## References

SHOWING 1-10 OF 57 REFERENCES

### Time-inhomogeneous polynomial processes

- MathematicsStochastic Analysis and Applications
- 2019

Abstract In this work, we develop polynomial processes where the coefficients of the process may depend on time. A full characterization of this model class is given by means of their semimartingale…

### Polynomial processes and their applications to mathematical finance

- MathematicsFinance Stochastics
- 2012

We introduce a class of Markov processes, called m-polynomial, for which the calculation of (mixed) moments up to order m only requires the computation of matrix exponentials. This class contains…

### 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…

### 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…

### On Martingale Problems and Feller Processes

- Mathematics
- 2017

Let A be a pseudo-differential operator with negative deﬁnite symbol q . In this paper we establish a sufﬁcient condition such that the well-posedness of the ( A, C ∞ c ( R d )) martingale problem…

### Regime switching affine processes with applications to finance

- MathematicsFinance and Stochastics
- 2020

It is proved that the joint process of the Markov chain and the conditionally affine part is a process with an affine structure on an enlarged state space, conditionally on the starting state of theMarkov chain.

### Feller Processes Generated by Pseudo-Differential Operators: On the Hausdorff Dimension of Their Sample Paths

- Mathematics
- 1998

Let {Xt}t≥0 be a Feller process generated by a pseudo-differential operator whose symbol satisfiesÇ∈∝n|q(Ç,ξ)|≤c(1=ψ)(ξ)) for some fixed continuous negative definite function ψ(ξ). The Hausdorff…

### Affine Processes and Application in Finance

- Mathematics
- 2002

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and…