Related papers: Affine Processes
We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the…
We introduce the affine ensemble, a class of determinantal point processes (DPP) in the half-plane C^+ associated with the ax+b (affine) group, depending on an admissible Hardy function {\psi}. We obtain the asymptotic behavior of the…
This is a survey on the theory of adaptive finite element methods (AFEMs), which are fundamental in modern computational science and engineering but whose mathematical assessment is a formidable challenge. We present a self-contained and…
A hydrogeological model for the spread of pollution in an aquifer is considered. The model consists in a convection-diffusion-reaction equation involving the dispersion tensor which depends nonlinearly of the fluid velocity. We introduce an…
This document summarizes the main concepts of the finite element (FE) theory and constitutive relations as implemented in the open-source code phase-field multiphysics materials simulator PHIMATS https://github.com/ahcomat/PHIMATS. PHIMATS…
In this article we consider affine generalizations of the Merton jump diffusion model [Merton, J. Fin. Econ., 1976] and the respective pricing of European options. On the one hand, the Brownian motion part in the Merton model may be…
We consider an affine process $X$ which is only observed up to an additive white noise, and we ask for its law, for some time $t > 0 $, conditional on all observations up to this time $ t $. This is a general, possibly high dimensional…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
We obtain functional central limit theorems for both discrete time expressions of the form $1/\sqrt{N}\sum_{n=1}^{[Nt]}(F(X(q_1(n)),\ldots, X(q_{\ell}(n)))-\bar{F})$ and similar expressions in the continuous time where the sum is replaced…
Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…
This paper is devoted to the prediction problem in extreme value theory. Our main result is an explicit expression of the regular conditional distribution of a max-stable (or max-infinitely divisible) process $\{\eta(t)\}_{t\in T}$ given…
First passage phenomena arise across physics, biology, and finance when stochastic processes first reach a threshold, triggering downstream events. Examples include the irreversible exit from a domain, a biochemical reaction, a financial…
This paper deals with the realisation of affine constraints on nonreversible stochastic differential equations (SDE) by strong confining forces. We prove that the confined dynamics converges pathwise and on bounded time intervals to the…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain the analytical solution for the moments at all times. We…
A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every finite time interval, its distribution is absolutely continuous with respect to the law of the…
In this note we continue our investigations of the representation theoretic aspects of reflection positivity, also called Osterwalder--Schrader positivity. We explain how this concept relates to affine isometric actions on real Hilbert…
We apply the results of Andresen A. and Spokoiny V. on profile M-estimators and the alternating maximization procedure to analyse a sieve profile quasi maximum likelihood estimator in the single index model with linear index function. The…
We prove limit theorems of an entirely new type for certain long memory regularly varying stationary infinitely divisible random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart from one…
This chapter starts with a summary of the atomistic processes that occur during epitaxy. We then introduce density functional theory (DFT) and describe its implementation into state-of-the-art computations of complex processes in condensed…