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We discuss velocity-jump models for chemotaxis of bacteria with an internal state that allows the velocity jump rate to depend on the memory of the chemoattractant concentration along their path of motion. Using probabilistic techniques, we…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
We consider a pure jump process $\{X_t\}_{t\ge 0}$ with values in a finite state space $S= \{1, \ldots, d\}$ for which the jump rates at time instant $t$ depend on the occupation measure $L_t \doteq t^{-1} \int_0^t \delta_{X_s}\,ds$. Such…
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…
Two simple Markov processes are examined, one in discrete and one in continuous time, arising from idealized versions of a transmission protocol for mobile, delay-tolerant networks. We consider two independent walkers moving with constant…
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the volatility does vary. In quantitative finance, the Heston model…
This paper investigates the position (state) distribution of the single step binomial (multi-nomial) process on a discrete state / time grid under the assumption that the velocity process rather than the state process is Markovian. In this…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
The numerical experiments of turbulence conducted by Gotoh et al. are analyzed precisely with the help of the formulae for the scaling exponents of velocity structure function and for the probability density function (PDF) of velocity…
Spreading processes are often modelled as a stochastic dynamics occurring on top of a given network with edge weights corresponding to the transmission probabilities. Knowledge of veracious transmission probabilities is essential for…
We propose new nonparametric estimators of the integrated volatility of an It\^{o} semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…
Continuous time random Walk model has been versatile analytical formalism for studying and modeling diffusion processes in heterogeneous structures, such as disordered or porous media. We are studying the continuous limits of Heterogeneous…
Advances in experimental techniques allow the collection of high-resolution spatio-temporal data that track individual motile entities over time. These tracking data motivate the use of mathematical models to characterise the motion…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an…
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…
A jumping process, defined in terms of jump size distribution and waiting time distribution, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is…
We consider stochastic (partial) differential equations appearing as Markovian lifts of affine Volterra processes with jumps from the point of view of the generalized Feller property which was introduced in e.g.~\cite{doetei:10}. In…
This paper provides rate-efficient estimators of the volatility parameter in the presence of L\'{e}vy jumps