Related papers: Polynomial Volterra processes
A continuous-state polynomial branching process is constructed as the pathwise unique solution of a stochastic integral equation with absorbing boundary condition. The extinction and explosion probabilities and the mean extinction and…
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian) diffusion process. Remarkably, it is also possible to go…
We study uniqueness for a class of Volterra-type stochastic integral equations. We focus on the case of non-Lipschitz noise coefficients. The connection of these equations to certain degenerate stochastic partial differential equations…
The polynomial spline collocation method is proposed for solution of Volterra integral equations of the first kind with special piecewise continuous kernels. The Gauss-type quadrature formula is used to approximate integrals during the…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
We study quadrature methods for solving Volterra integral equations of the first kind with smooth kernels under the presence of noise in the right-hand sides, with the quadrature methods being generated by linear multistep methods. The…
Denoting by $P_N(A,\theta)=\det(I-Ae^{-i\theta})$ the characteristic polynomial on the unit circle in the complex plane of an $N\times N$ random unitary matrix $A$, we calculate the $k$th moment, defined with respect to an average over…
In this paper, we generalize to Gaussian Volterra processes the existence and uniqueness of solutions for a class of non linear backward stochastic differential equations (BSDE) and we establish the relation between the non linear BSDE and…
We formulate and analyze game-theoretic problems for systems governed by integral equations. For Volterra integral equations, we obtain and prove necessary and sufficient conditions for linear-quadratic problems, and for problems that are…
This paper focuses on the systems theory of bilinear dynamical systems using the Volterra series representation. The main contributions are threefold. First, we gain an input-output representation in the frequency domain, where the Laplace…
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as…
In this note we give a combinatorial and non-computational proof of the asymptotics of the integer moments of the moments of the characteristic polynomials of Haar distributed unitary matrices as the size of the matrix goes to infinity.…
In this work, we consider the regularity property of stochastic convolutions for a class of abstract linear stochastic retarded functional differential equations with unbounded operator coefficients. We first establish some useful estimates…
We establish a new connection between moments of $n \times n$ random matrices $X_n$ and hypergeometric orthogonal polynomials. Specifically, we consider moments $\mathbb{E}\mathrm{Tr} X_n^{-s}$ as a function of the complex variable $s \in…
In this work we study the existence of periodic and asymptotically periodic solutions of a system of nonlinear Volterra difference equations with infinite delay. By means of fixed point theory, we furnish conditions that guarantee the…
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding market weights. These models substantially extend volatility…
We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of…
In this paper, sufficient conditions are established for the existence results of fractional order semilinear Volterra integrodifferential equations in Banach spaces. The results are obtained by using the theory of fractional cosine…
In this paper we consider a linear stochastic Volterra equation which has a stationary solution. We show that when the kernel of the fundamental solution is regularly varying at infinity with a log-convex tail integral, then the…
This article is devoted to the extension of the theory of rough paths in the context of Volterra equations with possibly singular kernels. We begin to describe a class of two parameter functions defined on the simplex called Volterra paths.…