5 citations · 5 across the 1 of their papers we have counts for
3 papers
math.PR2026★ 5 cited
Signature SDEs from an affine and polynomial perspective
Christa Cuchiero, Sara Svaluto-Ferro, Josef Teichmann
Signature stochastic differential equations (SDEs) constitute a large class of stochastic processes, here driven by Brownian motions, whose characteristics are linear maps of their…
math.PR2025
Polynomial McKean-Vlasov SDEs
Christa Cuchiero, Janka Möller
We study a new class of McKean-Vlasov stochastic differential equations (SDEs), possibly with common noise, applying the theory of time-inhomogeneous polynomial processes. The drif…
q-fin.MF2024
Signature Methods in Stochastic Portfolio Theory
Christa Cuchiero, Janka Möller
In the context of stochastic portfolio theory we introduce a novel class of portfolios which we call linear path-functional portfolios. These are portfolios which are determined by…