Related papers: Remark on Right Continuous Exponential Martingales
Lecture notes for a master-level mathematics course on martingales and stochastic calculus, held at the University of Orl\'eans, France. With corrected exercises. Contents: Discrete-time martingales, stopping times, convergence theorems.…
We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…
We consider a Markov jump process on a general state space to which we apply a time-dependent weak perturbation over a finite time interval. By martingale-based stochastic calculus, under a suitable exponential moment bound for the…
Martin-L\"of (ML)-reducibility compares $K$-trivial sets by examining the Martin-L\"of random sequences that compute them. We show that every $K$-trivial set is computable from a c.e.\ set of the same ML-degree. We investigate the interplay…
In this paper, we study Gaussian multiplicative chaos in the critical case. We show that the so-called derivative martingale, introduced in the context of branching Brownian motions and branching random walks, converges almost surely (in…
We investigate a piecewise-deterministic Markov process, evolving on a Polish metric space, whose deterministic behaviour between random jumps is governed by some semi-flow, and any state right after the jump is attained by a randomly…
We prove global well-posedness in the strong sense for stochastic generalized porous media equations driven by square integrable martingales with stationary independent increments.
We present new methodologies for Bayesian inference on the rate parameters of a discretely observed continuous-time Markov jump processes with a countably infinite state space. The usual method of choice for inference, particle Markov chain…
In this paper, we contribute to the study of the class $(\Sigma)$. In the first part of the paper, we provide new ways to characterize stochastic processes of the above mentioned class and we derive some new properties. For instance, we…
This paper discusses the mathematical representation of an empirically observed phenomenon, referred to as Incremental Similarity. We discuss this feature from the viewpoint of stochastic processes and present a variety of non-trivial…
We introduce and study the inhomogeneous exponential jump model - an integrable stochastic interacting particle system on the continuous half line evolving in continuous time. An important feature of the system is the presence of arbitrary…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
We price and replicate a variety of claims written on the log price $X$ and quadratic variation $[X]$ of a risky asset, modeled as a positive semimartingale, subject to stochastic volatility and jumps. The pricing and hedging formulas do…
This paper tackles the issue of establishing a lower-bound on the asymptotic ratio of survival probabilities between two different initial conditions, asymptotically in time for a given Markov process with extinction. Such a comparison is a…
In this note we discuss the mathematical tools to define trend indicators which are used to describe market trends. We explain the relation between averages and moving averages on the one hand and the so called exponential moving average…
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results by Jacod (2008) are generalized to the…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…
In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection…
Irreversible and rejection-free Monte Carlo methods, recently developed in Physics under the name Event-Chain and known in Statistics as Piecewise Deterministic Monte Carlo (PDMC), have proven to produce clear acceleration over standard…