英文标题：
《Affine processes beyond stochastic continuity》
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作者：
Martin Keller-Ressel, Thorsten Schmidt, Robert Wardenga
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最新提交年份：
2018
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英文摘要：
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite dimensional affine semimartingales under very weak assumptions. We show that the corresponding semimartingale characteristics have affine form and that the conditional characteristic function can be represented with solutions to measure differential equations of Riccati type. We prove existence of affine Markov processes and affine semimartingales under mild conditions and elaborate on examples and applications including affine processes in discrete time.
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中文摘要：
本文研究了超越一般随机连续性假设的时间非齐次仿射过程。在此设置中，跳跃时间既不可访问，也可预测。为此，我们在非常弱的假设下发展了有限维仿射半鞅的一般理论。我们证明了相应的半鞅特征具有仿射形式，并且条件特征函数可以用度量Riccati型微分方程的解来表示。我们在温和的条件下证明了仿射马尔可夫过程和仿射半鞅的存在性，并详细阐述了包括离散时间仿射过程在内的例子和应用。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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