Path properties and regularity of affine processes on general state spaces

Christa Cuchiero and Josef Teichmann

Papers from arXiv.org

Abstract: We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of an affine process, namely as stochastically continuous time-homogeneous Markov process with exponential affine Fourier-Laplace transform, already implies the existence of a c\`adl\`ag version. This was one of the last open issues in the fundaments of affine processes.

Date: 2011-07, Revised 2013-01
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1107.1607

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