3 citations · 8 across the 8 of their papers we have counts for
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Holomorphic jump-diffusions
Christa Cuchiero, Francesca Primavera, Sara Svaluto-Ferro
We introduce a class of jump-diffusions, called holomorphic, of which the well-known classes of affine and polynomial processes are particular instances. The defining property conc…
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…
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…
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
Christa Cuchiero, Josef Teichmann
We show that \emph{No unbounded profit with bounded risk} (NUPBR) implies \emph{predictable uniform tightness} (P-UT), a boundedness property in the Emery topology which has been i…