Affine processes are regular

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Martin Keller-Ressel - , ETH Zurich (Author)
  • Walter Schachermayer - , University of Vienna (Author)
  • Josef Teichmann - , ETH Zurich (Author)

Abstract

We show that stochastically continuous, time-homogeneous affine processes on the canonical state space ℝm≥ 0 are always regular. In the paper of Duffie et al. (Ann Appl Probab 13(3):984-1053, 2003) regularity was used as a crucial basic assumption. It was left open whether this regularity condition is automatically satisfied for stochastically continuous affine processes. We now show that the regularity assumption is indeed superfluous, since regularity follows from stochastic continuity and the exponentially affine form of the characteristic function. For the proof we combine classic results on the differentiability of transformation semigroups with the method of the moving frame which has been recently found to be useful in the theory of SPDEs.

Details

Original languageEnglish
Pages (from-to)591-611
Number of pages21
Journal Probability theory and related fields : continuation of Zeitschrift für Wahrscheinlichkeitstheorie
Volume151
Issue number3-4
Publication statusPublished - Dec 2011
Peer-reviewedYes
Externally publishedYes

External IDs

ORCID /0000-0003-0913-3363/work/167706920

Keywords

Keywords

  • Affine processes, Characteristic function, Regularity, Semiflow