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dc.contributor.author
Cuchiero, Christa
dc.contributor.author
Larsson, Martin
dc.contributor.author
Svaluto-Ferro, Sara
dc.date.accessioned
2021-08-02T14:13:39Z
dc.date.available
2019-04-18T00:48:11Z
dc.date.available
2019-04-24T10:38:26Z
dc.date.available
2021-08-02T13:44:42Z
dc.date.available
2021-08-02T14:13:39Z
dc.date.issued
2019
dc.identifier.issn
1083-6489
dc.identifier.other
10.1214/19-EJP290
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/338535
dc.identifier.doi
10.3929/ethz-b-000338535
dc.description.abstract
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 polynomial processes considered in [8, 21] is transferred to this infinite dimensional setting. This leads to a representation of conditional marginal moments via a finite dimensional linear PDE, whose spatial dimension corresponds to the degree of the moment. As a result, the tractability of finite dimensional polynomial processes are preserved in this setting. We also obtain a representation of the corresponding extended generators, and prove well-posedness of the associated martingale problems. In particular, uniqueness is obtained from the duality relationship with the PDEs mentioned above.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Institute of Mathematical Statistics
en_US
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
dc.subject
probability measure-valued processes
en_US
dc.subject
polynomial processes
en_US
dc.subject
Fleming-Viot type processes
en_US
dc.subject
interacting particle systems
en_US
dc.subject
martingale problem
en_US
dc.subject
maximum principle
en_US
dc.subject
dual process
en_US
dc.title
Probability measure-valued polynomial diffusions
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution 4.0 International
dc.date.published
2019-03-26
ethz.journal.title
Electronic Journal of Probability
ethz.journal.volume
24
en_US
ethz.journal.abbreviated
Electron. J. Probab.
ethz.pages.start
30
en_US
ethz.size
32 p.
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.grant
Tractable Stopping Problems in Finance
en_US
ethz.identifier.wos
ethz.publication.place
Bethesda, MD
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09546 - Larsson, Martin (ehemalig) / Larsson, Martin (former)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09546 - Larsson, Martin (ehemalig) / Larsson, Martin (former)
ethz.grant.agreementno
163425
ethz.grant.fundername
SNF
ethz.grant.funderDoi
10.13039/501100001711
ethz.grant.program
Projekte MINT
ethz.date.deposited
2019-04-18T00:48:12Z
ethz.source
WOS
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2019-04-24T10:38:45Z
ethz.rosetta.lastUpdated
2022-03-29T10:52:49Z
ethz.rosetta.versionExported
true
ethz.COinS
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