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arXiv · 1907.00336

Affine realizations with affine state processes for stochastic partial differential equations

Stefan Tappe
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Abstract

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.

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Stefan Tappe. 2019-06-30. Affine realizations with affine state processes for stochastic partial differential equations. https://doi.org/10.1016/j.spa.2016.01.004

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