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math.PR2026
Markovian projections for functionals of Itô semimartingales with jumps
Martin Larsson, Shukun Long
Given an Itô semimartingale , its Markovian projection is an Itô semimartingale , with Markovian differential characteristics, that matches the one-dimensional ma…
math.PR2025
Inverting the Markovian projection for pure jump processes
Martin Larsson, Shukun Long
Markovian projections arise in problems where we aim to mimic the one-dimensional marginal laws of an Itô semimartingale by using another Itô process with Markovian dynamics. In…