Martin Larsson

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Propagation of chaos for point processes induced by particle systems with mean-field drift interaction Journal of Theoretical Probability	2025-01-10	Paper
Markovian projections for Itô semimartingales with jumps Electronic Communications in Probability	2024-12-20	Paper
On concentration of the empirical measure for radial transport costs Stochastic Processes and their Applications	2024-11-12	Paper
Minimum curvature flow and martingale exit times Electronic Journal of Probability	2024-08-30	Paper
Open markets and hybrid Jacobi processes The Annals of Applied Probability	2024-08-22	Paper
Controlled measure-valued martingales: a viscosity solution approach The Annals of Applied Probability	2024-08-21	Paper
Martin Larsson and Johannes Ruf's contribution to the discussion of `Estimating means of bounded random variables by betting' by Waudby-Smith and Ramdas Journal of the Royal Statistical Society. Series B. Statistical Methodology	2024-07-09	Paper
Sequential testing for elicitable functionals via supermartingales Bernoulli	2024-03-26	Paper
Sequential testing for elicitable functionals via supermartingales Bernoulli	2024-03-26	Paper
A composite generalization of Ville's martingale theorem using e-processes Electronic Journal of Probability	2024-01-17	Paper
Propagation of chaos for maxima of particle systems with mean-field drift interaction Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2023-11-20	Paper
Relative arbitrage: Sharp time horizons and motion by curvature Mathematical Finance	2023-09-28	Paper
Relative arbitrage: Sharp time horizons and motion by curvature Mathematical Finance	2023-09-28	Paper
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints Mathematical Finance	2023-09-28	Paper
Ergodic robust maximization of asymptotic growth under stochastic volatility	2022-11-28	Paper
Deep neural networks, generic universal interpolation, and controlled ODEs SIAM Journal on Mathematics of Data Science	2022-03-01	Paper
A weak solution theory for stochastic Volterra equations of convolution type The Annals of Applied Probability	2022-02-14	Paper
Testing exchangeability: fork-convexity, supermartingales and e-processes International Journal of Approximate Reasoning	2022-01-20	Paper
Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces Electronic Journal of Probability	2021-07-21	Paper
Convergence of local supermartingales Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2021-06-03	Paper
Convergence of local supermartingales Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2021-06-03	Paper
On A Class Of Rank-Based Continuous Semimartingales	2021-04-09	Paper
Testing exchangeability: fork-convexity, supermartingales, and e-processes (available as arXiv preprint)	2021-01-31	Paper
Informational efficiency with trading constraints: a characterization SIAM Journal on Financial Mathematics	2021-01-15	Paper
A multifactor polynomial framework for long-term electricity forwards with delivery period SIAM Journal on Financial Mathematics	2020-11-07	Paper
Polynomial jump-diffusion models Stochastic Systems	2020-09-04	Paper
Markov cubature rules for polynomial processes Stochastic Processes and their Applications	2020-04-07	Paper
Minimum curvature flow and martingale exit times	2020-03-30	Paper
Affine Volterra processes The Annals of Applied Probability	2020-01-22	Paper
On the relation between linearity-generating processes and linear-rational models Mathematical Finance	2019-10-31	Paper
Unspanned stochastic volatility in the multifactor CIR model Mathematical Finance	2019-10-31	Paper
Probability measure-valued polynomial diffusions Electronic Journal of Probability	2019-05-16	Paper
Probability measure-valued polynomial diffusions Electronic Journal of Probability	2019-05-16	Paper
Stochastic exponentials and logarithms on stochastic intervals. A survey Journal of Mathematical Analysis and Applications	2019-05-10	Paper
Stochastic exponentials and logarithms on stochastic intervals. A survey Journal of Mathematical Analysis and Applications	2019-05-10	Paper
Affine Rough Models	2018-12-20	Paper
Polynomial jump-diffusions on the unit simplex The Annals of Applied Probability	2018-11-07	Paper
Polynomial jump-diffusions on the unit simplex The Annals of Applied Probability	2018-11-07	Paper
Immersed boundary method for viscous compressible flows around moving bodies Computers and Fluids	2018-07-18	Paper
Affine processes with compact state space Electronic Journal of Probability	2018-05-15	Paper
Affine processes with compact state space Electronic Journal of Probability	2018-05-15	Paper
Conditional infimum and recovery of monotone processes	2018-02-23	Paper
On aggregation and representative agent equilibria Journal of Mathematical Economics	2018-02-09	Paper
Semi-static completeness and robust pricing by informed investors The Annals of Applied Probability	2017-11-07	Paper
Semi-static completeness and robust pricing by informed investors The Annals of Applied Probability	2017-11-07	Paper
The space of outcomes of semi-static trading strategies need not be closed Finance and Stochastics	2017-07-21	Paper
The space of outcomes of semi-static trading strategies need not be closed Finance and Stochastics	2017-07-21	Paper
Polynomial diffusions on compact quadric sets Stochastic Processes and their Applications	2017-02-14	Paper
Polynomial diffusions and applications in finance Finance and Stochastics	2016-10-27	Paper
Extremal dependence measure and extremogram: the regularly varying case Extremes	2016-01-22	Paper
Informational efficiency under short sale constraints SIAM Journal on Financial Mathematics	2015-10-21	Paper
Matrix-valued Bessel processes Electronic Journal of Probability	2015-08-07	Paper
Default and systemic risk in equilibrium Mathematical Finance	2015-02-20	Paper
Will banning naked CDS impact bond prices? Annals of Finance	2014-12-12	Paper
Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps	2014-11-23	Paper
Filtration shrinkage, strict local martingales and the Föllmer measure The Annals of Applied Probability	2014-08-06	Paper
Filtration shrinkage, strict local martingales and the Föllmer measure The Annals of Applied Probability	2014-08-06	Paper
Linking progressive and initial filtration expansions Springer Proceedings in Mathematics & Statistics	2013-07-30	Paper
Discretely sampled variance and volatility swaps versus their continuous approximations Finance and Stochastics	2013-04-02	Paper
The meaning of market efficiency Mathematical Finance	2013-02-28	Paper
Numerical simulation of confined pulsating jets in human phonation Computers and Fluids	2012-07-11	Paper
Numerical simulation of fluid-structure interaction in human phonation: verification of structure part Lecture Notes in Computational Science and Engineering	2011-05-18	Paper
Numerical Simulation of Fluid–Structure Interaction in Human Phonation: Application Numerical Mathematics and Advanced Applications 2009	2011-05-18	Paper
Extremal behavior of Archimedean copulas Advances in Applied Probability	2011-05-03	Paper
Credit contagion and risk management with multiple non-ordered defaults	2011-04-27	Paper
Tail Properties of Multivariate Archimedean Copulas	2010-08-10	Paper
Open Markets and Hybrid Jacobi Processes (available as arXiv preprint)	N/A	Paper
Propagation of chaos for point processes induced by particle systems with mean-field drift interaction (available as arXiv preprint)	N/A	Paper
On concentration of the empirical measure for radial transport costs (available as arXiv preprint)	N/A	Paper
Distribution-uniform strong laws of large numbers (available as arXiv preprint)	N/A	Paper
Markovian projections for It\^o semimartingales with jumps (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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