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arxiv: 0807.1289 · v1 · submitted 2008-07-08 · 🧮 math.FA · math.AP

Holomorphic transforms with application to affine processes

classification 🧮 math.FA math.AP
keywords transformsholomorphicprocessesstateaffineapplicationconditionsfourier
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In a rather general setting of It\^o-L\'evy processes we study a class of transforms (Fourier for example) of the state variable of a process which are holomorphic in some disc around time zero in the complex plane. We show that such transforms are related to a system of analytic vectors for the generator of the process, and we state conditions which allow for holomorphic extension of these transforms into a strip which contains the positive real axis. Based on these extensions we develop a functional series expansion of these transforms in terms of the constituents of the generator. As application, we show that for multidimensional affine It\^o-L\'evy processes with state dependent jump part the Fourier transform is holomorphic in a time strip under some stationarity conditions, and give log-affine series representations for the transform.

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