{"title":"仿射过程的路径构造","authors":"Nicoletta Gabrielli, J. Teichmann","doi":"10.1142/9789813272569_0008","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"42 9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Pathwise Construction of Affine Processes\",\"authors\":\"Nicoletta Gabrielli, J. Teichmann\",\"doi\":\"10.1142/9789813272569_0008\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":128926,\"journal\":{\"name\":\"Innovations in Insurance, Risk- and Asset Management\",\"volume\":\"42 9 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-12-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Innovations in Insurance, Risk- and Asset Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/9789813272569_0008\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Innovations in Insurance, Risk- and Asset Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/9789813272569_0008","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.
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