Affine diffusions with non-canonical state space
| Authors |
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| Publication date |
2012
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| Journal |
Stochastic Analysis and Applications
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| Volume | Issue number |
30 | 4
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| Pages (from-to) |
605-641
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| Organisations |
-
Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
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| Abstract |
Multidimensional affine diffusions have been studied in detail for the case of a canonical state space. We present results for general state spaces and provide a complete characterization of all possible affine diffusions with polyhedral and quadratic state space. We give necessary and sufficient conditions on the behavior of drift and diffusion on the boundary of the state space in order to obtain invariance and to prove strong existence and uniqueness.
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| Document type |
Article
|
| Language |
English
|
| Published at |
https://doi.org/10.1080/07362994.2012.684322
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