23 citations · 66 across the 10 of their papers we have counts for
10 papers
Multiple Poisson-Dirichlet diffusions on generalized Kingman simplices
Cristina Costantini, Matteo Ruggiero
We construct a new class of infinite-dimensional diffusions with values in a generalized Kingman simplex with finitely many marks. The model describes the temporal evolution of the…
Obliquely reflecting Brownian motion in nonpolyhedral, piecewise smooth cones, with an example of application to diffusion approximation of bandwidth sharing queues
Cristina Costantini
This work gives sufficient conditions for uniqueness in law of semimartingale, obliquely reflecting Brownian motion in a nonpolyhedral, piecewise cone, with radially c…
Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains
Cristina Costantini, Thomas G. Kurtz
We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side",…
A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions
Cristina Costantini, Thomas G. Kurtz
Bass and Pardoux (1987) deduce from the Krein-Rutman theorem a reverse ergodic theorem for a sub-probability transition function, which turns out to be a key tool in proving unique…
Inflation, ECB and short-term interest rates: A new model, with calibration to market data
F. Antonacci, C. Costantini, F. D'Ippoliti +1
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, c…
Risk Neutral Valuation of Inflation-Linked Interest Rate Derivatives
Flavia Antonacci, Cristina Costantini, Fernanda D'Ippoliti +1
We propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous tim…
Markov selection for constrained martingale problems
Cristina Costantini, Thomas G. Kurtz
Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the boundary are controlled in some wa…
Existence and uniqueness of reflecting diffusions in cusps
Cristina Costantini, Thomas G. Kurtz
We consider stochastic differential equations with (oblique) reflection in a -dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the for…
Wright-Fisher construction of the two-parameter Poisson-Dirichlet diffusion
Cristina Costantini, Pierpaolo De Blasi, Stewart N. Ethier +2
The two-parameter Poisson--Dirichlet diffusion, introduced in 2009 by Petrov, extends the infinitely-many-neutral-alleles diffusion model, related to Kingman's one-parameter Poisso…
Viscosity methods giving uniqueness for martingale problems
Cristina Costantini, Thomas G. Kurtz
Let be a complete, separable metric space and be an operator on . We give an abstract definition of viscosity sub/supersolution of the resolvent equation …