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math.PR2021★ 2 cited
Markov-Modulated Affine Processes
Kevin Kurt, Rüdiger Frey
We study Markov-modulated affine processes (abbreviated MMAPs), a class of Markov processes that are created from affine processes by allowing some of their coefficients to be a fu…
math.PR2019
Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds
Katia Colaneri, Rüdiger Frey
The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jum…