Infinite-dimensional polynomial processes

Cuchiero, C; Svaluto-Ferro, S

Svaluto-Ferro, S (corresponding author), Univ Vienna, Fac Math, Kolingasse 14-16, A-1090 Vienna, Austria.

FINANCE AND STOCHASTICS, 2021; 25 (2): 383

Abstract

We introduce polynomial processes taking values in an arbitrary Banach space B via their infinitesimal generator L and the associated martingale probl......

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