# Markov-modulated affine processes

@article{Kurt2021MarkovmodulatedAP,
title={Markov-modulated affine processes},
author={Kevin Kurt and R{\"u}diger Frey},
journal={Stochastic Processes and their Applications},
year={2021}
}
• Published 30 June 2021
• Mathematics
• Stochastic Processes and their Applications

## References

SHOWING 1-10 OF 57 REFERENCES

• Mathematics
Stochastic 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
• Mathematics
Finance 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
• 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
• 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
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
• Mathematics
Finance 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.
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
• 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