Regularity of affine processes on general state spaces

DOI10.1214/EJP.V18-2043MaRDI QIDQ388907zbMATH OpenFDO

Authors Josef Teichmann, Martin Keller-Ressel, Walter Schachermayer

Publication date 17 January 2014

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

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

zbMATH Keywords

semimartingaleregularitygeneralized Riccati equationaffine process

Mathematics Subject Classification ID

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

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.

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Cited in

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• Large deviations for affine diffusion processes on R_+^m R^n
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• Affine pure-jump processes on positive Hilbert-Schmidt operators
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• Affine diffusions with non-canonical state space
• Path properties and regularity of affine processes on general state spaces
• Regime switching affine processes with applications to finance
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