Affine processes have been used extensively to model financial
phenomena since their marginal distributions are very tractable from
an analytic point of view (up to the solution of a non-linear
differential equation). It is well known by works of
Dynkin-McKean-LeJan-Sznitman that one can turn this point of view
around and represent solutions of non-linear PDEs by affine
processes. Recent advances in mathematical Finance in this direction
have been contributed by Henry-Labordere, Tan and Touzi. We shall
provide some general theory in this direction from the affine point of
view and introduce stochastic representation of fully non-linear
PDEs.

(Joint work with Georg Grafendorfer and Christa Cuchiero)
Speaker(s): Josef Teichmann (ETH)