Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Affine processes under parameter uncertainty   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 for the process, we construct a
corresponding non-linear expectation on the path space of continuous processes.
By a general dynamic programming principle we link this non-linear expectation
to a variational form of the Kolmogorov equation, where the generator of a
single affine process is replaced by the supremum over all corresponding
generators of affine processes with parameters in the parameter set. This
non-linear affine process yields a tractable model for Knightian uncertainty,
especially for modelling interest rates under ambiguity.
  We then develop an appropriate Ito-formula, the respective term-structure
equations and study the non-linear versions of the Vasicek and the
Cox-Ingersoll-Ross (CIR) model. Thereafter we introduce the non-linear
Vasicek-CIR model. This model is particularly suitable for modelling interest
rates when one does not want to restrict the state space a priori and hence the
approach solves this modelling issue arising with negative interest rates.

24
The categories of this paper are: dg-ga
30
The categories of this paper are: q-alg
35
The categories of this paper are: mtrl-th
14
The categories of this paper are: math-ph
8
The categories of this paper are: hep-ex
28
The categories of this paper are: alg-geom
10
The categories of this paper are: q-bio
0
The categories of this paper are: hep-ph
34
The categories of this paper are: chem-ph
32
The categories of this paper are: atom-ph
12
The categories of this paper are: nucl-th
6
The categories of this paper are: astro-ph
26
The categories of this paper are: bayes-an
23
The categories of this paper are: solv-int
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The categories of this paper are: funct-an
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The categories of this paper are: eess