Ergodic theory for affine processes
Ergodic theory for affine processes
This talk illustrates the application of stochastic stability methods - such as couplings,
optimal transport, irreducibility, and Lyapunov techniques - in establishing a rigorous
mathematical framework for the ergodicity of affine processes in the modelling of stochastic
interest rates, default intensities, and stochastic volatility. Such ergodicity results are
shown to be crucial for the estimation of parameters in the mean-reversion regime of affine
processes.