- Working Paper
We develop a general construction for nonlinear L\'evy processes with given characteristics. More precisely, given a set Θ of L\'evy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process has stationary independent increments and a nonlinear generator corresponding to the supremum of all generators of classical L\'evy processes with triplets in Θ . The nonlinear L\'evy process yields a tractable model for Knightian uncertainty about the distribution of jumps for which expectations of Markovian functionals can be calculated by means of a partial integro-differential equation Show more
Journal / seriesarXiv
Pages / Article No.
SubjectNonlinear Lévy process; Sublinear expectation; Partial integro-differential equation; Semimartingale characteristics; Knightian uncertainty
Organisational unit03658 - Schweizer, Martin / Schweizer, Martin
NotesSubmitted on 28 January 2014.
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