Nonlinear Lévy processes and their characteristics

DOI10.1090/TRAN/6656zbMATH Open1356.60075arXiv1401.7253OpenAlexW1940978470MaRDI QIDQ2826754FDOQ2826754

Authors: Ariel Neufeld, Marcel Nutz 

Publication date: 18 October 2016

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Abstract: We develop a general construction for nonlinear L'evy processes with given characteristics. More precisely, given a set $Theta$ 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 $Theta$. 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.

Full work available at URL: https://arxiv.org/abs/1401.7253

Recommendations

• A semigroup approach to nonlinear Lévy processes
• \(G\)-Lévy processes under sublinear expectations
• A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
• Nonlinear stochastic integrals for hyperfinite Lévy processes
• Nonlinear Lévy and nonlinear Feller processes: an analytic introduction

zbMATH Keywords

Knightian uncertaintypartial integro-differential equationsublinear expectationsemimartingale characteristicsnonlinear Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (35R09) Martingales with continuous parameter (60G44)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Wellposedness of second order backward SDEs
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Stochastic optimal control. The discrete time case
• Constructing sublinear expectations on path space
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Superreplication under volatility uncertainty for measurable claims
• Title not available (Why is that?)
• Title not available (Why is that?)
• Quasi-sure stochastic analysis through aggregation
• Title not available (Why is that?)
• Dual formulation of second order target problems
• Measurability of semimartingale characteristics with respect to the probability law
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• Random \(G\)-expectations
• On representation theorem of sublinear expectation related to \(G\)-Lévy process and paths of \(G\)-Lévy process
• Title not available (Why is that?)
• Second-order BSDEs with jumps: formulation and uniqueness

Cited In (49)

• Nonlinear continuous semimartingales
• McKean-Vlasov optimal control: the dynamic programming principle
• Nonlinear SDEs driven by L\'evy processes and related PDEs
• A generalized stochastic process: fractional \(G\)-Brownian motion
• Robust utility maximization of terminal wealth with drift and volatility uncertainty
• Robust utility maximization with nonlinear continuous semimartingales
• A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
• Robust utility maximization with Lévy processes
• Compactness criterion for semimartingale laws and semimartingale optimal transport
• Markov chains under nonlinear expectation
• Stabilization of stochastic differential equations driven by G-Lévy process with discrete-time feedback control
• A robust \(\alpha \)-stable central limit theorem under sublinear expectation without integrability condition
• Wasserstein perturbations of Markovian transition semigroups
• Conditional nonlinear expectations
• Reduced-form framework under model uncertainty
• Robust deep hedging
• An \(\alpha\)-stable limit theorem under sublinear expectation
• Measurability of semimartingale characteristics with respect to the probability law
• Affine processes under parameter uncertainty
• Stochastic Processes under Parameter Uncertainty
• Analytical and numerical solutions to ergodic control problems arising in environmental management
• Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear Lévy(-type) processes
• Nonlinear semigroups built on generating families and their Lipschitz sets
• Convex semigroups on \(L^p\)-like spaces
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Duality theory for robust utility maximisation
• A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
• A semigroup approach to nonlinear Lévy processes
• Reduced-form setting under model uncertainty with non-linear affine intensities
• Convex monotone semigroups on lattices of continuous functions
• Nonlinear Lévy and nonlinear Feller processes: an analytic introduction
• Uncertain volatility models with stochastic bounds
• Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
• Now decision theory
• Estimation of the characteristics of a Lévy process
• Upper bounds for ruin probabilities under model uncertainty
• Limits of random walks with distributionally robust transition probabilities
• Dynamic programming for mean-field type control
• Nonlinear stochastic integrals for hyperfinite Lévy processes
• On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
• Nonlinear semimartingales and Markov processes with jumps
• The robust Merton problem of an ambiguity averse investor
• Product space for two processes with independent increments under nonlinear expectations
• Robust superhedging with jumps and diffusion
• \(G\)-Lévy processes under sublinear expectations
• Non-linear affine processes with jumps
• Dynamic programming for mean-field type control
• Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
• Nonergodicity of a time series obeying Lévy statistics

This page was built for publication: Nonlinear Lévy processes and their characteristics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2826754)