• search hit 2 of 6
Back to Result List

Holomorphic transforms with application to affine processes

Please always quote using this URN:urn:nbn:de:0296-matheon-4676
  • 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.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Denis Belomestny, Joerg Kampen, John Schoenmakers
URN:urn:nbn:de:0296-matheon-4676
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2008/02/26
Release Date:2008/02/26
Preprint Number:458
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.