30 citations · 110 across the 29 of their papers we have counts for
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Affine Volterra processes
Eduardo Abi Jaber, Martin Larsson, Sergio Pulido
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special…
Markov cubature rules for polynomial processes
Damir Filipović, Martin Larsson, Sergio Pulido
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together w…
Affine processes with compact state space
Paul Krühner, Martin Larsson
The behavior of affine processes, which are ubiquitous in a wide range of applications, depends crucially on the choice of state space. We study the case where the state space is c…
Stochastic Exponentials and Logarithms on Stochastic Intervals -- A Survey
Martin Larsson, Johannes Ruf
Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale…