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math.PR2018
Affine processes under parameter uncertainty
Tolulope Fadina, Ariel Neufeld, Thorsten Schmidt
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters f…
math.PR2018
Stochastic integration and differential equations for typical paths
Daniel Bartl, Michael Kupper, Ariel Neufeld
The goal of this paper is to define stochastic integrals and to solve stochastic differential equations for typical paths taking values in a possibly infinite dimensional separable…