Related papers: Shot-Noise Processes in Finance
We present a theoretical investigation of shot-noise properties in nondegenerate elastic diffusive conductors. Both Monte Carlo simulations and analytical approaches are used. Two new phenomena are found: (i) the display of enhanced shot…
Markovian projections arise in problems where we aim to mimic the one-dimensional marginal laws of an It\^o semimartingale by using another It\^o process with Markovian dynamics. In applications, Markovian projections are useful in…
The shot noise of spin polarized electrons is shown to be generically dependent upon spin-flip processes. Such a situation represents perhaps the simplest instance where the two-particle character of current fluctuations out of equilibrium…
Spin noise spectroscopy is a technique to measure magnetization fluctuations, a subject of increasing relevance in ultrafast spintronics. We investigate numerically the equilibrium spin noise of ferro- and antiferromagnets within an…
In the present paper, a new and simple approach is provided for proving rigorously that for general L\'evy financial markets the minimal entropy martingale measure and the Esscher martingale measure coincide. The method consists in…
We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform…
For optimizing a non-convex function in finite dimension, a method is to add Brownian noise to a gradient descent, allowing for transitions between basins of attractions of different minimizers. To adapt this for optimization over a space…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
A recent theory is reviewed for the shot noise of coherent radiation propagating through a random medium. The Fano factor P/I (the ratio of the noise power and the mean transmitted current) is related to the scattering matrix of the medium.…
Stochastic approximation is a class of algorithms that update a vector iteratively, incrementally, and stochastically, including, e.g., stochastic gradient descent and temporal difference learning. One fundamental challenge in analyzing a…
A stochastic discrete drift-diffusion model is proposed to account for the effects of shot noise in weakly coupled, highly doped semiconductor superlattices. Their current-voltage characteristics consist of a number stable multistable…
Financial markets have long since been modeled using stochastic methods such as Brownian motion, and more recently, rough volatility models have been built using fractional Brownian motion. This fractional aspect brings memory into the…
Consider the sum $Y=B+B(H)$ of a Brownian motion $B$ and an independent fractional Brownian motion $B(H)$ with Hurst parameter $H\in(0,1)$. Even though $B(H)$ is not a semimartingale, it was shown in [\textit{Bernoulli} \textbf{7} (2001)…
We investigate the correlations in the current fluctuations at different terminals of metallic diffusive conductors. We start from scattering matrix expressions for the shot noise and use the Fisher-Lee relation in combination with diagram…
A semiclassical theory of the low frequency shot noise in ferromagnet - normal metal systems is formulated. Non-collinear magnetization directions of the ferromagnetic leads, arbitrary junctions and the elastic and inelastic scattering…
In this paper, we introduce the second-order Esscher pricing notion for continuous-time models. Depending whether the stock price $S$ or its logarithm is the main driving noise/shock in the Esscher definition, we obtained two classes of…
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…
We consider a $d$-dimensional continuous martingale $X(t)$ with quadratic variation matrix $\langle X\rangle_t=\int_0^t \Sigma(s)\,ds$ and develop tests for the rank of its spot covariance matrix $\Sigma(t)$, $t\in[0,1]$. The process $X$ is…
Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This…
Using key tools such as It\^o formula for general semi-martingales, moments estimates for L\'{e}vy-type stochastic integrals and properties of regular varying functions we find conditions under which solutions of stochastic differential…