- Working Paper
Based on the theory of multivariate time changes for Markov processes, we show how to identify affine processes as solutions of certain time change equations. The result is a strong version of a theorem presented by J. Kallsen (2006) which provides a representation in law of an affine process as a time-change transformation of a family of independent L\'evy processes Show more
Journal / seriesarXiv
Pages / Article No.
SubjectAffine processes; Lamperti transform; Time–change
Organisational unit03845 - Teichmann, Josef / Teichmann, Josef
NotesSubmitted on 25 December 2014.
MoreShow all metadata