Affine realizations with affine state processes for stochastic partial differential equations
Probability
2025-11-21 v1 Mathematical Finance
Abstract
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.
Cite
@article{arxiv.1907.00336,
title = {Affine realizations with affine state processes for stochastic partial differential equations},
author = {Stefan Tappe},
journal= {arXiv preprint arXiv:1907.00336},
year = {2025}
}
Comments
27 pages