2000 character limit reached
Pathwise construction of affine processes (1412.7837v1)
Published 25 Dec 2014 in math.PR
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.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Collections
Sign up for free to add this paper to one or more collections.
