Affine diffusions with non-canonical state space

DOI10.1080/07362994.2012.684322MaRDI QIDQ2905356zbMATH OpenOpenAlexFDO

Authors Peter Spreij, Enno Veerman

Publication date 27 August 2012

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.0429

zbMATH Keywords

affine diffusionpolyhedral state spacequadratic state spacestochastic invariance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

Abstract: Multidimensional affine diffusions have been studied in detail for the case of a canonical state space. We present results for general state spaces and provide a complete characterization of all possible affine diffusions with polyhedral and quadratic state space. We give necessary and sufficient conditions on the behavior of drift and diffusion on the boundary of the state space in order to obtain invariance and to prove strong existence and uniqueness.

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Cited in

(18)

• Affine processes with compact state space
• Stochastic invariance of closed sets with non-Lipschitz coefficients
• Geometric ergodicity of affine processes on cones
• Infinite dimensional affine processes
• Viability of an open set for stochastic control systems
• Affine Volterra processes
• Affine diffusions and related processes: simulation, theory and applications
• Affine realizations with affine state processes for stochastic partial differential equations
• Path properties and regularity of affine processes on general state spaces
• Affine diffusions with non-canonical state space
• Affine processes on symmetric cones
• Polynomial diffusions and applications in finance
• A note on the Dai-Singleton canonical representation of affine term structure models
• Affine diffusion processes: theory and applications
• Large deviations for affine diffusion processes on R_+^m R^n
• The Gärtner-Ellis theorem, homogenization, and affine processes
• Polynomial diffusions on compact quadric sets
• Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models

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