Infinite dimensional affine processes
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Publication:2229682
DOI10.1016/J.SPA.2020.07.009zbMATH Open1454.60114arXiv1907.10337OpenAlexW3045046637MaRDI QIDQ2229682FDOQ2229682
Authors: Thorsten Schmidt, Stefan Tappe, Weijun Yu 
Publication date: 18 February 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of Riccati differential equations and an existence proof for such processes, which has been missing in the literature so far. For the existence proof, we will regard affine processes as solutions to infinite dimensional stochastic differential equations with values in Hilbert spaces. This requires a suitable version of the Yamada-Watanabe theorem, which we will provide in this paper. Several examples of infinite dimensional affine processes accompany our results.
Full work available at URL: https://arxiv.org/abs/1907.10337
Recommendations
Riccati equationYamada-Watanabe theoremcanonical state spaceinfinite dimensional affine processretracted subspace with compact embeddingstochastic differential equation on a Hilbert space
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Cited In (16)
- Affine processes with compact state space
- Measure-valued affine and polynomial diffusions
- Affine pure-jump processes on positive Hilbert-Schmidt operators
- Affine Volterra processes
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- Existence of limiting distribution for affine processes
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- An infinite‐dimensional affine stochastic volatility model
- Coupling methods and exponential ergodicity for two‐factor affine processes
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