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Pathwise construction of affine processes
Published 25 Dec 2014 in math.PR | (1412.7837v1)
Abstract: Based on the theory of multivariate time changes for Markov processes, we show how to identify affine processes as solutions of certain time change equations. The result is a strong version of a theorem presented by J. Kallsen (2006) which provides a representation in law of an affine process as a time-change transformation of a family of independent L\'evy processes.
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