Related papers: Robust Superhedging with Jumps and Diffusion
We study the distribution of the maximal jump of continuous-state branching processes. Several exact expressions and explicit asymptotics of both the local maximal jump and the global maximal jump are obtained. We also compare the…
In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and…
We prove an existence result for nonlinear diffusion equations in the presence of a nonlocal density-dependent drift which is not necessarily potential. The proof is constructive and based on the Helmholtz decomposition of the drift and a…
A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and L\'evy distributions are proposed and functional central limit theorems using the uniform…
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment income. The insurance risks are captured via a…
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…
We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, the causal and bicausal barycenter problem, and a…
We develop a unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations $$ \partial_t u-\mathfrak{L}^{\sigma,\mu}[\varphi(u)]=f \quad\quad\text{in}\quad\quad…
The paper studies the rate of convergence of the weak Euler approximation for It\^{o} diffusion and jump processes with H\"{o}lder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion…
We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniqueness. The corresponding solutions are expected to be…
The exceptional point has presented considerably interesting and counterintuitive phenomena associated with nonreciprocity, precision measurement, and topological dynamics. The Liouvillian exceptional point (LEP), involving the interplay of…
The goal of this work is to establish the global existence of nonnegative classical solutions in all dimensions for a system of highly nonlinear reaction-diffusion equations. We address the case for different diffusion coefficients and the…
We consider a system of random walks in a random environment interacting via exclusion. The model is reversible with respect to a family of disordered Bernoulli measures. Assuming some weak mixing conditions, it is shown that, under…
Demixing of binary fluids subjected to slow temperature ramps shows repeated waves of nucleation which arise as a consequence of the competition between generation of supersaturation by the temperature ramp and relaxation of supersaturation…
Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…
We consider a model system consisting of two reaction-diffusion equations, where one species diffuses in a volume while the other species diffuses on the surface which surrounds the volume. The two equations are coupled via a nonlinear…
This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda(t))$, where $\Lambda(t)$ is a component representing discrete events taking values in a countably infinite…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
We investigate a refracted Levy process driven by a jump diffusion process, whose jumps have rational Laplace transforms. For such a stochastic process, formulas for the Laplace transform of its occupation times are deduced. To derive the…
In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…