Related papers: Affine processes beyond stochastic continuity
In this paper, we consider a modified version of a well-known submartingale condition fortheweak convergence of probabilitymeasures, adapted to the semi-Markov case. In this setting, it is convenient to work with an embedded Markov chain…
This paper presents a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the process within a…
Developing a thermodynamic theory of computation is a challenging task at the interface of non-equilibrium thermodynamics and computer science. In particular, this task requires dealing with difficulties such as stochastic halting times,…
In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a…
Multidimensional affine diffusions have been studied in detail for the case of a canonical state space. We present results for general state spaces and provide a complete characterization of all possible affine diffusions with polyhedral…
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for…
Markov jump processes are continuous-time stochastic processes with a wide range of applications in both natural and social sciences. Despite their widespread use, inference in these models is highly non-trivial and typically proceeds via…
This paper contributes to the study of stochastic processes of the class $(\Sigma)$. First, we extend the notion of the above-mentioned class to c\`adl\`ag semi-martingales, whose finite variational part is considered c\`adl\`ag instead of…
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…
The reduction of a continuous Markov process with multiple metastable states to a discrete rate process is investigated in the presence of slow time dependent parameters such as periodic external forces or slowly fluctuating barrier…
Providing finite-time probabilistic safety and reach-avoid guarantees is crucial for safety-critical stochastic systems. Existing state-of-the-art barrier methods often rely on a restrictive boundedness assumption for auxiliary functions,…
We derive explicit integrability conditions for stochastic integrals taken over time and space driven by a random measure. Our main tool is a canonical decomposition of a random measure which extends the results from the purely temporal…
The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance. Estimating this conditional variance usually is a hard…
Having in view some applications in nanophysics, in particular in nanophysics of materials, we develop new dynamical models of structured bodies with affine internal degrees of freedom. In particular, we construct some models where not only…
In this paper we consider the growth, large fluctuations and memory properties of an affine stochastic functional differential equation with an average functional where the contributions of the average and instantaneous terms are…
On a probability space $(\Omega,\mathcal{A},\mathbb{Q})$ we consider two filtrations $\mathbb{F}\subset \mathbb{G}$ and a $\mathbb{G}$ stopping time $\theta$ such that the $\mathbb{G}$ predictable processes coincide with $\mathbb{F}$…
By affine arithmetic is meant the set of affine consequences of Peano arithmetic. This is a continuous theory which is studied in the framework of affine logic, a sublogic of continuous logic. Affine arithmetic is undecidable. Also, its…
An implicit finite difference method with non-uniform timesteps for solving the fractional diffusion equation in the Caputo form is proposed. The method allows one to build adaptive methods where the size of the timesteps is adjusted to the…
We generalize the notion of the submartingale property and Doob's inequality. Furthermore, we show how the latter leads to new inequalities for several stochastic processes: certain time series, Levy processes, random walks, processes with…
Motivated by the study of the time evolution of random dynamical systems arising in a vast variety of domains --- ranging from physics to ecology ---, we establish conditions for the occurrence of a non-trivial asymptotic behaviour for…