Related papers: Affine Volterra processes with jumps
We theoretically study the transport properties of self-propelled particles on complex structures, such as motor proteins on filament networks. A general master equation formalism is developed to investigate the persistent motion of…
In this study, we give a thorough analysis of a general affine gravity with torsion. After a brief exposition of the affine gravities considered by Eddington and Schr\"{o}dinger, we construct and analyze different affine gravities based on…
A complex network approach on a rough fracture is developed. In this manner, some hidden metric spaces (similarity measurements) between apertures profiles are set up and a general evolutionary network in two directions (in parallel and…
We consider the application of fluctuation relations to the dynamics of coarse-grained systems, as might arise in a hypothetical experiment in which a system is monitored with a low-resolution measuring apparatus. We analyze a stochastic,…
We study the long-time behavior of affine processes on positive self-adjoiont Hilbert-Schmidt operators which are of pure-jump type, conservative and have finite second moment. For subcritical processes we prove the existence of a unique…
The sufficient conditions for existence and uniqueness of continuous solutions of the Volterra operator equations of the first kind with piecewise continuous kernel are derived. The asymptotic approximation of the parametric family of…
A class of Volterra transforms, preserving the Wiener measure, with kernels of Goursat type is considered. Such kernels satisfy a self-reproduction property. We provide some results on the inverses of the associated Gramian matrices which…
Several well known polytopal constuctions are examined from the functorial point of view. A naive analogy between the Billera-Sturmfels fiber polytope and the abelian kernel is disproved by an infinite explicit series of polytopes. A…
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant…
We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent PDE (CPDE), depending on forward curves rather than the…
We introduce a new class of fractional backward orthogonal functions designed for the spectral approximation of weakly singular adjoint Volterra integral equations. These basis functions generate an approximation space that naturally…
We propose a new generalisation of jump-telegraph process with variable velocities and jumps. Amplitude of the jumps and velocity values are random, and they depend on the time spent by the process in the previous state of the underlying…
The purpose of this paper is to establish the convergence in distribution of the normalized error in the Euler approximation scheme for stochastic Volterra equations driven by a standard Brownian motion, with a kernel of the form…
In the tight binding model with multiple degenerate vacua we might treat wave function overlaps as instanton tunnelings between different wells (vacua). An amplitude for such a tunneling process might be constructed as $\mathsf{T}_{i\to…
The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…
The motion of contaminant particles through complex environments such as fractured rocks or porous sediments is often characterized by anomalous diffusion: the spread of the transported quantity is found to grow sublinearly in time due to…
Given a fine-scale physical theory characterized by an evolutionary system of equations and a set of quantities, defined from the variables of the fine theory, that serve as a coarse representation of the fine scale phenomena, a systematic…
This paper is devoted to study a class of stochastic Volterra equations associated with fractional Brownian motion. We first prove the Driver type integration by parts formula and the shift Harnack type inequalities. As a direct…
The translational motion of anisotropic or self-propelled colloidal particles is closely linked with the particle's orientation and its rotational Brownian motion. In the overdamped limit, the stochastic evolution of the orientation vector…
In the paper we study stochastic convolution appearing in Volterra equation driven by so called L\'evy process. By L\'evy process we mean a process with homogeneous independent increments, continuous in probability and cadlag.