Related papers: Affine pure-jump processes on positive Hilbert-Sch…

This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda(t))$, where $\Lambda(t)$ is a component representing discrete events taking values in a countably infinite…

We introduce a class of jump-diffusions, called holomorphic, of which the well-known classes of affine and polynomial processes are particular instances. The defining property concerns the extended generator, which is required to map a…

We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends known results for affine jump-diffusions with a canonical state…

Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistical tests have been proposed in the literature to check the…

In this paper, we study the asymptotic behaviors of implied volatility of an affine jump-diffusion model. Let log stock price under risk-neutral measure follow an affine jump-diffusion model, we show that an explicit form of moment…

In this paper, exact Hausdorff dimension formulas for a class of self-affine attractors generated by affine Iterated Function Systems are derived. We consider systems containing an affine map whose $n$-th iterate is a similarity…

In affine models, both the martingale property of stochastic exponentials and non-explosion of affine processes is characterized in terms of minimality of solutions to a system of generalized Riccati differential equations. This is the…

For a wide class of continuous-time Markov processes, including all irreducible hypoelliptic diffusions evolving on an open, connected subset of $\RL^d$, the following are shown to be equivalent: (i) The process satisfies (a slightly weaker…

In this paper, we consider a class of inhomogeneous semi-Markov processes directly based on intensity processes for marked point processes. We show that this class satisfies the semi-Markov properties defined elsewhere in the literature. We…

Affine quantum gravity involves (i) affine commutation relations to ensure metric positivity, (ii) a regularized projection operator procedure to accomodate first- and second-class quantum constraints, and (iii) a hard-core interpretation…

Let H(1), H(2) be complex Hilbert spaces, H be their Hilbert tensor product and let tr2 be the operator of taking the partial trace of trace class operators in H with respect to the space H(2). The operation tr2 maps states in H (i.e.…

In his 1972 paper, John Lamperti characterized all positive self-similar Markov processes as time-changes of exponentials of Levy processes. In the past decade the problem of classifying all non-negative self-similar Markov processes that…

The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. Essentially, there is a jump…

We characterize the class of exchangeable Feller processes evolving on partitions with boundedly many blocks. In continuous-time, the jump measure decomposes into two parts: a $\sigma$-finite measure on stochastic matrices and a collection…

This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small…

In this paper we study the transition density and exponential ergodicity in total variation for an affine process on the canonical state space $\mathbb{R}_{\geq0}^{m}\times\mathbb{R}^{n}$. Under a H\"ormander-type condition for diffusion…

In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on $-\infty\leq a<b\leq \infty$ in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the…

Consider a system of interacting particles indexed by the nodes of a graph whose vertices are equipped with marks representing parameters of the model such as the environment or initial data. Each particle takes values in a countable state…

We prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing…

We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…