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The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-valued semimartingale with independent increments becomes a…
We present limit theorems for a sequence of Piecewise Deterministic Markov Processes (PDMPs) taking values in a separable Hilbert space. This class of processes provides a rigorous framework for stochastic spatial models in which discrete…
The Hawkes process and its extensions effectively model self-excitatory phenomena including earthquakes, viral pandemics, financial transactions, neural spike trains and the spread of memes through social networks. The usefulness of these…
The Hawks process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc., and is getting a lot of attention. However, as a real problem, there are often situations…
For a $d$-dimensional stochastic process $(S_n)_{n=0}^N$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$, up to a normalizing constant, is bounded from below by a given random variable $f$. We…
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…
Given an energy-dissipating port-Hamiltonian system, we characterise the exponential decay of the energy via the model ingredients under mild conditions on the Hamiltonian density $\mathcal{H}$. In passing, we obtain generalisations for…
In the present article we provide existence, uniqueness and stability results under an exponential moments condition for quadratic semimartingale backward stochastic differential equations (BSDEs) having convex generators. We show that the…
We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
Large deviations for additive path functionals of stochastic processes have attracted significant research interest, in particular in the context of stochastic particle systems and statistical physics. Efficient numerical `cloning'…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the…
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 construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…
Let ${\psi}:\mathbb{R}^{+}\rightarrow\mathbb{R}^{+}$ be a smooth and continuous real function and $\psi\in\mathrm{L}^{2}(\mathbb{R}^{+})$. Let ${B}(t)$ be a standard Brownian motion defined with respect to a probability space…
Self-normalized processes arise naturally in statistical applications. Being unit free, they are not affected by scale changes. Moreover, self-normalization often eliminates or weakens moment assumptions. In this paper we present several…