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The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…
We prove the existence of solutions to a non-linear, non-local, degenerate equation which was previously derived as the formal hydrodynamic limit of an active Brownian particle system, where the particles are endowed with a position and an…
We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's…
We investigate the existence of invariant measures for self-stabilizing diffusions. These stochastic processes represent roughly the behavior of some Brownian particle moving in a double-well landscape and attracted by its own law. This…
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…
The problem of mass diffusion in layered systems has relevance to applications in different scientific disciplines, e.g., chemistry, material science, soil science, and biomedical engineering. The mathematical challenge in these type of…
We introduce polynomial processes taking values in an arbitrary Banach space $B$ via their infinitesimal generator $L$ and the associated martingale problem. We obtain two representations of the (conditional) moments in terms of solutions…
It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simple proof for this result, which generalizes to any continuous…
We study the dynamics of a Brownian motion with a diffusion coefficient which evolves stochastically. We first study this process in arbitrary dimensions and find the scaling form and the corresponding scaling function of the position…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand $g$ can have any prescribed distribution, moreover, we give both necessary and sufficient conditions when random variables can…
Transport phenomena are ubiquitous in nature and known to be important for various scientific domains. Examples can be found in physics, electrochemistry, heterogeneous catalysis, physiology, etc. To obtain new information about diffusive…
A new theoretical approach to non-equilibrium statistical systems has recently been proposed by the author, a co-author and others. It is based on a variational principle which is associated with the discrepancy of a path through…
In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…
We investigated three models of Brownian motors which convert rotational diffusion into directed translational motion by switching on and off a potential. In the first model a spatially asymmetric potential generates directed translational…
A noncolliding diffusion process is a conditional process of $N$ independent one-dimensional diffusion processes such that the particles never collide with each other. This process realizes an interacting particle system with long-ranged…
Logistic growth process with nonlocal interactions is considered in one dimension. Spontaneous breakdown of translational invariance is shown to take place at some parameter region, and the bifurcation regime is identified for short and…
The linear response of non-equilibrium systems with Markovian dynamics satisfies a generalized fluctuation-dissipation relation derived from time symmetry and antisymmetry properties of the fluctuations. The relation involves the sum of two…
We analyze the statistical properties of a temporal point process driven by a confined fractional Brownian motion. The event count distribution and power spectral density of this non--Markovian point process exhibit power--law scaling. We…