Related papers: Computing Quantiles in Regime-Switching Jump-Diffu…
This work examines a stochastic volatility model with double-exponential jumps in the context of option pricing. The model has been considered in previous research articles, but no thorough analysis has been conducted to study its quality…
A free boundary diffusive logistic model finds application in many different fields from biological invasion to wildfire propagation. However, many of these processes show a random nature and contain uncertainties in the parameters. In this…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…
We present a fast and robust calibration method for stochastic volatility models that admit Fourier-analytic transform-based pricing via characteristic functions. The design is structure-preserving: we keep the original pricing transform…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
In this paper, we propose a new threshold-kernel jump-detection method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately optimal way to achieve improved finite-sample performance. We…
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair…
Temporal distribution shifts pose a key challenge for machine learning models trained and deployed in dynamically evolving environments. This paper introduces RIDER (RIsk minimization under Dynamically Evolving Regimes) which derives…
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the…
We introduce the Peierls substitution to a two-dimensional discrete-time quantum walk on a square lattice to examine the spreading dynamics and the coin-position entanglement in the presence of an artificial gauge field. We use the ratio of…
This paper presents a new resolution strategy for multi-scale streamer discharge simulations based on a second order time adaptive integration and space adaptive multiresolution. A classical fluid model is used to describe plasma…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
The calculation of the hot plasma bound-free opacity according to the average atom models often leads to a noticeable effect of initial configuration on the shell ionization threshold. For the related problem of taking into account the…
We propose a new approach to quantize the marginals of the discrete Euler diffusion process. The method is built recursively and involves the conditional distribution of the marginals of the discrete Euler process. Analytically, the method…
Diffusion probability models have shown significant promise in offline reinforcement learning by directly modeling trajectory sequences. However, existing approaches primarily focus on time-domain features while overlooking frequency-domain…
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is…
We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework to efficiently compute the most popular risk measures, Value-at-Risk and Expected Shortfall (also known as…
This contribution considers the time-fractional subdiffusion with a time-dependent variable-order fractional operator of order $\beta(t)$. It is assumed that $\beta(t)$ is a piecewise constant function with a finite number of jumps. A proof…
We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…