Related papers: Nonlinear Semimartingales and Markov Processes wit…
We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as the sum of a L\'{e}vy process and a Brownian semimartingale. Using a nonparametric threshold estimator for the continuous component of the…
An abstract framework guaranteeing the local continuous differentiability of the value function associated with optimal stabilization problems subject to abstract semilinear parabolic equations subject to a norm constraint on the controls…
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and…
Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…
An abstract framework guaranteeing the continuous differentiability of local value functions on $H^1(\Omega)$ associated with optimal stabilization problems subject to abstract semilinear parabolic equations in the presence of norm…
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate…
This paper presents a nonparametric method for estimating the conditional density associated to the jump rate of a piecewise-deterministic Markov process. In our framework, the estimation needs only one observation of the process within a…
We compare two definitions of multistable L\'evy motions. Such processes are extensions of classical L\'evy motion where the stability index is allowed to vary in time. We show that the two multistable L\'evy motions have distinct…
The paper presents a multidimensional model for nonlinear Markovian random walks that generalizes one we developed previously (Phys. Rev. E v.79, 011110, 2009) in order to describe the Levy type stochastic processes in terms of continuous…
We develop an Onsager-Machlup-type theory for nonequilibrium semi-Markov processes. Our main result is an exact large time asymptotics for the joint probability of the occupation times and the currents in the system, establishing some…
We introduce the concept evolutionary semigroups on path spaces, generalizing the notion of transition semigroups to possibly non-Markovian stochastic processes. We study the basic properties of evolutionary semigroups and, in particular,…
The theory of monotonicity and duality is developed for general one-dimensional Feller processes. Moreover it is shown that local monotonicity conditions (conditions on the L\'evy kernel) are sufficient to prove the well-posedness of the…
We construct an aggregated version of the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs). The results…
We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our…
A piecewise-deterministic Markov process is a stochastic process whose behavior is governed by an ordinary differential equation punctuated by random jumps occurring at random times. We focus on the nonparametric estimation problem of the…
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a non-homogeneous terminal value problem and we show that the…
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a c\`adl\`ag nonlinear…
In this article integro-differential Volterra equations whose convolution kernel depends on the vector variable are considered and a connection of these equations with a class of semi-Markov processes is established. The variable order…
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent convex dynamic procedures in a non dominated setting.…