Infinite dimensional affine processes
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Publication:2229682
DOI10.1016/j.spa.2020.07.009zbMath1454.60114arXiv1907.10337OpenAlexW3045046637MaRDI QIDQ2229682
Weijun Yu, Thorsten Schmidt, Stefan Tappe
Publication date: 18 February 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.10337
Riccati equationYamada-Watanabe theoremcanonical state spaceinfinite dimensional affine processretracted subspace with compact embeddingstochastic differential equation on a Hilbert space
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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