Related papers: Term Structure Models Driven by Wiener Process and…
The survival probability and the first-passage-time statistics are important quantities in different fields. The Wiener process is the simplest stochastic processwith continuous variables, and important results can be explicitly found from…
We introduce a framework that allows to employ (non-negative) measure-valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how…
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…
The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on $[0,+\infty)$. Sufficient conditions for local and global existence are obtained . For…
We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…
We consider measurable and topological dynamical systems over locally compact abelian groups. Our main observation relates convergence of Wiener-Wintner type averages to eigenvalues of the dynamical system in question. As a consequence we…
In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this paper is the very first step towards realizing the objective…
In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
The classical Hennessy-Milner theorem is an important tool in the analysis of concurrent processes; it guarantees that any two non-bisimilar states in finitely branching labelled transition systems can be distinguished by a modal formula.…
The fundamental solution of a pseudo-differential equation for functions defined on the $d$-fold product of the $p$-adic numbers, $\mathbb{Q}_p$, induces an analogue of the Wiener process in $\mathbb{Q}_p^d$. As in the real setting, the…
A point process is R-dependent, if it behaves independently beyond the minimum distance R. This work investigates uniform positive lower bounds on the avoidance functions of R-dependent simple point processes with a common intensity.…
In this article we present a Lagrangian representation for evolutionary systems with a Hamiltonian structure determined by a differential-geometric Poisson bracket of the first order associated with metrics of constant curvature.…
This paper studies theory and inference of an observation-driven model for time series of counts. It is assumed that the observations follow a Poisson distribution conditioned on an accompanying intensity process, which is equipped with a…
We characterize the lower and upper attainability of the Wiener bound (also known as the conductive analogue of the Voigt-Reuss-Hill bound in elasticity theory) for singularly distributed conductive material mixtures. For the lower…
We provide a full classification of all attainable term structure shapes in the two-factor Vasicek model of interest rates. In particular, we show that the shapes normal, inverse, humped, dipped and hump-dip are always attainable. In…
We characterize various forms of positive dependence, such as association, positive supermodular association and dependence, and positive orthant dependence, for jump-Feller processes. Such jump processes can be studied through their…
We study a time-inhomogeneous nonlinear SDE with drift and diffusion governed by state-dependent variable exponents. This framework generalizes models like the geometric Brownian motion (GBM) and the constant elasticity of variance (CEV),…
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose instantaneous covariance is given by a pure-jump stochastic…
We consider additive functionals of systems of random measures whose initial configuration is given by a Poisson point process, and whose individual components evolve according to arbitrary Markovian or non-Markovian measure valued…