Infinite-dimensional polynomial processes
Sign Up to like & getrecommendations! Published in 2019 at "Finance and Stochastics"
DOI: 10.1007/s00780-021-00450-x
Abstract: 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 the (conditional) moments in terms of… read more here.
Keywords: dimensional polynomial; infinite dimensional; polynomial processes; finance ... See more keywords