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arXiv · 1412.7837

Pathwise construction of affine processes

Nicoletta Gabrielli·Josef Teichmann
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Abstract

Based on the theory of multivariate time changes for Markov processes, we show how to identify affine processes as solutions of certain time change equations. The result is a strong version of a theorem presented by J. Kallsen (2006) which provides a representation in law of an affine process as a time-change transformation of a family of independent L\'evy processes.

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Nicoletta Gabrielli, Josef Teichmann. 2014-12-25. Pathwise construction of affine processes. https://arxiv.org/abs/1412.7837

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