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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…
math.PR2024
Polynomial interacting particle systems and non-linear SPDEs for market capitalization curves
Christa Cuchiero, Florian Huber
Motivated by the robustness of the capital distribution curves, we study the behavior of a certain polynomial equity market model as the number of companies goes to infinity. More…