Coupling methods and exponential ergodicity for two-factor affine processes

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 Cox-Ingersoll-Ross (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.

Automated summary

In this paper, exponential ergodicity under the L-1-Wasserstein distance is established for two-factor affine processes using the coupling approach. The method employed is universal and can be applied to general two-factor affine processes, including those with a general Cox-Ingersoll-Ross (CIR) process as the first component, interactions in the second component, correlated Brownian noises, and even models beyond two-factor processes.