Affine processes under parameter uncertainty

DOI10.1186/s41546-019-0039-1zbMath1443.91309arXiv1806.02912OpenAlexW2963537828WikidataQ127819112 ScholiaQ127819112MaRDI QIDQ2296126

Yanyan Li

Publication date: 17 February 2020

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

Full work available at URL: https://arxiv.org/abs/1806.02912

zbMATH Keywords

Riccati equationItô formulaKolmogorov equationsemimartingaleCox-Ingersoll-Ross modelHeston modelKnightian uncertaintyaffine processesfully nonlinear PDEVasiček modelnonlinear Vasiček/CIR model

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (14)

Term structure modeling under volatility uncertainty ⋮ Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach ⋮ Robust deep hedging ⋮ Reduced-form setting under model uncertainty with non-linear affine intensities ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Non-linear affine processes with jumps ⋮ Wasserstein perturbations of Markovian transition semigroups ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ Generalized Feynman-Kac formula under volatility uncertainty ⋮ Infinite dimensional affine processes ⋮ Adaptive Robust Control in Continuous Time ⋮ Pathwise convergence under Knightian uncertainty ⋮ Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

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