129 citations · 272 across the 18 of their papers we have counts for
21 papers
Stochastic evolution equations driven by arbitrary cylindrical Lévy processes
Gergely Bodó, Sonja Cox, Adam Jakubowski +1
We establish the first existence and uniqueness result for mild solutions of abstract stochastic evolution equations driven by arbitrary cylindrical Lévy processes in Hilbert space…
Universal approximation by signatures for infinite-dimensional rough paths
Sonja Cox, Asma Khedher, Thijs Maessen
We establish universal approximation theorems for infinite-dimensional geometric rough paths, i.e., we show that continuous functions on the space of infinite-dimensional weakly ge…
Infinite-dimensional Wishart-processes
Sonja Cox, Christa Cuchiero, Asma Khedher
We introduce and analyse infinite dimensional Wishart processes taking values in the cone of positive self-adjoint trace class operators on a separable real Hilbert spac…
An infinite-dimensional affine stochastic volatility model
Sonja Cox, Sven Karbach, Asma Khedher
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose…
Efficient numerical approximation of a non-regular Fokker--Planck equation associated with first-passage time distributions
Udo Boehm, Sonja Cox, Gregor Gantner +1
In neuroscience, the distribution of a decision time is modelled by means of a one-dimensional Fokker--Planck equation with time-dependent boundaries and space-time-dependent drift…
Affine pure-jump processes on positive Hilbert-Schmidt operators
Sonja Cox, Sven Karbach, Asma Khedher
We show the existence of a broad class of affine Markov processes in the cone of positive self-adjoint Hilbert-Schmidt operators. Such processes are well-suited as infinite dimensi…