AFFINE PROCESSES BEYOND STOCHASTIC CONTINUITY
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
In this paper, we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting, times of jumps can be both inaccessible and predictable. To this end, we develop a general theory of finite dimensional affine semimartingales under very weak assumptions. We show that the corresponding semimartingale characteristics have affine form and that the conditional characteristic function can be represented with solutions to measure differential equations of Riccati type. We prove existence of affine Markov processes and affine semimartingales under mild conditions and elaborate on examples and applications including affine processes in discrete time.
Details
Originalsprache | Englisch |
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Seiten (von - bis) | 3387-3437 |
Seitenumfang | 51 |
Fachzeitschrift | Annals of Applied Probability |
Jahrgang | 29 |
Ausgabenummer | 6 |
Publikationsstatus | Veröffentlicht - Dez. 2019 |
Peer-Review-Status | Ja |
Externe IDs
Scopus | 85082296165 |
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ORCID | /0000-0002-1484-7187/work/142243096 |
ORCID | /0000-0003-0913-3363/work/166762741 |
Schlagworte
Schlagwörter
- Affine process, semimartingale, Markov process, stochastic discontinuity, measure differential equations, default risk, interest rate, option pricing, announcement effects, dividends, TERM STRUCTURE, DIVIDEND POLICY