Geometric ergodicity of the multivariate COGARCH(1,1) process
Geometric ergodicity of the multivariate COGARCH(1,1) process
For the multivariate COGARCH(1,1) volatility process we show sufficient conditions for the existence of a unique stationary distribution, for the geometric ergodicity and for the finiteness of moments of the stationary distribution by a Foster-Lyapunov drift condition approach. The test functions used are naturally related to the geometry of the …