Holomorphic transforms with application to affine processes
Abstract
In a rather general setting of It\^o-L\'evy processes we study a class of transforms (Fourier for example) of the state variable of a process which are holomorphic in some disc around time zero in the complex plane. We show that such transforms are related to a system of analytic vectors for the generator of the process, and we state conditions which allow for holomorphic extension of these transforms into a strip which contains the positive real axis. Based on these extensions we develop a functional series expansion of these transforms in terms of the constituents of the generator. As application, we show that for multidimensional affine It\^o-L\'evy processes with state dependent jump part the Fourier transform is holomorphic in a time strip under some stationarity conditions, and give log-affine series representations for the transform.
Cite
@article{arxiv.0807.1289,
title = {Holomorphic transforms with application to affine processes},
author = {D. Belomestny and J. Kampen and J. Schoenmakers},
journal= {arXiv preprint arXiv:0807.1289},
year = {2008}
}
Comments
30 pages