Polynomial jump-diffusions on the unit simplex

Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro

Publication: Scientific journalJournal articlepeer-review

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 languageEnglish
Pages (from-to)2451 - 2500
JournalAnnals of Applied Probability
Volume28
Issue number4
DOIs
Publication statusPublished - 2018

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