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arXiv 1002.2764math.FAmath.PR
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仿射过程的特征函数及其算子符号演算

Characteristic functions of affine processes via calculus of their operator symbols

Joerg Kampen

摘要:

具有仿射型生成元和光滑符号函数的多元Feller过程的特征函数,具有由符号函数的幂和形式导数组成的monmom和有理数系数的幂级数的显式表示.该幂级数表示在时间上和任意大小的有界区域上是全局收敛的。广义符号函数可以导出导致幂级数展开,在特殊情况下,收敛于任意区域。可以通过整数递归有效地计算有理数系数。作为一个数值结果,多元仿射过程的特征函数可以有效地从符号函数计算,避免计算广义Riccati方程(最近在更一般的上下文中首次观察到)。

英文摘要:

The characteristic functions of multivariate Feller processes with generator of affine type, and with smooth symbol functions have an explicit representation in terms of power series with rational number coefficients and with monmoms consisting of powers of the the symbol functions and formal derivatives of the symbol functions. The power series repesentations are convergent globally in time and on bounded domains of arbitrary size. Generalized symbol functions can be derived leading to power series expansions which are convergent on arbitrary domains in special cases. The rational number coefficients can be efficiently computed by an integer recursion. As a numerical consequence characteristic functions of multivariate affine processes can be efficiently computed from the symbol function avoiding computation of the generalized Riccati equations (an observation first made recently in a more general context).

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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