| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155413 | Stochastic Processes and their Applications | 2016 | 30 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Stefan Tappe,