Affine realizations with affine state processes for stochastic partial differential equations
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2019
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| _version_ | 1866918210445508608 |
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| author | Tappe, Stefan |
| author_facet | Tappe, Stefan |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1907_00336 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Affine realizations with affine state processes for stochastic partial differential equations Tappe, Stefan Probability Mathematical Finance 60H15, 91G80 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. |
| title | Affine realizations with affine state processes for stochastic partial differential equations |
| topic | Probability Mathematical Finance 60H15, 91G80 |
| url | https://arxiv.org/abs/1907.00336 |