相关论文: Affine processes with compact state space

The dynamical behavior of switched affine systems is known to be more intricate than that of the well-studied switched linear systems, essentially due to the existence of distinct equilibrium points for each subsystem. First, under…

In this paper we will first introduce the notion of affine structures on a ringed space and then obtain several properties. Affine structures on a ringed space, arising mainly from complex analytical spaces of algebraic schemes over number…

We consider discrete-time switching systems composed of a finite family of affine sub-dynamics. First, we recall existing results and present further analysis on the stability problem, the existence and characterization of compact…

The affine coherent states quantization is a promising integral quantization of Hamiltonian systems when the phase space includes at least one conjugate pair of variables which takes values from a half-plane. Such a situation is common for…

The problem of eliminating fast-relaxing variables to obtain an effective drift-diffusion process in position is solved in a uniform and straightforward way for models with velocity a function jointly of position and fast variables. A more…

In aggregation-fragmentation processes, a steady state is usually reached in the long time limit. This indicates the existence of a fixed point in the underlying system of ordinary differential equations. The next simplest possibility is an…

We demonstrate that irreversible structural reorganization is not necessary for the observation of yield behaviour in an amorphous solid. While the majority of solids strained to their yield point do indeed undergo an irreversible…

First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $R_+ \times R^d$. We specialize our result to one-dimensional continuous state branching processes with immigration.…

We study a class of Piecewise Deterministic Markov Processes with state space Rd x E where E is a finite set. The continuous component evolves according to a smooth vector field that is switched at the jump times of the discrete coordinate.…

A particle with internal unobserved states diffusing in a force field will generally display effective advection-diffusion. The drift velocity is proportional to the mobility averaged over the internal states, or effective mobility, while…

Let $k$ be any field and $k^s$ its separable closure. Let $X$ be an affine variety over $k$ which is isomorphic to affine $n$-space over the field extension $k^s$. Then $X$ is isomorphic to affine $n$ space over $k$.

This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve…

We introduce a class of jump-diffusions, called holomorphic, of which the well-known classes of affine and polynomial processes are particular instances. The defining property concerns the extended generator, which is required to map a…

In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…

This article investigates the long-time behavior of conservative affine processes on the cone of symmetric positive semidefinite $d\times d$-matrices. In particular, for conservative and subcritical affine processes on this cone we show…

We classify complex compact parallelizable manifolds which admit flat torsion free holomorphic affine connections. We exhibit complex compact manifolds admitting holomorphic affine connections, but no flat torsion free holomorphic affine…

We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of an affine process, namely as…

The main result states that every convex set-valued function defined on a real interval with compact values in a locally convex space, admits an affine selection. In the case if the target space is a real line and the values are closed real…

This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovian processes is considered. The proofs are based on…

Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…