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 cano...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.展开更多
文摘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.
