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Path Properties and Regularity of Affine Processes on General State Spaces

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Publication:2865108
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DOI10.1007/978-3-319-00321-4_8zbMath1287.60091arXiv1107.1607OpenAlexW1842360003MaRDI QIDQ2865108

Christa Cuchiero, Josef Teichmann

Publication date: 28 November 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.1607


zbMATH Keywords

regularitypath propertiesaffine processMarkov semimartingale


Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17)


Related Items (11)

A general HJM framework for multiple yield curve modelling ⋮ Affine processes on symmetric cones ⋮ Perfect hedging in rough Heston models ⋮ Geometric ergodicity of affine processes on cones ⋮ The affine inflation market models ⋮ Infinite dimensional affine processes ⋮ A characterization of Wishart processes and Wishart distributions ⋮ Linearized filtering of affine processes using stochastic Riccati equations ⋮ Regime switching affine processes with applications to finance ⋮ Markov-modulated affine processes ⋮ Exponential moments of affine processes




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