Related papers: Non--regular McKean--Vlasov equations and calibrat…

In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…

This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…

This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…

The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of asset returns at financial markets. For…

We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be…

We reformulate a general class of classical bead-spring-chain models for dilute polymeric fluids, with Hookean spring potentials, as McKean-Vlasov diffusion. This results in a coupled system of partial differential equations involving the…

We develop a mean-field theory for large, non-exchangeable particle (agent) systems where the states and interaction weights co-evolve in a coupled system of SDEs. A first main result is the establishment of the propagation of…

The work concerns multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the existence and uniqueness of strong solutions for multivalued McKean-Vlasov stochastic differential equations with non-Lipschitz…

We introduce a new variational characterization of Gaussian diffusion processes as minimum uncertainty states. We then define a variational method constrained by kinematics of diffusions and Schr\"{o}dinger dynamics to seek states of local…

We study a fully-coupled system of conditional slow-fast McKean-Vlasov Stochastic Differential Equations that exhibit full dependence on both the slow and fast components, as well as on the conditional law of the slow component. Our aim is…

This paper presents a novel approach to stochastic volatility (SV) modeling by utilizing nonparametric techniques that enhance our ability to capture the volatility of financial time series data, with a particular emphasis on the…

We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…

In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…

We study a class of McKean-Vlasov type stochastic differential equations (SDEs) which arise from the random vortex dynamics and other physics models. By introducing a new approach we resolve the existence and uniqueness of both the weak and…

In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…

In this paper, we investigate a class of multiscale McKean-Vlasov stochastic systems, where the entire system depends on the distributions of both fast and slow components. First of all, by applying the Poisson equation method, we prove…

We study the nonhomogeneous boundary value problem for the steady-state Navier-Stokes equations under the slip boundary conditions in two-dimensional multiply-connected bounded domains. Employing the approach of Korobkov-Pileckas-Russo…

This paper proposes a semiparametric stochastic volatility (SV) model that relaxes the restrictive Gaussian assumption in both the return and volatility error terms, allowing them to follow flexible, nonparametric distributions with…

An initial-and boundary-value problem for the Kelvin-Voigt system, modeling a mixture of n incompressible and viscoelastic fluids, with non-constant density, is investigated in this work. The existence of global-in-time weak solutions is…