Related papers: Large volatility-stabilized markets
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
This article deals with the issues of global-in-time existence and asymptotic analysis of a fluid-particle interaction model in the so-called bubbling regime. The mixture occupies the physical space $\Omega \subset \mathbb{R}^3$ which may…
We study a class of one-dimensional interacting particle systems with random boundaries as a microscopic model for Stefan's melting and freezing problem. We prove that under diffusive rescaling these particle systems exhibit a hydrodynamic…
We study the boundary stabilization of one-dimensional cross-diffusion systems in a moving domain. We show first exponential stabilization and then finite-time stabilization in arbitrary small-time of the linearized system around uniform…
In order to investigate the evolutionary process of many deterministic Dynamical systems with unfixed parameter, a set of dynamical models with parameter changing continuously and the accumulation of this change might be large is introduced…
Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have…
We show global well-posedness and exponential stability of equilibria for a general class of nonlinear dissipative bulk-interface systems. They correspond to thermodynamically consistent gradient structure models of bulk-interface…
We consider a random diffusion dynamics for an infinite system of hard spheres of two different sizes evolving in $\mathbb{R}^d$, its reversible probability measure, and its projection on the subset of the large spheres. The main feature is…
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
We consider parametric inference for an ergodic and stationary diffusion process, when the data are high-frequency observations of the integral of the diffusion process. Such data are obtained via certain measurement devices, or if…
In this work we study the stability of the equilibria reached by ecosystems formed by a large number of species. The model we focus on are Lotka-Volterra equations with symmetric random interactions. Our theoretical analysis, confirmed by…
This paper studies large deviations of a ``fully coupled" finite state mean-field interacting particle system in a fast varying environment. The empirical measure of the particles evolves in the slow time scale and the random environment…
We study the diffusion-reaction-advection model for mobile chemical species together with the dissolution and precipitation of immobile species in a porous medium at the micro-scale. This leads to a system of semilinear parabolic partial…
This paper provides the phase transition analysis of a reaction diffusion equations system modeling dynamic instability of microtubules. For this purpose we have generalized the macroscopic model studied by Mour\~ao et all [MSS]. This model…
We derive the joint density of market weights, at fixed times and suitable stopping times, of the volatility-stabilized market models introduced by Fernholz and Karatzas in [Ann. Finan. 1 (2005) 149-177]. The argument rests on computing the…
In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the…
We build on a previous statistical model for distributed systems and formulate it in a way that the deterministic and stochastic processes within the system are clearly separable. We show how internal fluctuations can be analysed in a…
A thermodynamic approach to rapid phase transformations within a diffuse interface in a binary system is developed. Assuming an extended set of independent thermodynamic variables formed by the union of the classic set of slow variables and…
We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the…