# Affine Volterra processes

@article{Jaber2019AffineVP,
title={Affine Volterra processes},
author={Eduardo Abi Jaber and Martin Larsson and Sergio Pulido},
journal={The Annals of Applied Probability},
year={2019}
}
• Published 29 August 2017
• Mathematics
• The Annals of Applied Probability
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither semimartingales, nor Markov processes in general. We provide explicit exponential-affine representations of the Fourier-Laplace functional in terms of the solution of an associated system of deterministic integral equations of convolution type, extending well-known…
103 Citations

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