Non-linear affine processes with jumps

Biagini, Francesca ; Bollweg, Georg und Oberpriller, Katharina (2023): Non-linear affine processes with jumps. In: Probability, Uncertainty and Quantitative Risk, Bd. 8, Nr. 2: S. 235-266

Abstract

We present a probabilistic construction of -valued non-linear affine processes with jumps. Given a set of affine parameters, we define a family of sublinear expectations on the Skorokhod space under which the canonical process X is a (sublinear) Markov process with a non-linear generator. This yields a tractable model for Knightian uncertainty for which the sublinear expectation of a Markovian functional can be calculated via a partial integro-differential equation.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 2095-9672
• Sprache: Englisch