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.
Citation
Christa Cuchiero. Martin Larsson. Sara Svaluto-Ferro. "Polynomial jump-diffusions on the unit simplex." Ann. Appl. Probab. 28 (4) 2451 - 2500, August 2018. https://doi.org/10.1214/17-AAP1363
Information