Related papers: Self-dual continuous processes
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
We study point processes on the real line whose configurations $X$ are locally finite, have a maximum and evolve through increments which are functions of correlated Gaussian variables. The correlations are intrinsic to the points and…
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance…
Given a quantum Hamiltonian, we explain how the dynamical properties of the underlying classical system affect the behaviour of quantum eigenstates in the semi-classical limit. We study this problem via the notion of semiclassical measures.…
In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure…
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…
We present the operator semigroups approach to first- and second-order dynamical systems taking place on metric graphs. We briefly survey the existing results and focus on the well-posedness of the problems with standard vertex conditions.…
A general condition for the self-consistency of a semiclassical approximation to a given system is suggested. It is based on the eigenvalue distribution of the relevant Hessian evaluated at the streamline configurations (configurations that…
In this work, we investigate a theory of stochastic integration for operator-valued processes with respect to semimartingales taking values in the dual of a nuclear space. Our construction of this particular stochastic integral relies on…
A continuous infinite system of point particles interacting via two-body strong superstable potential is considered in the framework of classical statistical mechanics. We define some kind of approximation of main quantities, which describe…
We compare different modes of pseudo almost automorphy and variants for stochastic processes: in probability, in quadratic mean, or in distribution in various senses. We show by a counterexample that square-mean (pseudo) almost automorphy…
Dunkl processes are martingales as well as c\`{a}dl\`{a}g homogeneous Markov processes taking values in $\mathbb{R}^d$ and they are naturally associated with a root system. In this paper we study the jumps of these processes, we describe…
We present a theorem which elucidates the connection between self-duality of Markov processes and representation theory of Lie algebras. In particular, we identify sufficient conditions such that the intertwining function between two…
We recently introduced a class of ${\mathbb{Z}}_N$ graded discrete Lax pairs and studied the associated discrete integrable systems (lattice equations). In particular, we introduced a subclass, which we called "self-dual". In this paper we…
The Spontaneous Symmetry breaking in Quantum Finance considers the martingale condition in the stock market as a vacuum state if we express the financial equations in the Hamiltonian form. The original analysis for this phenomena ignores…
This paper is about statistical properties of quasistatic dynamical systems. These are a class of non-stationary systems that model situations where the dynamics change very slowly over time due to external influence. We focus on the case…
The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are…
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet…