1 citations · 1 across the 1 of their papers we have counts for
4 papers
Measure-valued processes for energy markets
Christa Cuchiero, Luca Di Persio, Francesco Guida +1
We introduce a framework that allows to employ (non-negative) measure-valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the p…
Infinite dimensional polynomial processes
Christa Cuchiero, Sara Svaluto-Ferro
We introduce polynomial processes taking values in an arbitrary Banach space via their infinitesimal generator and the associated martingale problem. We obtain two represen…
Probability measure-valued polynomial diffusions
Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
We introduce a class of probability measure-valued diffusions, coined polynomial, of which the well-known Fleming--Viot process is a particular example. The defining property of fi…
Polynomial processes in stochastic portfolio theory
Christa Cuchiero
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding…