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## Propagation of minimality in the supercooled Stefan problem

- Christa Cuchiero, Stefan Rigger, Sara Svaluto-Ferro
- Mathematics
- 7 October 2020

Supercooled Stefan problems describe the evolution of the boundary between the solid and liquid phases of a substance, where the liquid is assumed to be cooled below its freezing point. Following the… Expand

## Probability measure-valued polynomial diffusions

- Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
- MathematicsElectronic Journal of Probability
- 9 July 2018

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 finite dimensional… Expand

## Polynomial jump-diffusions on the unit simplex

- Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
- MathematicsThe Annals of Applied Probability
- 13 December 2016

Polynomial jump-diffusions constitute a class of tractable stochastic models with wide applicability in areas such as mathematical finance and population genetics. We provide a full parameterization… Expand

## Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces

- Martin Larsson, Sara Svaluto-Ferro
- Mathematics
- 21 August 2019

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 similar spaces of… Expand

## Infinite-dimensional polynomial processes

- Christa Cuchiero, Sara Svaluto-Ferro
- MathematicsFinance and Stochastics
- 6 November 2019

We introduce polynomial processes taking values in an arbitrary Banach space B ${B}$ via their infinitesimal generator L $L$ and the associated martingale problem. We obtain two representations of… Expand

## Measure-valued affine and polynomial diffusions

- Christa Cuchiero, F. Guida, L. D. Persio, Sara Svaluto-Ferro
- Mathematics, Computer Science
- 30 December 2021

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## Probability measure-valued jump-diffusions in finance and related topics

- Sara Svaluto-Ferro
- Mathematics
- 2018

The martingale problem is known to be a classical and very powerful technology for the study of Markov processes through the analytical properties of the corresponding generators. This approach… Expand

## Signature-based models: theory and calibration

- Christa Cuchiero, Guido Gazzani, Sara Svaluto-Ferro
- Mathematics
- 26 July 2022

We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian… Expand

## Universal approximation theorems for continuous functions of c\`adl\`ag paths and L\'evy-type signature models

- Christa Cuchiero, F. Primavera, Sara Svaluto-Ferro
- Mathematics
- 3 August 2022

We prove two versions of a universal approximation theorem that allow to approximate continuous functions of c`adl`ag (rough) paths via linear functionals of their time-extended signature, one with… Expand

## J ul 2 01 8 Probability measure-valued polynomial diffusions

- Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
- Mathematics
- 2018

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 finite dimensional… Expand

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