Exponential ergodicity of an affine two-factor model based on the $α$-root process

Abstract: We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called $\alpha$-root process, which generalizes the well known CIR process. In this paper, we show that this affine two-factor model is exponentially ergodic when $\alpha\in(1,2)$.