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.
Original language | English |
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Pages (from-to) | 2451 - 2500 |
Journal | Annals of Applied Probability |
Volume | 28 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2018 |