Related papers: Invariance times
In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure $P$ and corresponding martingale measure $Q$ change to $\tilde{P}$ and $\tilde{Q}$ respectively. Then, we…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
We study the first-passage time (FPT) problem for widespread recurrent processes in confined though large systems and present a comprehensive framework for characterizing the FPT distribution over many time scales. We find that the FPT…
Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…
Consider a strong Markov process in continuous time, taking values in some Polish state space. Recently, Douc, Fort and Guillin (2009) introduced verifiable conditions in terms of a supermartingale property implying an explicit control of…
We present a set of quantum-mechanical Hamiltonians which can be written as the $F^{\,\rm th}$ power of a conserved charge: $H=Q^F$ with $[H,Q]=0$ and $F=2,3,...\, .$ This new construction, which we call {\it fractional}\/ supersymmetric…
We show that the derivative of the intersection and self-intersection local times of alpha-stable processes are exponentially integrable for certain parameter values. This includes the Brownian motion case. We also discuss related results…
Stricker's theorem states that a Gaussian process is a semimartingale in its natural filtration if and only if it is the sum of an independent increment Gaussian process and a Gaussian process of finite variation, see [1983, Z. Wahrsch.…
In this article, it is proved that for any cumulative distribution function with compact support and a specified t > 0, there exists a diffusion martingale which has this law at time t. The article proves existence; no claims are made about…
We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of…
This paper addresses reflected backward stochastic differential equations (RBSDE hereafter) that take the form of \begin{eqnarray*} \begin{cases} dY_t=f(t,Y_t, Z_t)d(t\wedge\tau)+Z_tdW_t^{\tau}+dM_t-dK_t,\quad Y_{\tau}=\xi, Y\geq…
We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define a notion of computable randomness associated with interval, rather than precise,…
Our financial setting consists of a market model with two flows of information. The smallest flow F is the "public" flow of information which is available to all agents, while the larger flow G has additional information about the…
We develop a gradient-flow theory for time-dependent functionals defined in abstract metric spaces. Global well-posedness and asymptotic behavior of solutions are provided. Conditions on functionals and metric spaces allow to consider the…
Computing reachability probabilities is a fundamental problem in the analysis of probabilistic programs. This paper aims at a comprehensive and comparative account on various martingale-based methods for over- and under-approximating…
The standard small-time functional central limit theorem of semimartingales has been established in (Gerhold, S., Kleinert, M., Porkert, P., and Shkolnikov, M. (2015). Small time central limit theorems for semimartingales with applications.…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
The Wigner time delay, defined by the energy derivative of the total scattering phase shift, is an important spectral measure of an open quantum system characterising the duration of the scattering event. It is related to the trace of the…