We develop a comprehensive mathematical framework for polynomial jump diffusions in a
semimartingale context, which nest affine jump diffusions and have broad applications in …

We introduce polynomial processes in the context of stochastic portfolio theory to model
simultaneously companies' market capitalizations and the corresponding market weights …

We introduce a class of measure-valued processes, which–in analogy to their finite
dimensional counterparts–will be called measure-valued polynomial diffusions. We show …

We study the class of continuous polynomial Volterra processes, which we define as
solutions to stochastic Volterra equations driven by a continuous semimartingale with affine …

We introduce polynomial processes taking values in an arbitrary Banach space BB via their
infinitesimal generator LL and the associated martingale problem. We obtain two …

Polynomial jump-diffusions constitute a class of tractable stochastic models with wide
applicability in areas such as mathematical finance and population genetics. We provide a …

We propose a multifactor polynomial framework to model and hedge long-term electricity
contracts with delivery period. This framework has several advantages: the computation of …

We study the class of continuous polynomial Volterra processes, which we define as
solutions to stochastic Volterra equations driven by a continuous semimartingale with affine …

In this paper, we introduce a sublinear conditional expectation with respect to a family of
possibly nondominated probability measures on a progressively enlarged filtration. In this …

We suggest a novel approach to polynomial processes solely based on a polynomial action
operator. With this approach, we can analyse such processes on general state spaces …