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Filipović, Damir

Time-inhomogeneous affine processes. (English) Zbl 1079.60068

Stochastic Processes Appl. 115, No. 4, 639-659 (2005).
Affine processes are Markov processes with transition function of exponential affine structure of the state variables. Since it is easy to deal with, affine processes have been commonly used to model the price processes of the finance securities with term structure. A theoretical description of the infinitesimal characteristics and the semigroup characteristics are exploited, which are the time inhomogeneous version of the paper of D. Duffie, the author and W. Schachermayer [Ann. Appl. Probab. 13, No. 3, 984–1053 (2003; Zbl 1048.60059)].
Reviewer: Gong Guanglu (Beijing)

Cited in 37 Documents

MSC:

60J25 Continuous-time Markov processes on general state spaces

Citations:

Zbl 1048.60059
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\textit{D. Filipović}, Stochastic Processes Appl. 115, No. 4, 639--659 (2005; Zbl 1079.60068)
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References:

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