English

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

R2 v1 2026-06-23T10:07:46.759Z