most citedStationary Covariance Regime for Affine Stochastic Covariance Models in Hilbert Spaces

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math.PR2022★ 1 cited

Stationary Covariance Regime for Affine Stochastic Covariance Models in Hilbert Spaces

Martin Friesen, Sven Karbach

We study the long-time behavior of affine processes on positive self-adjoiont Hilbert-Schmidt operators which are of pure-jump type, conservative and have finite second moment. For…

math.PR2021

An infinite-dimensional affine stochastic volatility model

Sonja Cox, Sven Karbach, Asma Khedher

We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose…