Skew convolution semigroups and affine Markov processes
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Publication:2497172
Abstract: A general affine Markov semigroup is formulated as the convolution of a homogeneous one with a skew convolution semigroup. We provide some sufficient conditions for the regularities of the homogeneous affine semigroup and the skew convolution semigroup. The corresponding affine Markov process is constructed as the strong solution of a system of stochastic equations with non-Lipschitz coefficients and Poisson-type integrals over some random sets. Based on this characterization, it is proved that the affine process arises naturally in a limit theorem for the difference of a pair of reactant processes in a catalytic branching system with immigration.
A transition semigroup \((Q(t))_ {t \geq 0}\) with state space \(D:= [0, +\infty )\times \mathbb R\) is called a homogeneous affine semigroup if for each \(t \geq 0\) there exists a continuous two-dimensional complex-valued function \(\psi (t, \cdot ):= \left ( \psi _ {1} (t, \cdot ), \psi _ {2} (t, \cdot )\right )\) on \(U:= {\mathbb C} _ {-} \times (i {\mathbb R} )\) such that \[ \int _ {D} \exp {\langle u, \xi\rangle} Q(t, x, d \xi ) = \exp{\langle x, \psi (t, u)\rangle}\text{ for }x\in D,\;u\in U. \] A family of probabilities \((\gamma (t))_ {t\geq 0}\) on \(D\) is called a skew convolution semigroup associated with \((Q(t))_ {t \geq 0}\) if \(\gamma (r+t) = (\gamma (r) Q(t)) * \gamma (t).\) A general affine Markov semigroup is formulated as the convolution of a homogeneous one with a skew convolution semigroup. The main purpose of the paper is to investigate the basic characterizations and regularities of affine Markov semigroups and processes. It is shown also that the affine process arises naturally in a limit theorem for the difference of a pair of reactant processes in a catalytic branching system with immigration.
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