Affine processes are regular

Details Affine processes are regular Affine processes are regular

2009-06-18

arxiv.org/abs/0906.3392v2

Mathematics

Probability

Scientific paper

We show that stochastically continuous, time-homogeneous affine processes on the canonical state space $\Rplus^m \times \RR^n$ are always regular. In the paper of \citet{Duffie2003} regularity was used as a crucial basic assumption. It was left open whether this regularity condition is automatically satisfied, for stochastically continuous affine processes. We now show that the regularity assumption is indeed superfluous, since regularity follows from stochastic continuity and the exponentially affine behavior of the characteristic function. For the proof we combine classic results on the differentiability of transformation semigroups with the method of the moving frame which has been recently found to be useful in the theory of SPDEs.

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