Economics at your fingertips  

Affine realizations with affine state processes for stochastic partial differential equations

Stefan Tappe

Papers from

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.

Date: 2019-06
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Stochastic Processes and Their Applications 126(7):2062-2091, 2016

Downloads: (external link) Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2019-07-27
Handle: RePEc:arx:papers:1907.00336