Nonlinear Lévy processes and their characteristics
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Publication:2826754
Abstract: We develop a general construction for nonlinear L'evy processes with given characteristics. More precisely, given a set of L'evy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process has stationary independent increments and a nonlinear generator corresponding to the supremum of all generators of classical L'evy processes with triplets in . The nonlinear L'evy process yields a tractable model for Knightian uncertainty about the distribution of jumps for which expectations of Markovian functionals can be calculated by means of a partial integro-differential equation.
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Cited in
(49)- Non-linear affine processes with jumps
- Nonergodicity of a time series obeying Lévy statistics
- Dynamic programming for mean-field type control
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
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- Robust utility maximization with nonlinear continuous semimartingales
- Robust utility maximization with Lévy processes
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- Reduced-form framework under model uncertainty
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- Wasserstein perturbations of Markovian transition semigroups
- Measurability of semimartingale characteristics with respect to the probability law
- Robust deep hedging
- Affine processes under parameter uncertainty
- Stochastic Processes under Parameter Uncertainty
- Analytical and numerical solutions to ergodic control problems arising in environmental management
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- Nonlinear semigroups built on generating families and their Lipschitz sets
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- Now decision theory
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- Limits of random walks with distributionally robust transition probabilities
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- Dynamic programming for mean-field type control
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- Product space for two processes with independent increments under nonlinear expectations
- Nonlinear semimartingales and Markov processes with jumps
- Robust superhedging with jumps and diffusion
- \(G\)-Lévy processes under sublinear expectations
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