Related papers: Cylindrical stochastic integration and application…
Variational integrators are derived for structure-preserving simulation of stochastic forced Hamiltonian systems. The derivation is based on a stochastic discrete Hamiltonian which approximates a type-II stochastic generating function for…
We extend some aspects of the Hamilton-Jacobi theory to the category of stochastic Hamiltonian dynamical systems. More specifically, we show that the stochastic action satisfies the Hamilton-Jacobi equation when, as in the classical…
In the semigroup approach to stochastic evolution equations, the fundamental issue of uniqueness of mild solutions is often "reduced" to the much easier problem of proving uniqueness for strong solutions. This reduction is usually carried…
We propose a hybrid algorithm for the time integration of large sets of rate equations coupled by a relatively small number of degrees of freedom. A subset containing fast degrees of freedom evolves deterministically, while the rest of the…
We give explicit solutions to the two-component Hunter-Saxton system on the unit circle. Moreover, we show how global weak solutions can be naturally constructed using the geometric interpretation of this system as a re-expression of the…
Archetypal analysis approximates data by means of mixtures of actual extreme cases (archetypoids) or archetypes, which are a convex combination of cases in the data set. Archetypes lie on the boundary of the convex hull. This makes the…
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…
We consider a semilinear equation linked to the finite horizon consumption - investment problem under the stochastic factor framework and we prove it admits a classical solution and provide all obligatory estimates to successfully apply a…
Cascading failures, such as bankruptcies and defaults, pose a serious threat for the resilience of the global financial system. Indeed, because of the complex investment and cross-holding relations within the system, failures can occur as a…
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model,…
In this work, we characterize the solution of a system of elliptic integro-differential equations describing a phenotypically structured population subject to mutation, selection and migration between two habitats. Assuming that the effects…
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates.…
We deal with an infinite horizon, infinite dimensional stochastic optimal control problem arising in the study of economic growth in time-space. Such problem has been the object of various papers in deterministic cases when the possible…
We analyze the problem of optimal reduction of the debt-to-GDP ratio in a stochastic control setting. The debt-to-GDP dynamics are modeled through a stochastic differential equation in which fiscal policy simultaneously affects both debt…
We aim to solve a structured convex optimization problem, where a nonsmooth function is composed with a linear operator. When opting for full splitting schemes, usually, primal-dual type methods are employed as they are effective and also…
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields…
We develop a partial Hamiltonian framework to obtain reductions and closed-form solutions via first integrals of current value Hamiltonian systems of ordinary differential equations (ODEs). The approach is algorithmic and applies to many…
Semilinear stochastic evolution equations with multiplicative Poisson noise and monotone nonlinear drift are considered. We do not impose coercivity conditions on coefficients. A novel method of proof for establishing existence and…
We derive global analytic representations of fundamental solutions for a class of linear parabolic systems with full coupling of first order derivative terms where coefficient may depend on space and time. Pointwise convergence of the…