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Path properties and regularity of affine processes on general state spaces
affine processes path properties regularity Markov semimartingales
2011/7/20
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of...
Affine processes on positive semidefinite matrices
affine processes Wishart processes stochastic volatility stochastic invariance
2010/11/2
The article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and...