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We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
We establish sharp upper and lower bounds for distortion risk metrics under distributional uncertainty. The uncertainty sets are characterized by four key features of the underlying distribution: mean, variance, unimodality, and Wasserstein…
A perturbative quantum theory of the two Killing vector reduction of Einstein gravity is constructed. Although the reduced theory inherits from the full one the lack of standard perturbative renormalizability, we show that strict cutoff…
In the paper we study a measure version of the evolutionary nonlinear Boltzmann-type equation in which we admit a random number of collisions of particles. We consider first a stationary model and use two methods to find its fixed points:…
In this paper, we consider the cutoff Boltzmann equation near Maxwellian, we proved the global existence and uniqueness for the cutoff Boltzmann equation in polynomial weighted space for all $\gamma \in (-3, 1]$. We also proved initially…
We consider probabilistic models for sequential observations which exhibit gradual transitions among a finite number of states. We are particularly motivated by applications such as human activity analysis where observed accelerometer time…
The exponential contraction in $L^1$-Wasserstein distance and exponential convergence in $L^q$-Wasserstein distance ($q\geq 1$) are considered for stochastic differential equations with irregular drift. When the irregular drift drift is…
We prove quantitative stability estimates for Wasserstein barycenters on Alexandrov spaces with curvature bounded from below. The proof combines the variational strategy of Carlier--Delalande--M\'erigot with heat-kernel regularization,…
Departing from the weak solution, we prove the uniqueness, smoothing estimates and the global dynamics for the non cutoff spatially homogeneous Boltzmann equation with moderate soft potentials. Our results show that the behavior of the…
A generalized unbalanced optimal transport distance ${\rm WB}_{\Lambda}$ on matrix-valued measures $\mathcal{M}(\Omega,\mathbb{S}_+^n)$ was defined in [arXiv:2011.05845] \`{a} la Benamou-Brenier, which extends the Kantorovich-Bures and the…
In this paper we study the common distance between points and the behavior of a constant length step discrete random walk on finite area hyperbolic surfaces. We show that if the second smallest eigenvalue of the Laplacian is at least 1/4,…
We develop a novel stability theory for Sinkhorn semigroups based on Lyapunov techniques and quantitative contraction coefficients, and establish exponential convergence of Sinkhorn iterations on weighted Banach spaces. This…
We show quantitative stability results for the geometric "cells" arising in semi-discrete optimal transport problems. Our results show two types of stability, the first is stability of the associated Laguerre cells in measure, without any…
This work investigates a three-dimensional slow-fast stochastic system with quadratic nonlinearity and additive noise, inspired by fluid dynamics. The deterministic counterpart exhibits a periodic orbit and a slow manifold. We demonstrate…
We address the problem of curvature estimation from sampled compact sets. The main contribution is a stability result: we show that the gaussian, mean or anisotropic curvature measures of the offset of a compact set K with positive…
We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition laws. We start from one-step convex risk evaluations in which…
We derive the strong consistency of the least squares estimator for the drift coefficient of a fractional stochastic differential system. The drift coeffcient is one-sided dissipative Lipschitz and the driving noise is additive and…
In this manuscript, we provide a non-asymptotic process level control between the telegraph process and the Brownian motion with suitable diffusivity constant via a Wasserstein distance with quadratic average cost. In addition, we derive…
We consider the non-cutoff Boltzmann equation in the spatially inhomogeneous, soft potentials regime, and establish decay estimates for large velocity. In particular, we prove that pointwise algebraically decaying upper bounds in the…
Periodic waves in the fractional Korteweg-de Vries equation have been previously characterized as constrained minimizers of energy subject to fixed momentum and mass. Here we characterize these periodic waves as constrained minimizers of…