Related papers: On the Scarf-Hirota model in the price-scaled pric…
Continuous symmetries of the Hirota difference equation, commuting with shifts of independent variables, are derived by means of the dressing procedure. Action of these symmetries on the dependent variables of the equation is presented.…
Extensive numerical evidence shows that the assimilation of observations has a stabilizing effect on unstable dynamics, in numerical weather prediction and elsewhere. In this paper, we apply mathematically rigorous methods to showing why…
Now a standard in Nonlinear Sciences, the Kuramoto model is the perfect example of the transition to synchrony in heterogeneous systems of coupled oscillators. While its basic phenomenology has been sketched in early works, the…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to…
Economic Model Predictive Control has recently gained popularity due to its ability to directly optimize a given performance criterion, while enforcing constraint satisfaction for nonlinear systems. Recent research has developed both…
A well-known model due to J.-M. Lasry and P.L. Lions that presents the evolution of prices in a market as the evolution of a free boundary in a diffusion equation is suggested to be modified in order to show instabilities for some values of…
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition…
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions…
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
Change-point models are widely used by statisticians to model drastic changes in the pattern of observed data. Least squares/maximum likelihood based estimation of change-points leads to curious asymptotic phenomena. When the change-point…
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
We anlayze the dynamics of warm inflation models with general viscous effects. We characterize the situations yielding asymptotic scaling behavior.
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous,…
Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uniqueness, rate of convergence, and the asymptotic…
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…
Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplication prices in discrete-time models of a single risky asset…
We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can be not self-similar. The main results obtained in this paper…
Center-manifold approximations for infinite-dimensional systems are treated in the context of the Navier--Stokes equations extended to include an equation for the parameter evolution. The consequences of system extension are non-trivial and…
We present a survey on recent results about Stirling's formula. More exactly, we reffer to a method using a form of Cesaro-Stolz lemma firstly introduced in [C. Mortici Product approximations via asymptotic integration Amer. Math. Monthly…