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20182022
most citedMeasure-valued processes for energy markets

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math.PR2019

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…

math.PR2019

Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces

Martin Larsson, Sara Svaluto-Ferro

We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other s…

math.PR2018

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…