Related papers: Path properties and regularity of affine processes…
Multivariate process satisfying affine stochastic recurrence equation with generic diagonal matrices is considered. We prove that the stationary solution is regularly varying. The results are applicable to diagonal autoregressive models.
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…
The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by L\'evy processes admits an affine realization. Our results are accompanied by several examples arising in natural sciences and…
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the…
We introduce the analogue of Dunkl processes in the case of an affine root system of type $\widetilde{\text{A}}_1$. The construction of the affine Dunkl process is achieved by a skew-product decomposition by means of its radial part and a…
A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the representation property if all local martingales w.r.t. its…
We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted forward process and specify its state space. More precisely, we show that it satisfies a stochastic partial…
We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends known results for affine jump-diffusions with a canonical state…
Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and…
We put forward a complete theory on moment explosion for fairly general state-spaces. This includes a characterization of the validity of the affine transform formula in terms of minimal solutions of a system of generalized Riccati…
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…
In this paper, sufficient conditions are given for the existence of limiting distribution of a conservative affine process on the canonical state space $\mathbb{R}_{\geqslant0}^{m}\times\mathbb{R}^{n}$, where $m,\thinspace…
In this article, we introduce \textit{Mallows processes}, defined to be continuous-time c\`adl\`ag processes with Mallows distributed marginals. We show that such processes exist and that they can be restricted to have certain natural…
The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of Riccati differential equations and an existence proof for…
We develop foundational aspects of stability theory in affine logic. On the one hand, we prove appropriate affine versions of many classical results, including definability of types, existence of non-forking extensions, and other…
Several general mixed affine surface areas are introduced. We prove some important properties, such as, affine invariance, for these general mixed affine surface areas. We also establish new Alexandrov-Fenchel type inequalities,…
We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller property which was introduced in e.g.~\cite{doetei:10}. In…
We study seminormalization of affine complex varieties. We show that polynomials on the seminormalization correspond to the rational functions which are continuous for the Euclidean topology. We further study this type of functions which…
For general (1+1)-affine Markov processes, we prove the ergodicity and exponential ergodicity in total variation distances. Our methods follow the arguments of ergodic properties for L\'{e}vy-driven OU-processes and a coupling of…
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been obtained based on the theory of evolution systems on Banach…