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math.PR2010★ 1 cited
Affine diffusions with non-canonical state space
Peter Spreij, Enno Veerman
Multidimensional affine diffusions have been studied in detail for the case of a canonical state space. We present results for general state spaces and provide a complete character…
math.PR2010★ 14 cited
The affine transform formula for affine jump-diffusions with a general closed convex state space
Peter Spreij, Enno Veerman
We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends kno…