Related papers: Existence of L\'evy term structure models
This paper investigates the structure of product systems of Hilbert spaces derived from Banach space-valued L\'evy processes. We establish conditions under which these product systems are completely spatial and show that Gaussian L\'evy…
The paper is devoted to the study of the short rate equation of the form $$ dR(t)=F(R(t))dt+\sum_{i=1}^{d}G_i(R(t-))dZ_i(t), \quad R(0)=x\geq 0, \quad t>0, $$ with deterministic functions $F,G_1,...,G_d$ and independent L\'evy processes of…
The Hamiltonian structure of the guiding-center Vlasov-Maxwell equations is presented in terms of a Hamiltonian functional and a guiding-center Vlasov-Maxwell bracket. The bracket, which is shown to satisfy the Jacobi identity exactly, is…
The celebrated theorem of Kechris, Pestov and Todor\v{c}evi\'c connecting structural Ramsey theory with topological dynamics has as a consequence that the Fra\"{\i}ss\'e limit of a Ramsey class of non-trivial finite relational structures…
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy…
A Liouville type theorem is proven for the steady-state Navier-Stokes equations. It follows from the corresponding theorem on the Stokes equations with the drift. The drift is supposed to belong to a certain Morrey space.
We study the existence and uniqueness, the regularity, and the long-time behavior of strong solutions to stochastic curve shortening flow driven by a transport-type pure jump L\'evy noise. To obtain the existence and uniqueness of strong…
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…
We propose a unified stochastic SIR model driven by L\'{e}vy noise. The model is structural enough to allow for time-dependency, nonlinearity, discontinuity, demography and environmental disturbances. We present concise results on the…
A global time-discretized scheme for the Navier-Stokes equation system in its Leray projection form is defined. It is shown that the scheme converges to a bounded global classical solution for smooth data which have polynomial decay at…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the…
In this work we first present the existence, uniqueness and regularity of the strong solution of the tidal dynamics model perturbed by L\'evy noise. Monotonicity arguments have been exploited in the proofs. We then formulate a martingale…
In this work we prove the existence and uniqueness of the strong solution of the shell model of turbulence perturbed by L\'{e}vy noise. The local monotonicity arguments have been exploited in the proofs.
Homotopy type theory is a new branch of mathematics, based on a recently discovered connection between homotopy theory and type theory, which brings new ideas into the very foundation of mathematics. On the one hand, Voevodsky's subtle and…
In the present paper, we give a condensed review, for the nonspecialist reader, of a new modelling framework for spatio-temporal processes, based on L\'{e}vy theory. We show the potential of the approach in stochastic geometry and spatial…
These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes. We analyze a `toy' example of a…
We present a simple unifying treatment of a broad class of applications from statistical mechanics, econometrics, mathematical finance, and insurance mathematics, where (possibly subordinated) L\'evy noise arises as a scaling limit of some…
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…
We survey some aspects of stability conditions both in general and on the derived category of coherent sheaves on a surface, with applications to the birational geometry of certain holomorphic symplectic varieties.