Related papers: Computing Quantiles in Regime-Switching Jump-Diffu…
We provide some on-off type criteria for recurrence and transience of regime-switching diffusion processes using the theory of M-matrix and the Perron-Frobenius theorem. State-independent and state-dependent regime-switching diffusion…
We consider a threshold factor model for high-dimensional time series in which the dynamics of the time series is assumed to switch between different regimes according to the value of a threshold variable. This is an extension of threshold…
We propose a general framework for studying jump-diffusion systems driven by both Gaussian noise and a jump process with state-dependent intensity. Of particular natural interest are the jump locations: the system evaluated at the jump…
The conventional Quantum Fourier Transform, with exponential speedup compared to the classical Fast Fourier Transform, has played an important role in quantum computation as a vital part of many quantum algorithms (most prominently, the…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for…
In this paper, we implement and evaluate a conditional diffusion model for asset return prediction and portfolio construction on large-scale equity data. Our method models the full distribution of future returns conditioned on firm…
In this paper, we study formal synthesis of control policies for partially observed jump-diffusion systems against complex logic specifications. Given a state estimator, we utilize a discretization-free approach for formal synthesis of…
This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is incorporated into the entropic risk formulation by using a…
This work analyzes fractional continuous-time random walks on two-layer multiplexes. A node-centric dynamics is used, in which it is assumed a Poisson distribution of a walker to become active, while a jump to one of its neighbors depends…
The first passage time (FPT) problem is ubiquitous in many applications. In finance, we often have to deal with stochastic processes with jump-diffusion, so that the FTP problem is reducible to a stochastic differential equation with…
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…
This paper investigates the pricing of financial derivatives and the calculation of their delta Greek when the underlying asset is a jump-diffusion process in which the stochastic intensity component follows the CIR process. Utilizing…
We develop numerical methods for reaction-diffusion systems based on the equations of fluctuating hydrodynamics (FHD). While the FHD formulation is formally described by stochastic partial differential equations (SPDEs), it becomes similar…
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems in infinite…
Biochemical reactions can happen on different time scales and also the abundance of species in these reactions can be very different from each other. Classical approaches, such as deterministic or stochastic approach, fail to account for or…
In this paper, we consider a method for fast numerical computation of the Fourier transform of a slowly decaying function with given accuracy in given ranges of the frequency. In these decades, some useful formulas for the Fourier transform…
We price and replicate a variety of claims written on the log price $X$ and quadratic variation $[X]$ of a risky asset, modeled as a positive semimartingale, subject to stochastic volatility and jumps. The pricing and hedging formulas do…
Quantum walks are known to propagate quadratically faster than their classical counterparts and are used to model dynamics in various quantum systems. The spread of the quantum walk in position space shows anomalous diffusion behavior. By…