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Deep neural networks, generic universal interpolation, and controlled ODEs
(2019)arXivWorking Paper -
Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
(2018)arXivWorking Paper -
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
(2014)arXivWorking Paper -
Affine processes on symmetric cones
(2011)arXivWe consider affine Markov processes taking values in convex cones. In particular, we characterize all affine processes taking values in an irreducible symmetric cone in terms of certain L\'evy-Khintchine triplets. This is the complete classification of affine processes on these conic state spaces, thus extending the theory of Wishart processes on positive semidefinite matrices, as put forward by Bru (1991).Working Paper