We present a probabilistic construction of Rᵈ -valued non-linear affine processes with jumps. Given a set Θ of affine parameters, we define a family of sublinear expectations on the Skorokhod space under which the canonical process X is a (sublinear) Markov process with a non-linear generator. This yields a tractable model for Knightian uncertainty for which the sublinear expectation of a Markovian functional can be calculated via a partial integro-differential equation.
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Biagini et al. (2023) studied this question.
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