Friesen Martin et al., Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes, Annals of applied probability , 30(5), 2020, pp. 2165-2195
This work is devoted to the study of conservative affine processes on the canonical state space D=.m+..n, where m+n>0. We show that each affine process can be obtained as the pathwise unique strong solution to a stochastic equation driven by Brownian motions and Poisson random measures. Then we study the long-time behavior of affine processes, that is, we show that under first moment condition on the state-dependent and log -moment conditions on the state-independent jump measures, respectively, each subcritical affine process is exponentially ergodic in a suitably chosen Wasserstein distance. Moments of affine processes are studied as well.