arXiv subjects

Nicoletta Gabrielli

Publications and source records attributed to Nicoletta Gabrielli.

2 recordsLinked to original sources

arXiv2014

Pathwise construction of affine processes

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 Lévy processes.

math.PR↗

arXiv2014

Regularity results for degenerate Kolmogorov equations of affine type

In this paper we show how to derive regularity for the solution of Kolmogorov PIDEs driven by a vector field which is a second order integro differential operator of affine type. These results are valuable in applications, in particular for the analysis of the convergence rate of weak approximation schemes for affine processes.

math.PR↗