Regularity of affine processes on general state spaces

DOI10.1214/EJP.V18-2043zbMATH Open1291.60153arXiv1105.0632MaRDI QIDQ388907FDOQ388907

Josef Teichmann, Martin Keller-Ressel, Walter Schachermayer

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We consider a stochastically continuous, affine Markov process in the sense of Duffie, Filipovic and Schachermayer, with cadlag paths, on a general state space D, i.e. an arbitrary Borel subset of R^d. We show that such a process is always regular, meaning that its Fourier-Laplace transform is differentiable in time, with derivatives that are continuous in the transform variable. As a consequence, we show that generalized Riccati equations and Levy-Khintchine parameters for the process can be derived, as in the case of $D=R_{+}^{m}imes{R}^n$ studied in Duffie, Filipovic and Schachermayer (2003). Moreover, we show that when the killing rate is zero, the affine process is a semi-martingale with absolutely continuous characteristics up to its time of explosion. Our results generalize the results of Keller-Ressel, Schachermayer and Teichmann (2011) for the state space $R_{+}^{m}imes{R}^n$ and provide a new probabilistic approach to regularity.

Full work available at URL: https://arxiv.org/abs/1105.0632

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zbMATH Keywords

semimartingaleregularitygeneralized Riccati equationaffine process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

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