کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155413 958724 2016 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Affine realizations with affine state processes for stochastic partial differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Affine realizations with affine state processes for stochastic partial differential equations
چکیده انگلیسی
The goal of this paper is to clarify when a stochastic partial differential equation with an affine realization admits affine state processes. This includes a characterization of the set of initial points of the realization. Several examples, as the HJMM equation from mathematical finance, illustrate our results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 7, July 2016, Pages 2062-2091
نویسندگان
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