Generators of measure-valued jump-diffusions


Measure-valued jump-diffusions provide useful approximations of large stochastic systems in finance, such as large sets of equity returns, limit order books, and particle systems with mean-field interaction. The dynamics of a... [ view full abstract ]


  1. Martin Larsson (ETH)
  2. Sara Svaluto-Ferro (ETH Zurich)

Topic Areas

Jump-Diffusions , Polynomial Processes , Stochastic Analysis


TH-P-SW » Polynomial Models and Volterra Equations (14:30 - Thursday, 19th July, Swift)

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