5 citations · 15 across the 9 of their papers we have counts for
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math.PR2021★ 2 cited
Measure-valued affine and polynomial diffusions
Christa Cuchiero, Francesco Guida, Luca di Persio +1
We introduce a class of measure-valued processes, which -- in analogy to their finite dimensional counterparts -- will be called measure-valued polynomial diffusions. We show the s…
math.PR2021
Controlled Measure-Valued Martingales: a Viscosity Solution Approach
Alexander M. G. Cox, Sigrid Källblad, Martin Larsson +1
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, ca…