Non-linear affine processes with jumps

DOI10.3934/PUQR.2023010MaRDI QIDQ6090956zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, Georg Bollweg, Katharina Oberpriller

Publication date 21 November 2023

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

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

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)

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.

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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
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