Non-linear affine processes with jumps

Biagini, Francesca ; Bollweg, Georg and Oberpriller, Katharina (2023): Non-linear affine processes with jumps. In: Probability, Uncertainty and Quantitative Risk, Vol. 8, No. 2: pp. 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.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 2095-9672
• Language: English