Related papers: Conic Martingales from Stochastic Integrals
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
We present sufficient conditions, in terms of the jumping kernels, for two large classes of conservative Markov processes of pure-jump type to be purely discontinuous martingales with finite second moment. As an application, we establish…
We review recent results on the metastable behavior of continuous-time Markov chains derived through the characterization of Markov chains as unique solutions of martingale problems.
In the present paper, we give some examples of stochastic differential equations which have delicateness in the Markov and strong Markov properties, the uniqueness locally in time and globally in time, and initial conditions. Moreover, we…
We present a construction of the basic operators of stochastic analysis (gradient and divergence) for a class of discrete-time normal martingales called obtuse random walks. The approach is based on the chaos representation property and…
Recently, a new approach in the fine analysis of stochastic processes sample paths has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of…
Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and…
In this paper we study dynamic backward problems, with the computation of conditional expectations as a main objective, in a framework where the (forward) state process satisfies a Volterra type SDE, with fractional Brownian motion as a…
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…
This thesis develops exact analytical tools to study strongly correlated stochastic systems, with a focus on extreme value statistics, gap statistics, and full counting statistics in multi-particle processes. A central contribution is the…
We derive computationally tractable methods to select a small subset of experiment settings from a large pool of given design points. The primary focus is on linear regression models, while the technique extends to generalized linear models…
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite…
The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…
Clifford analysis has been the field of active research for several decades resulting in various methods to solve problems in pure and applied mathematics. However, the area of stochastic analysis has not been addressed in its full…
This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flexible forms of their serial correlation, including both…
By extending to the stochastic setting the classical vanishing viscosity approach we prove the existence of suitably weak solutions of a class of nonlinear stochastic evolution equation of rate-independent type. Approximate solutions are…
In this brief note, we investigate some constructions of Lyapunov functions for stochastic discrete-time stabilizable dynamical systems, in other words, controlled Markov chains. The main question here is whether a Lyapunov function in some…
We present new properties for the Fractional Poisson process and the Fractional Poisson field on the plane. A martingale characterization for Fractional Poisson processes is given. We extend this result to Fractional Poisson fields,…
We introduce a generalized notion of semilinear elliptic partial differential equations where the corresponding second order partial differential operator $L$ has a generalized drift. We investigate existence and uniqueness of generalized…
This paper shows how the theory of dynamic risk measures provides viscosity solutions to a family of second-order parabolic partial differential equations, even in the degenerate case. First, motivated by the martingale problem approach of…