Related papers: Robust Superhedging with Jumps and Diffusion
We develop techniques to capture the effect of transport on the long-term dynamics of small, localized initial data in nonlinearly coupled reaction-diffusion-advection equations on the real line. It is well-known that quadratic or cubic…
The paper develops new methods of non-parametric estimation a compound Poisson distribution. Such a problem arise, in particular, in the inference of a Levy process recorded at equidistant time intervals. Our key estimator is based on…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
We study the problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming some mild condition on the jump size…
As a simplified model for subsurface flows elliptic equations may be utilized. Insufficient measurements or uncertainty in those are commonly modeled by a random coefficient, which then accounts for the uncertain permeability of a given…
In this paper we use the spine decomposition and martingale change of measure to establish a Kesten-Stigum $L\log L$ theorem for branching Hunt processes. This result is a generalization of the results in Asmussen-Hering (1976) and Hering…
We investigate the error of the randomized Milstein algorithm for solving scalar jump-diffusion stochastic differential equations. We provide a complete error analysis under substantially weaker assumptions than known in the literature. In…
We consider non-reversible perturbations of reversible diffusions that do not alter the invariant distribution and we ask whether there exists an optimal perturbation such that the rate of convergence to equilibrium is maximized. We solve…
Superdiffusion is an anomalous transport behavior. Recently, a new mechanism, termed the ``nodal mechanism," has been proposed to induce superdiffusion in quantum models. However, existing realizations of the nodal mechanism have so far…
Longstanding problems regarding the causality of the diffusion equation are resolved through a class of exact solutions. A universal differential solution for diffusive processes is derived that is causal and exact at any analytic point in…
We evaluate the significance of a recently proposed bivariate jump-diffusion model for a data-driven characterization of interactions between complex dynamical systems. For various coupled and non-coupled jump-diffusion processes, we find…
We investigate dynamics near Turing patterns in reaction-diffusion systems posed on the real line. Linear analysis predicts diffusive decay of small perturbations. We construct a "normal form" coordinate system near such Turing patterns…
A general reaction-diffusion equation with spatiotemporal delay and homogeneous Dirichlet boundary condition is considered. The existence and stability of positive steady state solutions are proved via studying an equivalent…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
By analyzing the displacement statistics of an assembly of horizontally vibrated bidisperse frictional grains in the vicinity of the jamming transition experimentally studied before, we establish that their superdiffusive motion is a…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean…
In this paper we provide an example of a class of two reaction-diffusion-ODE equations with homogeneous Neumann boundary conditions, in which Turing-type instability not only destabilizes constant steady states but also induces blow-up of…
This paper presents a class of new algorithms for distributed statistical estimation that exploit divide-and-conquer approach. We show that one of the key benefits of the divide-and-conquer strategy is robustness, an important…