Related papers: Varadhan's formula, conditioned diffusions, and lo…
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…
This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not require strict self-similarity assumptions on the Volterra…
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…
An asymptotic analysis is performed for thin anisotropic elastic plate clamped along its lateral side and also supported at a small area $\theta_{h}$ of one base with diameter of the same order as the plate thickness $h\ll1.$ A…
In a recent study [DutykhDias2007] we presented a novel visco-potential free surface flows formulation. The governing equations contain local and nonlocal dissipative terms. From physical point of view, local dissipation terms come from…
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a…
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
The objective of the present paper is to develop a minimax theory for the varying coefficient model in a non-asymptotic setting. We consider a high-dimensional sparse varying coefficient model where only few of the covariates are present…
This work aims to prove the small time large deviation principle (LDP) for a class of stochastic partial differential equations (SPDEs) with locally monotone coefficients in generalized variational framework. The main result could be…
In the current density functional theory of linear and nonlinear time-dependent phenomena, the treatment of exchange and correlation beyond the level of the adiabatic local density approximation is shown to lead to the appearance of…
Taking a multidimensional time-homogeneous dynamical system and adding a randomly perturbed time-dependent deterministic signal to some of its components gives rise to a high-dimensional system of stochastic differential equations which is…
We consider slow-fast systems of differential equations, in which both the slow and fast variables are perturbed by noise. When the deterministic system admits a uniformly asymptotically stable slow manifold, we show that the sample paths…
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market; hence calibrations of local volatility models are necessary using observable market data.…
Real-world time series exhibit temporally structured uncertainty: volatility clusters in turbulent regimes, dissipates in stable periods, and shifts abruptly around structural breaks. Yet many probabilistic forecasting methods estimate…
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are…
A robust implementation of a Dupire type local volatility model is an important issue for every option trading floor. Typically, this (inverse) problem is solved in a two step procedure : (i) a smooth parametrization of the implied…
We present an abstract framework to study weak convergence of numerical approximations of linear stochastic partial differential equations driven by additive L\'evy noise. We first derive a representation formula for the error which we then…