Non-linear affine processes with jumps  

作　　者：Francesca Biagini Georg Bollweg Katharina Oberpriller 

机构地区：[1]Workgroup Financial and Insurance Mathematics,Department of Mathematics,Ludwig-Maximilians-Universität München,Theresienstrasse 39,80333 Munich,Germany [2]University of Freiburg,Ernst-Zermelo-Strasse 1,79104 Freiburg,Germany

出　　处：《Probability, Uncertainty and Quantitative Risk》2023年第2期235-266,共32页概率、不确定性与定量风险（英文）

摘　　要：We present a probabilistic construction of R^(d)-valued non-linear affine processes with jumps.Given a setΘof 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.

关 键 词：Sublinear expectation Non-linear affine processes Dynamic programming PIDE 

分 类 号：O21[理学—概率论与数理统计]