3 citations · 8 across the 8 of their papers we have counts for
8 papers
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…
Ramifications of generalized Feller theory
Christa Cuchiero, Tonio Möllmann, Josef Teichmann
Generalized Feller theory provides an important analog to Feller theory beyond locally compact state spaces. This is very useful for solutions of certain stochastic partial differe…
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…
Signature-based models: theory and calibration
Christa Cuchiero, Guido Gazzani, Sara Svaluto-Ferro
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inf…
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
We consider two implicit approximation schemes of the one-dimensional supercooled Stefan problem and prove their convergence, even in the presence of finite time blow-ups. All proo…
Measure-valued affine and polynomial diffusions
Christa Cuchiero, Francesco Guida, Luca di Persio +1
We introduce a class of measure-valued processes, which -- in analogy to their finite dimensional counterparts -- will be called measure-valued polynomial diffusions. We show the s…