Affine diffusions with non-canonical state space

Details Affine diffusions with non-canonical state space Affine diffusions with non-canonical state space

2010-04-03

arxiv.org/abs/1004.0429v2

Mathematics

Probability

36 pages; paper is split into two papers; results on invariance and strong solutions added

Scientific paper

Multidimensional affine diffusions have been studied in detail for the case of a canonical state space. We present results for general state spaces and provide a complete characterization of all possible affine diffusions with polyhedral and quadratic state space. We give necessary and sufficient conditions on the behavior of drift and diffusion on the boundary of the state space in order to obtain invariance and to prove strong existence and uniqueness.

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