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We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution,…
Az\'{e}ma associated with an honest time L the supermartingale $Z_{t}^{L}=\mathbb{P}[L>t|\mathcal{F}_{t}]$ and established some of its important properties. This supermartingale plays a central role in the general theory of stochastic…
In this article, we consider abstract linear conservative systems and their time-discrete counterparts. Our main result is a representation formula expressing solutions of the continuous model through the solution of the corresponding…
In this paper, the classical problem of the probabilistic characterization of a random variable is re-examined. A random variable is usually described by the probability density function (PDF) or by its Fourier transform, namely the…
In [Phys. Rev. A 82, 042103 (2010)], the authors showed that "for a class of the non-Markovian master equations in time-local forms", the quantum Fisher information (QFI) flow can be decomposed into additive subflows corresponding to…
We introduce an interacting particle system that models the spread of an epidemic in terms of heterogeneous diffusive dynamics, rather than exogenous contact and transmission rates at the population level as in classical compartmental…
We present a concise, self-contained derivation of diffusion-based generative models. Starting from basic properties of Gaussian distributions (densities, quadratic expectations, re-parameterisation, products, and KL divergences), we…
Flow Matching (FM) (also referred to as stochastic interpolants or rectified flows) stands out as a class of generative models that aims to bridge in finite time the target distribution $\nu^\star$ with an auxiliary distribution $\mu$,…
We study the stability of non-conservative deterministic cross diffusion models and prove that they are approximated by stochastic population models when the populations become locally large. In this model, the individuals of two species…
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It\^o semimartingale over a shrinking time interval. The spot characteristics of the It\^o semimartingale are allowed to have…
In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration $(\mathcal{F}_t)_{t\geq0}$. Let $X$ be a square-integrable…
We analyse features of the patterns formed from a simple model for a martensitic phase transition. This is a fragmentation model that can be encoded by a general branching random walk. An important quantity is the distribution of the…
We consider several non-local models for traffic flow, including both microscopic ODE models and macroscopic PDE models. The ODE models describe the movement of individual cars, where each driver adjusts the speed according to the road…
A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting…
Modeling financial markets based on empirical data poses challenges in selecting the most appropriate models. Despite the abundance of empirical data available, researchers often face difficulties in identifying the best-fitting model.…
We provide an axiomatic foundation for the representation of num\'{e}raire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice…
A class of generative models that unifies flow-based and diffusion-based methods is introduced. These models extend the framework proposed in Albergo and Vanden-Eijnden (2023), enabling the use of a broad class of continuous-time stochastic…
This paper studies relations among axioms on individuals' intertemporal choices under risk. The focus is on Risk Averse over Time Lotteries (RATL), meaning that a fixed prize is preferred to a lottery with the same monetary prize but a…
We consider dynamic versions of the mutual information of lifetime distributions, with focus on past lifetimes, residual lifetimes and mixed lifetimes evaluated at different instants. This allows to study multicomponent systems, by…
In this paper, we investigate the arising communication patterns on social media, and in particular the series of events happening for a single user. While the distribution of inter-event times is often assimilated to power-law density…