Non-linear affine processes with jumps

DOI10.3934/PUQR.2023010arXiv2207.03710OpenAlexW4382249334MaRDI QIDQ6090956FDOQ6090956

Authors: Francesca Biagini, Georg Bollweg, Katharina Oberpriller 

Publication date: 21 November 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Abstract: We present a probabilistic construction of $mathbb{R}^d$-valued non-linear affine processes with jumps. Given a set $Theta$ 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.

Full work available at URL: https://arxiv.org/abs/2207.03710

Recommendations

• Nonlinear Lévy processes and their characteristics
• Affine processes under parameter uncertainty
• Stochastic Processes under Parameter Uncertainty
• On the construction of non-affine jump-diffusion models
• On nonlinear expectations and Markov chains under model uncertainty

zbMATH Keywords

dynamic programmingsublinear expectationPIDEnon-linear affine processes

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

• Measure theory. Vol. I and II
• Title not available (Why is that?)
• Title not available (Why is that?)
• Affine processes and applications in finance
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Constructing sublinear expectations on path space
• Title not available (Why is that?)
• Robust fundamental theorem for continuous processes
• Martingale representation theorem for the \(G\)-expectation
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Affine processes beyond stochastic continuity
• Time-inhomogeneous affine processes
• Affine processes on symmetric cones
• Regularity of affine processes on general state spaces
• Measurability of semimartingale characteristics with respect to the probability law
• Handbook of Financial Time Series
• Affine processes are regular
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• Nonlinear Lévy processes and their characteristics
• Semi-static completeness and robust pricing by informed investors
• Robust utility maximization with Lévy processes
• A semigroup approach to nonlinear Lévy processes
• Markov chains under nonlinear expectation
• Martingale problem under nonlinear expectations
• Affine processes under parameter uncertainty
• Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear Lévy(-type) processes
• Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems

Cited In (5)

• Stochastic Processes under Parameter Uncertainty
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Title not available (Why is that?)
• Nonlinear semimartingales and Markov processes with jumps

This page was built for publication: Non-linear affine processes with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6090956)