9 citations · 21 across the 5 of their papers we have counts for
7 papers · 1 filter
On A Class Of Rank-Based Continuous Semimartingales
David Itkin, Martin Larsson
Using the theory of Dirichlet forms we construct a large class of continuous semimartingales on an open domain , which are governed by rank-based, in additi…
Stopper-Controller Games embedded in Single-Player Control Problems
Martin Larsson, Marvin S. Mueller, Josef Teichmann
In 2002, Benjamin Jourdain and Claude Martini discovered that for a class of payoff functions, the pricing problem for American options can be reduced to pricing of European option…
Convergence of Local Supermartingales
Martin Larsson, Johannes Ruf
We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of station…
Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces
Martin Larsson, Sara Svaluto-Ferro
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other s…
Probability measure-valued polynomial diffusions
Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
We introduce a class of probability measure-valued diffusions, coined polynomial, of which the well-known Fleming--Viot process is a particular example. The defining property of fi…
Conditional infimum and recovery of monotone processes
Martin Larsson
Monotone processes, just like martingales, can often be recovered from their final values. Examples include running maxima of supermartingales, as well as running maxima, local tim…