3 papers in the archive (2024–2025), average empirical rigor 1.7/10, average math complexity 8.7/10. Quadrant mix: Lab Rats ×3.
Works mostly in Volatility Modeling & Forecasting.
Frequent co-authors: Martin Larsson (3).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Given a general Itô semimartingale, its Markovian projection is an Itô process, with Markovian differential characteristics, that matches the one-dimensional marginal laws of the original process. We construct Markovian projections for Itô semimartingales with jumps, whose flows of one-dimensional m
Markovian projections arise in problems where we aim to mimic the one-dimensional marginal laws of an Itô semimartingale by using another Itô process with Markovian dynamics. In applications, Markovian projections are useful in calibrating jump-diffusion models with both local and stochastic feature
Given an Itô semimartingale $X$, its Markovian projection is an Itô semimartingale $\widehat{X}$, with Markovian differential characteristics, that matches the one-dimensional marginal laws of $X$. One may even require certain functionals of the two processes to have the same fixed-time marginals, a