Affine processes under parameter uncertainty

Affine processes under parameter uncertainty

Abstract We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call nonlinear affine processes. This is done as follows: given a set Θ of parameters for the process, we construct a corresponding nonlinear expectation on the path space of continuous processes....

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Bibliographic Details
Main Authors: Tolulope Fadina, Ariel Neufeld, Thorsten Schmidt
Format: Article
Language:English
Published: SpringerOpen 2019-05-01
Series:Probability, Uncertainty and Quantitative Risk
Subjects:
Affine processes
Knightian uncertainty
Riccati equation
Vasiček model
Cox–Ingersoll–Ross model
Nonlinear Vasiček/CIR model
Online Access:http://link.springer.com/article/10.1186/s41546-019-0039-1

Internet

http://link.springer.com/article/10.1186/s41546-019-0039-1

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