Related papers: Robust Superhedging with Jumps and Diffusion
We provide necessary and sufficient first order geometric conditions for the stochastic invariance of a closed subset of R^d with respect to a jump-diffusion under weak regularity assumptions on the coefficients. Our main result extends the…
We consider the reaction diffusion problem and present efficient ways to discretize and precondition in the singular perturbed case when the reaction term dominates the equation. Using the concepts of optimal test norm and saddle point…
This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
We find a maximum principle for general non-Markovian semi-martingales. We do so by describing the adjoint processes with non-anticipating stochastic derivatives in a martingale random field setting. In the case of the L\'evy processes this…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We propose, analyze and test two novel fully discrete decoupled linearized algorithms for a nonlinearly coupled reaction-diffusion $N$-species competition model with harvesting or stocking effort. The time-stepping algorithms are first and…
In this paper, we consider the robust adaptive non parametric estimation problem for the drift coefficient in diffusion processes. An adaptive model selection procedure, based on the improved weighted least square estimates, is proposed.…
The purpose of this article is to study the hydrodynamic limit of the symmetric exclusion process with long jumps and in contact with infinitely extended reservoirs for a particular critical regime. The jumps are given in terms of a…
For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…
We use the local orthogonal decomposition technique to derive a generalized finite element method for linear and semilinear parabolic equations with spatial multiscale diffusion coefficient. We consider nonsmooth initial data and a backward…
We construct diffusions with values in the nonnegative orthant, normal reflection along each of the axes, and two pairs of local drift/variance characteristics assigned according to rank; one of the variances is allowed to vanish, but not…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…
In the paper, we are concerned with degenerate stochastic differential equations with jumps. Firstly, we establish two support theorems for the solutions of the degenerate stochastic equations, under different (sufficient) conditions.…
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition…