Related papers: Self-dual continuous processes
For the continuous-time $\lambda$-recurrent jump process, the $\lambda$-recurrence assures the existence of quasi-stationary distribution when it has finite exit states (the states that have positive killing rates). And we give an explicit…
In this paper, we provide a model-independent extension of the paradigm of dynamic hedging of derivative claims. We relate model-independent replication strategies to local martingales having a closed form which we can characterise via…
We provide a rather general perfection result for crude local semi-flows taking values in a Polish space showing that a crude semi-flow has a modification which is a (perfect) local semi-flow which is invariant under a suitable metric…
We study transport processes on infinite metric graphs with non-constant velocities and matrix boundary conditions in the $\\mathrm{L}^{\infty}$-setting. We apply the theory of bi-continuous operator semigroups to obtain well-posedness of…
Bisimulation is a concept that captures behavioural equivalence. It has been studied extensively on nonprobabilistic systems and on discrete-time Markov processes and on so-called continuous-time Markov chains. In the latter time is…
We investigate the semiclassical mechanism of tunneling process in non-integrable systems. The significant role of complex-phase-space chaos in the description of the tunneling process is elucidated by studying a simple scattering map…
The semiring of discrete dynamical systems is a simple algebraic model for modularity in deterministic systems. The objects of the semiring are finite transformations (viewed as directed graphs and regarded up to isomorphism), the sum of…
We study multi-default model which satisfies the quasi-left-continuity, the martingale representation property, the drift multiplier assumption and the full viability. We use $\natural$-model to construct one such model.
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…
It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale…
We give conditions under which the normalized marginal distribution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions of stochastic differential equations with…
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a…
In this article almost semi-continuous processes with stationary independent increments on a finite irreducible Markov chain are considered. For these processes the components of matrix factorization identity are concretely defined. On the…
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…
A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…
Time-discrete dynamical systems on a finite state space have been used with great success to model natural and engineered systems such as biological networks, social networks, and engineered control systems. They have the advantage of being…
In this paper we explain how the notion of ''weak Dirichlet process'' is the suitable generalization of the one of semimartingale with jumps. For such a process we provide a unique decomposition which is new also for semimartingales: in…
We show that any semi-algebraic sweeping process admits piecewise absolutely continuous solutions, and any such bounded trajectory must have finite length. Analogous results hold more generally for sweeping processes definable in o-minimal…
In a couple of previous papers, we initiated a systematic study of semihypergroups and had a thorough discussion on certain analytic and algebraic aspects associated to this class of objects. In this article, we introduce and examine…
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…