Existence of affine realizations for Lévy term structure models

DOI10.1098/rspa.2012.0089zbMath1371.60116arXiv1907.02363OpenAlexW3105031377MaRDI QIDQ5362070

Stefan Tappe

Publication date: 29 September 2017

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.02363

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (4)

Affine realizations with affine state processes for stochastic partial differential equations ⋮ Real-World Forward Rate Dynamics With Affine Realizations ⋮ Invariance of closed convex cones for stochastic partial differential equations ⋮ Foundations of the theory of semilinear stochastic partial differential equations

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