A general model system related to affine stochastic differential equations
A general model system related to affine stochastic differential equations
We link a general method for modeling random phenomena using systems of stochastic differential equations (SDEs) to the class of affine SDEs. This general construction emphasizes the central role of the Duffieā€“Kan system [Duffie and Kan, A yield-factor model of interest rates, Math. Finance 6 (1996) 379ā€“406] as a model ā€¦