Related papers: A new decomposition of portfolio return
Volatility of financial stock is referring to the degree of uncertainty or risk embedded within a stock's dynamics. Such risk has been received huge amounts of attention from diverse financial researchers. By following the concept of…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and…
There may be structural principles pertaining to the general behavior of systems that lead to similarities in a variety of different contexts. Classic examples include the descriptive power of fractals, the importance of surface area to…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with…
Fluctuation theorems may be partitioned into those that apply the probability measure under the original stochastic process to reversed paths, and those that construct a new, adjoint measure by similarity transform, which locally reverses…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
We extend the Fokker-Planck framework of Froseth (2026, arXiv:2603.05283) to populations of investors with heterogeneous, persistent return-generating ability. When the drift coefficient in the Langevin equation for log-wealth varies across…
We study the large deviations of the time-integrated current for a driven diffusion on the circle, often used as a model of nonequilibrium systems. We obtain the large deviation functions describing the current fluctuations using a…
When expanding a filtration with a stochastic process it is easily possible for semimartingale no longer to remain semimartingales in the enlarged filtration. Y. Kchia and P. Protter indicated a way to avoid this pitfall in 2015, but they…
We present a new approach to fluctuation identities for reflected L\'{e}vy processes with one-sided jumps. This approach is based on a number of easy to understand observations and does not involve excursion theory or It\^{o} calculus. It…
This paper constructs a foundation to analyze semi-group actions, group actions, filtrations, and decompositions in a unified manner. In fact, though the studies of decomposition can be applied to foliated spaces and group actions, they can…
The fractional polylogarithms, depending on a complex parameter $\a$, are defined by a series which is analytic inside the unit disk. After an elementary conversion of the series into an integral presentation, we show that the fractional…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…
This paper compares two basic approaches to solving ordinary differential equations, which form the basis for attitude computation in strapdown inertial navigation systems, namely, the Taylor series expansion approach that was used in its…