78 citations · 171 across the 33 of their papers we have counts for
5 papers · 2 filters
Affine processes on symmetric cones
Christa Cuchiero, Martin Keller-Ressel, Eberhard Mayerhofer +1
We consider affine Markov processes taking values in convex cones. In particular, we characterize all affine processes taking values in an irreducible symmetric cone in terms of ce…
Exponential moments of affine processes
Martin Keller-Ressel, Eberhard Mayerhofer
We investigate the maximal domain of the moment generating function of affine processes in the sense of Duffie, Filipović and Schachermayer [Ann. Appl. Probab. 13 (2003) 984-1053],…
Path properties and regularity of affine processes on general state spaces
Christa Cuchiero, Josef Teichmann
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show th…
Regularity of affine processes on general state spaces
Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann
We consider a stochastically continuous, affine Markov process in the sense of Duffie, Filipovic and Schachermayer, with cadlag paths, on a general state space D, i.e. an arbitrary…
On the Limit Distributions of Continuous-State Branching Processes with Immigration
Martin Keller-Ressel, Aleksandar Mijatovic
We consider the class of continuous-state branching processes with immigration (CBI-processes), introduced by Kawazu and Watanabe (1971) and their limit distributions as time tends…