19 citations · 53 across the 22 of their papers we have counts for
3 papers · 1 filter
Multi-dimensional fractional Brownian motion in the G-setting
Francesca Biagini, Andrea Mazzon, Katharina Oberpriller
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index under volatility uncertainty (in short G-fBm). We study the…
Non-linear Affine Processes with Jumps
Francesca Biagini, Georg Bollweg, Katharina Oberpriller
We present a probabilistic construction of -valued non-linear affine processes with jumps. Given a set of affine parameters, we define a family of sublinear expec…
Generalized Feynman-Kac Formula under volatility uncertainty
Bahar Akhtari, Francesca Biagini, Andrea Mazzon +1
In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result unde…