Related papers: Affine Volterra processes with jumps
The numerical method for solution of the weakly regular scalar Volterra integral equation of the 1st kind is proposed. The kernels of such equations have jump discontinuities on the continuous curves which starts at the origin. The…
In this paper we consider a linear stochastic Volterra equation which has a stationary solution. We show that when the kernel of the fundamental solution is regularly varying at infinity with a log-convex tail integral, then the…
We consider a process $X^\ve$ that solves a stochastic Volterra equation with an unknown parameter $\theta^\star$ in the drift function. The Volterra kernel is singular, and includes as an example, $K\_0(u)=c u^{\alpha-1/2} \id{u>0}$ with…
We propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension of a…
Using the moving frame and invariants, any discrete curve in $\R^3$ could be uniquely identified by its centroaffine curvatures and torsions. In this paper, depending on the affine curvatures of the fractal curves, such as Koch curve and…
The analysis of single particle trajectories plays an important role in elucidating dynamics within complex environments such as those found in living cells. However, the characterization of intracellular particle motion is often confounded…
This papers develops a stochastic integration theory with respect to volatility modulated L\'{e}vy-driven Volterra (VMLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in…
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate the classical Merton's portfolio optimization problem in a…
In this paper, we consider a general class of stochastic Volterra equations with small noise. Our aim is to study the fluctuation of the solution around its deterministic limit. We use the techniques of Malliavin calculus to show that the…
We study local quasihelix and generalized quasihelix properties of several Gaussian Volterra processes with tempered, power-weighted, and logarithmic kernels, including tempered fractional Brownian motions and generalized fractional…
We prove an enhanced limit theorem for additive functionals of a multi-dimensional Volterra process $(y_t)_{t\geq 0}$ in the rough path topology. As an application, we establish weak convergence as $\varepsilon\to 0$ of the solution of the…
We study robust nonlinear filtering for stochastic models driven by L\'evy processes, where the signal and observation processes are coupled through common Brownian and jump noise. Robustness, defined as the continuous dependence of the…
Eukaryotic flagella are active structures with a complex architecture of microtubules, motor proteins and elastic links. They are capable of whiplike motions driven by motors sliding along filaments that are themselves constrained at an…
We study the transport of active Brownian particles (ABPs) in three-dimensional (3D) oscillatory geometries, which are spatially periodic. We establish a generalized Fick-Jacobs approach, which reduces a 3D system to an effective 1D system…
We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…
We consider a class of linear Volterra transforms of Brownian motion associated to a sequence of M\"untz Gaussian spaces and determine explicitly their kernels; some interesting links with M\"untz-Legendre polynomials are provided. This…
The dynamics of complex systems in nature often occurs in terms of punctuations, or avalanches, rather than following a smooth, gradual path. A comprehensive theory of avalanche dynamics in models of growth, interface depinning, and…
The first passage time problem for Brownian motions hitting a barrier has been extensively studied in the literature. In particular, many incarnations of integral equations which link the density of the hitting time to the equation for the…
We consider mixing problems in the form of transient convection--diffusion equations with a velocity vector field with multiscale character and rough data. We assume that the velocity field has two scales, a coarse scale with slow spatial…
This work defines and studies one-dimensional convolution kernels that preserve nonnegativity. When the past dynamics of a process is integrated with a convolution kernel like in Stochastic Volterra Equations or in the jump intensity of…