Existence of affine realizations for stochastic partial differential equations driven by Lévy processes

Abstract

The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by Lévy processes admits an affine realization. Our results are accompanied by several examples arising in natural sciences and economics.

19 pages

References in corpus (4)

• An alternative approach on the existence of affine realizations for HJM term structure models
• Stochastic mortality models: An infinite dimensional approach
• Real-world forward rate dynamics with affine realizations
• Existence of affine realizations for Lévy term structure models