منابع مشابه
Affine Processes Are Regular
We show that stochastically continuous, time-homogeneous affine processes on the canonical state space R>0 × R n are always regular. In the paper of Duffie, Filipovic, and Schachermayer (2003) regularity was used as a crucial basic assumption. It was left open whether this regularity condition is automatically satisfied, for stochastically continuous affine processes. We now show that the regul...
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Affine processes are distinguished by their rich structural properties, which makes them favorite when it comes to computations in financial applications of all kind. This fact has been explored and illustrated for the time-homogeneous case in a recent paper by Duffie, Filipović and Schachermayer. However, there are many situations which require time-dependent parameters, such as when it comes ...
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Acknowledgements First and foremost, I wish to thank my supervisor Esko Valkeila for giving me the possibility to write this thesis, for helpful guidance throughout its preparation and for precious advices. Especially, I would like to thank him for letting me do the things in my own way. I would like to thank Marina Kleptsyna for agreeing to act as my opponent in the public examination of the t...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2019
ISSN: 1050-5164
DOI: 10.1214/19-aap1477