Affine realizations with affine state processes for stochastic partial differential equations

Stefan Tappe

Stochastic Processes and their Applications, 2016, vol. 126, issue 7, 2062-2091

Abstract: The goal of this paper is to clarify when a stochastic partial differential equation with an affine realization admits affine state processes. This includes a characterization of the set of initial points of the realization. Several examples, as the HJMM equation from mathematical finance, illustrate our results.

Keywords: Stochastic partial differential equation; Affine realization; Affine state process; Set of initial points (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:7:p:2062-2091

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DOI: 10.1016/j.spa.2016.01.004

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