Affine realizations with affine state processes for stochastic partial differential equations
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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.
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Published in Stochastic Processes and Their Applications 126(7):2062-2091, 2016
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1907.00336
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