  The goal of this article is to investigate infinite dimensional affine
diffusion processes on the canonical state space. This includes a derivation of
the corresponding system of Riccati differential equations and an existence
proof for such processes, which has been missing in the literature so far. For
the existence proof, we will regard affine processes as solutions to infinite
dimensional stochastic differential equations with values in Hilbert spaces.
This requires a suitable version of the Yamada-Watanabe theorem, which we will
provide in this paper. Several examples of infinite dimensional affine
processes accompany our results.
