Infinite dimensional affine processes
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Publication:2229682
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.
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Cited in
(17)- Infinite-dimensional Wishart processes
- FINITE DIMENSIONAL APPROXIMATIONS OF DIFFUSION PROCESSES ON BANACH SPACES
- Existence of limiting distribution for affine processes
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- Affine diffusions with non-canonical state space
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