论文标题
跳跃的非线性仿射过程
Non-linear Affine Processes with Jumps
论文作者
论文摘要
我们提出了$ \ mathbb {r}^d $ - 价值的非线性仿射过程的概率结构。鉴于仿射参数的集合$θ$，我们在skorokhod空间上定义了一个sublinear期望的家族，在该空间下，规范过程$ x $是具有非线性发电机的（sublinear）Markov进程。这产生了骑士不确定性的可拖动模型，可以通过部分差异方向方程来计算马尔可夫功能的倍率期望。
We present a probabilistic construction of $\mathbb{R}^d$-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.
