Pathwise construction of affine processes
Probability
2014-12-30 v1
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.
Keywords
Cite
@article{arxiv.1412.7837,
title = {Pathwise construction of affine processes},
author = {Nicoletta Gabrielli and Josef Teichmann},
journal= {arXiv preprint arXiv:1412.7837},
year = {2014}
}
Comments
26 pages