Non-linear affine processes with jumps
From MaRDI portal
Publication:6090956
DOI10.3934/puqr.2023010arXiv2207.03710OpenAlexW4382249334MaRDI QIDQ6090956
Georg Bollweg, Katharina Oberpriller, Francesca Biagini
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
General theory of stochastic processes (60G07) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Affine processes on symmetric cones
- Regularity of affine processes on general state spaces
- Measurability of semimartingale characteristics with respect to the probability law
- Martingale representation theorem for the \(G\)-expectation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Affine processes are regular
- Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Affine processes and applications in finance
- Semi-static completeness and robust pricing by informed investors
- Martingale problem under nonlinear expectations
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes
- Affine processes under parameter uncertainty
- Affine processes beyond stochastic continuity
- A semigroup approach to nonlinear Lévy processes
- A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
- Constructing sublinear expectations on path space
- Time-inhomogeneous affine processes
- Nonlinear Lévy processes and their characteristics
- Handbook of Financial Time Series
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
- Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes
- Markov chains under nonlinear expectation
This page was built for publication: Non-linear affine processes with jumps
