Affine processes with compact state space

DOI10.1214/18-EJP156zbMath1390.60277arXiv1706.07579OpenAlexW2720248308MaRDI QIDQ1748933

Paul Krühner, Martin Larsson

Publication date: 15 May 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.07579

zbMATH Keywords

Markov chainsaffine processescompact state space

Mathematics Subject Classification ID

Related Items (3)

Polynomial Jump-Diffusion Models ⋮ Polynomial processes in stochastic portfolio theory ⋮ Affine Volterra processes

Cites Work

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• Affine Diffusions with Non-Canonical State Space
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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