Affine realizations with affine state processes for stochastic partial differential equations

Stefan Tappe

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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
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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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