2 papers
math.PR2025
Functional Itô-formula and Taylor expansions for non-anticipative maps of cà dlà g rough paths
Christa Cuchiero, Xin Guo, Francesca Primavera
We derive a functional Itô-formula for non-anticipative maps of rough paths, based on the approximation properties of the signature of cà dlà g rough paths. This result is a funct…
math.PR2024
Holomorphic jump-diffusions
Christa Cuchiero, Francesca Primavera, Sara Svaluto-Ferro
We introduce a class of jump-diffusions, called holomorphic, of which the well-known classes of affine and polynomial processes are particular instances. The defining property conc…