121 citations · 190 across the 14 of their papers we have counts for
8 papers · 1 filter
Quantitative Halmos-Savage theorems and robust large financial markets
Christa Cuchiero, Irene Klein, Georg Köstenberger +1
We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing…
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…
Markovian lifts of positive semidefinite affine Volterra type processes
Christa Cuchiero, Josef Teichmann
We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Felle…
Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
Christa Cuchiero, Josef Teichmann
We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller proper…
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…
Affine processes on symmetric cones
Christa Cuchiero, Martin Keller-Ressel, Eberhard Mayerhofer +1
We consider affine Markov processes taking values in convex cones. In particular, we characterize all affine processes taking values in an irreducible symmetric cone in terms of ce…
Affine processes on positive semidefinite matrices
Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer +1
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been mot…
Polynomial processes and their applications to mathematical Finance
Christa Cuchiero, Martin Keller-Ressel, Josef Teichmann
We introduce a class of Markov processes, called -polynomial, for which the calculation of (mixed) moments up to order only requires the computation of matrix exponentials.…