2016/09/09 by Eberhard Mayerhofer, Mayerhofer, Eberhard
Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1609.02718
openalex publication_date 2016/09/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In affine models, both the martingale property of stochastic exponentials and non-explosion of affine processes is characterized in terms of minimality of solutions to a system of generalized Riccati differential equations. This is the final improvement of previous results by Duffie, Filipovic and Schachermayer (2003), Mayerhofer, Muhle-Karbe and Smirnov (2011) and Keller-Ressel and Mayerhofer (2015) for processes on canonical state spaces.