Related papers: Affine Volterra processes with jumps
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…
Subdiffusive fractional equations are not structurally stable with respect to spatial perturbations to the anomalous exponent (Phys. Rev. E 85, 031132 (2012)). The question arises of applicability of these fractional equations to model real…
We consider the motion by curvature of a network of smooth curves with multiple junctions in the plane, that is, the geometric gradient flow associated to the length functional. Such a flow represents the evolution of a two--dimensional…
Experimental realizations of self-propelled colloidal Janus particles exploit the conversion of free energy into directed motion. One route are phoretic mechanisms that can be modeled schematically as the interconversion of two chemical…
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…
The triple-alpha process, whereby evolved stars create carbon and oxygen, is believed to be fine-tuned to a high degree. Such fine-tuning is suggested by the unusually strong temperature dependence of the triple-alpha reaction rate at…
A Fokker-Planck equation approach for the treatment of non-Markovian stochastic processes is proposed. The approach is based on the introduction of fictitious trajectories sharing with the real ones their local structure and initial…
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a…
The random motion of molecules in living cells has consistently been reported to deviate from standard Brownian motion, a behavior coined as ``anomalous diffusion''. Fluorescence Correlation Spectroscopy (FCS) is a powerful method to…
In this paper, the notion of singular backward stochastic Volterra integral equations (singular BSVIEs for short) in infinite dimensional space is introduced, and the corresponding well-posedness is carefully established. A class of…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
Problems of particle dynamics involving unsteady Stokes flows in confined geometries are typically harder to solve than their steady counterparts. Approximation techniques are often the only resort. Felderhof (see e.g. 2005, 2009b) has…
In this article we consider affine generalizations of the Merton jump diffusion model [Merton, J. Fin. Econ., 1976] and the respective pricing of European options. On the one hand, the Brownian motion part in the Merton model may be…
We provide a unified treatment of pathwise Large and Moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not necessarily of convolution form. Our methodology is based…
Global existence for the nonisentropic compressible Euler equations with vacuum boundary for all adiabatic constants $\gamma > 1$ is shown through perturbations around a rich class of background nonisentropic affine motions. The notable…
In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a…
A Vitali-type theorem for vector lattice-valued modulars with respect to filter convergence is proved. Some applications are given to modular convergence theorems for moment operatorsin the vector lattice setting, and also for the Brownian…
In this paper, our work is devoted to studying Volterra type McKean-Vlasov stochastic differential equations with singular kernels. Firstly, the well-posedness of Volterra type McKean-Vlasov stochastic differential equations are…
Diffusive transport of particles or, more generally, small objects is a ubiquitous feature of physical and chemical reaction systems. In configurations containing confining walls or constrictions transport is controlled both by the…
We analyze common lifts of stochastic processes to rough paths/rough drivers-valued processes and give sufficient conditions for the cocycle property to hold for these lifts. We show that random rough differential equations driven by such…