Polynomial jump-diffusions on the unit simplex

Citation
Cuchiero, Christa et al., Polynomial jump-diffusions on the unit simplex, Annals of applied probability , 28(4), 2018, pp. 2451-2500
ISSN journal
10505164
Volume
28
Issue
4
Year of publication
2018
Pages
2451 - 2500
Database
ACNP
SICI code
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.