28 citations · 58 across the 11 of their papers we have counts for
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math.PR2017★ 3 cited
Density of the set of probability measures with the martingale representation property
Dmitry Kramkov, Sergio Pulido
Let be a multi-dimensional random variable. We show that the set of probability measures such that the -martingale $S^{\mathbb{Q}}_t=\mathbb{E}^{\mathb…
math.PR2017
Affine Volterra processes
Eduardo Abi Jaber, Martin Larsson, Sergio Pulido
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special…
math.PR2017
Markov cubature rules for polynomial processes
Damir Filipović, Martin Larsson, Sergio Pulido
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together w…