2022/07/08 by Biagini, Francesca, Bollweg, Georg, Oberpriller, Katharina · 1 citation
#60G07 #60G65 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
paper · doi:10.48550/arxiv.2207.03710
We present a probabilistic construction of ℝd-valued non-linear affine processes with jumps. Given a set Θ 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.