Polynomial jump-diffusions on the unit simplex
Probability
2017-08-29 v2
Abstract
Polynomial jump-diffusions constitute a class of tractable stochastic models with wide applicability in areas such as mathematical finance and population genetics. We provide a full parameterization of polynomial jump-diffusions on the unit simplex under natural structural hypotheses on the jumps. As a stepping stone, we characterize well-posedness of the martingale problem for polynomial operators on general compact state spaces.
Cite
@article{arxiv.1612.04266,
title = {Polynomial jump-diffusions on the unit simplex},
author = {Christa Cuchiero and Martin Larsson and Sara Svaluto-Ferro},
journal= {arXiv preprint arXiv:1612.04266},
year = {2017}
}