30 citations · 110 across the 29 of their papers we have counts for
4 papers · 1 filter
A weak solution theory for stochastic Volterra equations of convolution type
Eduardo Abi Jaber, Christa Cuchiero, Martin Larsson +1
We obtain general weak existence and stability results for stochastic convolution equations with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients an…
A multi-factor polynomial framework for long-term electricity forwards with delivery period
Xi Kleisinger-Yu, Vlatka Komaric, Martin Larsson +1
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of fo…
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…
Deep neural networks, generic universal interpolation, and controlled ODEs
Christa Cuchiero, Martin Larsson, Josef Teichmann
A recent paradigm views deep neural networks as discretizations of certain controlled ordinary differential equations, sometimes called neural ordinary differential equations. We m…