Discussion Paper
Nonlinearity and Temporal Dependence
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: rho-mixing, beta-mixing and alpha-mixing. Stationary diffusions that are rho-mixing have mixing coefficients that decay exponentially to zero. When they fail to be rho-mixing, they are still beta-mixing and alpha-mixing; but coefficient decay is slower than exponential.