26 citations · 157 across the 57 of their papers we have counts for
14 papers · 1 filter
On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales
Damiano Brigo, Frédéric Vrins
We study homogeneous diffusion martingales evolving in a bounded state space , where and are zeros of the diffusion coefficient. We call a process of the form $Z_t…
Optimal Projection Filters
Damiano Brigo
We present the two new notions of projection of a stochastic differential equation (SDE) onto a submanifold, as developed in Armstrong, Brigo e Rossi Ferrucci (2019, 2018): the Ito…
Mild to classical solutions for XVA equations under stochastic volatility
Damiano Brigo, Federico Graceffa, Alexander Kalinin
We extend the valuation of contingent claims in presence of default, collateral and funding to a random functional setting and characterise pre-default value processes by martingal…
Projections of SDEs onto Submanifolds
John Armstrong, Damiano Brigo, Emilio Ferrucci
In [ABF19] the authors define three projections of Rd-valued stochastic differential equations (SDEs) onto submanifolds: the Stratonovich, Ito-vector and Ito-jet projections. In th…
Optimal approximation of SDEs on submanifolds: the Ito-vector and Ito-jet projections
John Armstrong, Damiano Brigo
We define two new notions of projection of a stochastic differential equation (SDE) onto a submanifold: the Ito-vector and Ito-jet projections. This allows one to systematically de…
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions
Damiano Brigo, Monique Jeanblanc, Frederic Vrins
It is known since Kellerer (1972) that for any process that is increasing for the convex order, or "peacock" as in Hirsch et al. 2011, there exist martingales with the same margina…