Affine processes are regular
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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 language | English |
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Pages (from-to) | 591-611 |
Number of pages | 21 |
Journal | Probability theory and related fields : continuation of Zeitschrift für Wahrscheinlichkeitstheorie |
Volume | 151 |
Issue number | 3-4 |
Publication status | Published - Dec 2011 |
Peer-reviewed | Yes |
Externally published | Yes |
External IDs
ORCID | /0000-0003-0913-3363/work/167706920 |
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Keywords
ASJC Scopus subject areas
Keywords
- Affine processes, Characteristic function, Regularity, Semiflow