Markov cubature rules for polynomial processes - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2016

Markov cubature rules for polynomial processes

Résumé

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment-matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rules. The polynomial property allows us to study the existence of such rules using algebraic techniques. These rules aim to improve the tractability and ease the implementation of models where the underlying factors are polynomial processes.
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Dates et versions

hal-01418755 , version 1 (16-12-2016)
hal-01418755 , version 2 (08-08-2019)

Identifiants

  • HAL Id : hal-01418755 , version 1

Citer

Damir Filipović, Martin Larsson, Sergio Pulido. Markov cubature rules for polynomial processes. 2016. ⟨hal-01418755v1⟩
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