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Consider in the phase space of classical mechanics a Radon measure that is a probability density carried by the graph of a Lipschitz continuous (or even less regular) vector field. We study the structure of the push-forward of such a…
The paper is concerned with the problem of existence of solutions for the Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and sufficient conditions for the existence of weak solutions and strong solutions are…
This article addresses a new class of fractional nonlocal neutral stochastic differential system of order 1<q<2 including non-instantaneous impulses(NIIs) and state-dependent delay(SDD) with the Poisson jumps and the Wiener process in…
We derive the conditions under which the fluid models obtained from the first two moments of Hamiltonian drift-kinetic systems of interest to plasma physics, preserve a Hamiltonian structure. The adopted procedure consists of determining…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite dimensional Heston stochastic volatility models of (F.E.…
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of…
We derive the statistical properties of one-dimensional Burgers dynamics with stochastic initial conditions for the velocity potential defined by a Poisson point process whose intensity follows a power law with exponent $\alpha > -1$.…
We consider a homotopic evolution in the space of smooth shapes starting from the unit circle. Based on the Loewner-Kufarev equation we give a Hamiltonian formulation of this evolution and provide conservation laws. The symmetries of the…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
A variational framework is defined for vertical slice models with three dimensional velocity depending only on x and z. The models that result from this framework are Hamiltonian, and have a Kelvin-Noether circulation theorem that results…
Probabilistic approaches for handling count-valued time sequences have attracted amounts of research attentions because their ability to infer explainable latent structures and to estimate uncertainties, and thus are especially suitable for…
We consider the compressible Navier-Stokes system on time-dependent domains with prescribed motion of the boundary. For both the no-slip boundary conditions as well as slip boundary conditions we prove local-in-time existence of strong…
Persistence diagrams offer a way to summarize topological and geometric properties latent in datasets. While several methods have been developed that utilize persistence diagrams in statistical inference, a full Bayesian treatment remains…
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition…
We study a one-dimensional exclusion process with a fixed jump length $I \ge 1$ in which a particle may advance or retreat $I$ sites provided all intermediate sites are vacant, with hopping rates of Arrhenius type depending on the local…
In this work we study the necessary and sufficient conditions for a positive random variable whose expectation under the Wiener measure is one, to be represented as the Radon-Nikodym derivative of the image of the Wiener measure under an…
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a…
In this article, we consider a Markov-modulated model with jumps for short rate dynamics. We obtain closed formulas for the term structure and forward rates using the properties of the jump-telegraph process and the expectation hypothesis.…
The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…