∈ (1, 2]. We prove the existence of a unique stationary distribution for the affine process in the α ∈ (1, 2] case; furthermore, we show ergodicity in the α = 2 case.