POLYNOMIAL JUMP-DIFFUSIONS ON THE UNIT SIMPLEX

• 成果类型: Article
• 署名作者: Cuchiero, Christa; Larsson, Martin; Svaluto-Ferro, Sara
• 署名单位: University of Vienna; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1363
• 发表日期: 2018
• 页码: 2451-2500
• 关键词: momentum problem

摘要

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.