Exponential Ergodicity and β-Mixing Property for Generalized Ornstein-Uhlenbeck Processes
نویسنده
چکیده
The generalized Ornstein-Uhlenbeck process is derived from a bivariate Lévy process and is suggested as a continuous time version of a stochastic recurrence equation [1]. In this paper we consider the generalized Ornstein-Uhlenbeck process and provide sufficient conditions under which the process is exponentially ergodic and hence holds the exponentially β-mixing property. Our results can cover a wide variety of areas by selecting suitable Lévy processes and be used as fundamental tools for statistical analysis concerning the processes. Well known stochastic volatility model in finance such as Lévy-driven Ornstein-Uhlenbeck process is examined as a special case.
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