activity
20102023
most citedA system of quadratic BSDEs arising in a price impact model

28 citations · 58 across the 11 of their papers we have counts for

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Showing 2017Show all

3 papers · 1 filter

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…