## 5 Citations

### Infinite-dimensional polynomial processes

- MathematicsFinance and Stochastics
- 2019

We introduce polynomial processes taking values in an arbitrary Banach space B ${B}$ via their infinitesimal generator L $L$ and the associated martingale problem. We obtain two representations of…

### Affine pure-jump processes on positive Hilbert–Schmidt operators

- MathematicsStochastic Processes and their Applications
- 2022

### An infinite‐dimensional affine stochastic volatility model

- MathematicsMathematical Finance
- 2022

We introduce a flexible and tractable infinite‐dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein–Uhlenbeck‐type process, whose instantaneous…

### A novel low-order spatiotemporal modeling method for nonlinear distributed parameter systems

- EngineeringJournal of Process Control
- 2021

## References

SHOWING 1-10 OF 69 REFERENCES

### Affine processes beyond stochastic continuity

- MathematicsThe Annals of Applied Probability
- 2019

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…

### Affine Diffusion Processes: Theory and Applications

- Mathematics
- 2009

We revisit affine diffusion processes on general and on the canonical state space in particular. A detailed study of theoretic and applied aspects of this class of Markov processes is given. In…

### Path Properties and Regularity of Affine Processes on General State Spaces

- Mathematics
- 2013

We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition…

### Affine Diffusions with Non-Canonical State Space

- Mathematics
- 2010

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…

### Affine realizations with affine state processes for stochastic partial differential equations

- Mathematics
- 2016

### Affine processes are regular

- Mathematics
- 2009

We show that stochastically continuous, time-homogeneous affine processes on the canonical state space $${\mathbb{R}_{\geq 0}^m \times \mathbb{R}^n}$$ are always regular. In the paper of Duffie et…

### Yamada-Watanabe theorem for stochastic evolution equations in infinite dimensions

- Mathematics
- 2008

The purpose of this note is to give a complete and detailed proof of the fundamental Yamada-Watanabe Theorem on infinite dimensional spaces, more precisely in the framework of the variational…

### Regularity of affine processes on general state spaces

- Mathematics
- 2011

We consider a stochastically continuous, affine Markov process in the sense of Duffie, Filipovic and Schachermayer, with cadlag paths, on a general state space D, i.e. an arbitrary Borel subset of…

### Independent increment processes: a multilinearity preserving property

- Mathematics
- 2018

ABSTRACT We observe a multilinearity preserving property of conditional expectation for infinite-dimensional independent increment processes defined on some abstract Banach space B. It is similar in…