30 citations · 110 across the 29 of their papers we have counts for
4 papers · 1 filter
Open Markets and Hybrid Jacobi Processes
David Itkin, Martin Larsson
We propose a unified approach to several problems in Stochastic Portfolio Theory (SPT), which is a framework for equity markets with a large number of stocks. Our approach comb…
Controlled Measure-Valued Martingales: a Viscosity Solution Approach
Alexander M. G. Cox, Sigrid Källblad, Martin Larsson +1
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, ca…
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…
Testing exchangeability: fork-convexity, supermartingales, and e-processes
Aaditya Ramdas, Johannes Ruf, Martin Larsson +1
Suppose we observe an infinite series of coin flips , and wish to sequentially test the null that these binary random variables are exchangeable. Nonnegative superm…