We consider stochastic (partial) differential equations appearing as Markovian lifts of affine
Volterra processes with jumps from the point of view of the generalized Feller property which …

We introduce a class of measure-valued processes, which–in analogy to their finite
dimensional counterparts–will be called measure-valued polynomial diffusions. We show …

In this paper, sufficient conditions are given for the existence of limiting distribution of a
conservative affine process on the canonical state space R⩾ 0 m× R n, where m, n∈ Z⩾ 0 …

This research monograph provides an introduction to tractable multidimensional diffusion
models, where transition densities, Laplace transforms, Fourier transforms, fundamental …

This thesis is devoted to the study of affine and polynomial processes. Both are particular
classes of continuous-time Markov processes, whose specific properties are determined by …

The present paper introduces a jump-diffusion extension of the classical diffusion default
intensity model by means of subordination in the sense of Bochner. We start from the bi …

In this paper, we study time-inhomogeneous affine processes beyond the common
assumption of stochastic continuity. In this setting, times of jumps can be both inaccessible …

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, ie an arbitrary …

For affine processes on finite-dimensional cones, we give criteria for geometric ergodicity—
that is exponentially fast convergence to a unique stationary distribution. Ergodic results …

We introduce a framework that allows to employ (non‐negative) measure‐valued processes
for energy market modeling, in particular for electricity and gas futures. Interpreting the …