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We define a new multivariate time series model by generalizing the ARMAX process in a multivariate way. We give conditions on stationarity and analyze local dependence and domains of attraction. As a consequence of the obtained result, we…
We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_N$ in $\mathbb{R}$, the region indicator function $R(x)$…
We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order and have constant mean. We show that, under the extra…
The density hypothesis on random times becomes now a standard in modeling of risks. One of the basic reasons to introduce the density hypothesis is the desire to have a computable credit risk model. However, recent work shows that merely an…
For a Pfaffian point process we show that its Palm measures, its normalised compositions with multiplicative functionals, and its conditional measures with respect to fixing the configuration in a bounded subset are Pfaffian point processes…
For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials…
Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion,…
In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…
It was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that, using this characterisation, one can define closed form…
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the…
We introduce extremal affine surface areas in a functional setting. We show their main properties. Among them are linear invariance, isoperimetric inequalities and monotonicity properties. We establish a new duality formula, which shows…
This paper contributes to the study of relative martingales. Specifically, for a closed random set $H$, they are processes null on $H$ which decompose as $M=m+v$, where $m$ is a c\`adl\`ag uniformly integrable martingale and, $v$ is a…
Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…
The genealogical structure of self-similar growth-fragmentations can be described in terms of a branching random walk. The so-called intrinsic area $\mathrm{A}$ arises in this setting as the terminal value of a remarkable additive…
Ext-int.\ one affine functions are functions affine in the direction of one-divisible exterior forms, with respect to exterior product in one variable and with respect to interior product in the other. The purpose of this article is to…
We identify the linear space spanned by the real-valued excessive functions of a Markov process with the set of those functions which are quasimartingales when we compose them with the process. Applications to semi-Dirichlet forms are…
We consider elliptic partial differential equations with diffusion coefficients that depend affinely on countably many parameters. We study the summability properties of polynomial expansions of the function mapping parameter values to…
Let $(\xi_i,\mathcal{F}_i)_{i\geq1}$ be a sequence of martingale differences. Set $X_n=\sum_{i=1}^n \xi_i $ and $ \langle X \rangle_n=\sum_{i=1}^n \mathbf{E}(\xi_i^2|\mathcal{F}_{i-1}).$ We prove Cram\'er's moderate deviation expansions for…
We provide necessary and sufficient conditions for convergence of exponential integrals of Markov additive processes. Other than in the classical L\'evy case studied by Erickson and Maller we have to distinguish between almost sure…