TY - GEN A1 - Belomestny, Denis A1 - Kampen, Joerg A1 - Schoenmakers, John T1 - Holomorphic transforms with application to affine processes N2 - In a rather general setting of Itô-Lévy processes we study a class of transforms (Fourier for example) of the state variable of a process which are holomorphic in some disc around time zero in the complex plane. We show that such transforms are related to a system of analytic vectors for the generator of the process, and we state conditions which allow for holomorphic extension of these transforms into a strip which contains the positive real axis. Based on these extensions we develop a functional series expansion of these transforms in terms of the constituents of the generator. As application, we show that for multidimensional affine Itô-Lévy processes with state dependent jump part the Fourier transform is holomorphic in a time strip under some stationarity conditions, and give log-affine series representations for the transform. Y1 - 2008 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/467 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-4676 ER -