Affine processes from the perspective of path-space valued Levy processes

Nicolleta Gabrielli (ETH Zurich)
Thursday, July 17, 2014 - 5:00pm
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

Based on the theory of multivariate time change for Markov processes, we show how to identify affine processes as solutions of certain time change equations. More precisely, we are able to construct the paths of an affine process from the paths of a family of Levy processes properly time–changed. The approach relies on the construction of a universal transformation on the path-space transforming the laws of a family of Levy processes with no negative jumps to the law of an affine process.