Affine processes beyond stochastic continuity

In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite dimensional affine semimartingales under very weak assumptions. We show that the corresponding semimartingale characteristics have affine form and that the conditional characteristic function can be represented with solutions to measure differential equations of Riccati type. We prove existence of affine semimartingales under mild conditions and elaborate on examples and applications including affine processes in discrete time.

• Publication year

  2018

• Venue

  The Annals of Applied Probability

• Publication date

  2018-04-20

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.1214/19-aap1483arXiv 1804.07556
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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