2019/06/30 by Stefan Tappe, Tappe, Stefan
Economics, Econometrics and Finance · #60H15 #91G80 #Credit Risk and Financial Regulations #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
paper · doi:10.48550/arxiv.1907.00336
openalex publication_date 2019/06/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.