Related papers: Affine Volterra processes
In this work, we consider the regularity property of stochastic convolutions for a class of abstract linear stochastic retarded functional differential equations with unbounded operator coefficients. We first establish some useful estimates…
We theoretically and computationally investigate long-memory processes based on the Markovian lifts of affine jump-diffusion processes. A nominal superposition process consisting of an infinite number of interacting affine processes is…
Fourier-based methods are central to option pricing and hedging when the Fourier-Laplace transform of the log-price and integrated variance is available semi-explicitly. This is the case for the Volterra Stein-Stein stochastic volatility…
Laplace transforms for integrals of stochastic processes have been known in analytically closed form for just a handful of Markov processes: namely, the Ornstein-Uhlenbeck, the Cox-Ingerssol-Ross (CIR) process and the exponential of…
Space-time fractional evolution equations are a powerful tool to model diffusion displaying space-time heterogeneity. We prove existence, uniqueness and stochastic representation of classical solutions for an extension of Caputo evolution…
Affine Lusztig varieties encode the orbital integrals of Iwahori--Hecke functions and serve as building blocks for the (conjectural) theory of affine character sheaves. We establish a close relationship between affine Lusztig varieties and…
We study the existence and uniqueness of solutions to stochastic differential equations with Volterra processes driven by L\'evy noise. For this purpose, we study in detail smoothness properties of these processes. Special attention is…
We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which…
We study stochastic convolutions providing by fundamental solutions of a class of integrodifferential equations which interpolate the heat and the wave equations. We give sufficient condition for the existence of function--valued…
This papers deals with a construction and convergence analysis of a finite difference scheme for solving time-fractional porous medium equation. The governing equation exhibits both nonlocal and nonlinear behaviour making the numerical…
We introduce a quantum-like classical computational model, called affine computation, as a generalization of probabilistic computation. After giving the basics of affine computation, we define affine finite automata (AfA) and compare it…
In this work we prove that a family of explicit numerical finite-difference methods is convergent when applied to a nonlinear Volterra equation with a power-type nonlinearity. In that case the kernel is not of Lipschitz type, therefore the…
We define and solve Volterra equations driven by an irregular signal, by means of a variant of the rough path theory allowing to handle generalized integrals weighted by an exponential coefficient. The results are applied to the fractional…
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and…
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant…
We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.
The goal of this paper is to clarify when a stochastic partial differential equation with an affine realization admits affine state processes. This includes a characterization of the set of initial points of the realization. Several…
Large-time behaviour of solutions to stochastic evolution equations driven by two-sided regular Volterra processes is studied. The solution is understood in the mild sense and takes values in a separable Hilbert space. Sufficient conditions…
We introduce an abstract Hilbert space-valued framework of Markovian lifts for stochastic Volterra equations with operator-valued Volterra kernels. Our main results address the existence and characterisation of possibly multiple limit…
A stochastic affine evolution equation with bilinear noise term is studied where the driving process is a real-valued fractional Brownian motion. Stochastic integration is understood in the Skorokhod sense. Existence and uniqueness of weak…