Related papers: The continuous-time limit of quasi score-driven vo…

We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…

This paper investigates the continuous-time limit of score-driven models with long memory. By extending score-driven models to incorporate infinite-lag structures with coefficients exhibiting heavy-tailed decay, we establish their weak…

Deterministic approximations to stochastic Susceptible-Infectious-Susceptible models typically predict a stable endemic steady-state when above threshold. This can be hard to relate to the underlying stochastic dynamics, which has no…

The Quasi Steady-State (QSS) model of long-term dynamics relies on the idea of time-scale decomposition. Assuming that the fast variables are infinitely fast and are stable in the long-term, the QSS model replaces the differential equations…

The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…

Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter smaller than half, and have attracted much attention since a seminal…

Drift diffusion models (DDMs) have found widespread use in computational neuroscience and other fields. They model evidence accumulation in simple decision tasks as a stochastic process drifting towards a decision barrier. In models where…

This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to…

Variability in neural responses is an ubiquitous phenomenon in neurons, usually modeled with stochastic differential equations. In particular, stochastic integrate-and-fire models are widely used to simplify theoretical studies. The…

We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary…

We herein report a new class of impulsive fractional stochastic differential systems driven by mixed fractional Brownian motions with infinite delay and Hurst parameter $\hat{\cal H} \in ( 1/2, 1)$. Using fixed point techniques, a…

Stochastic reduced-order models are widely used to represent the effective dynamics of complex systems, but estimating their drift and diffusion coefficients from data remains challenging. Standard approaches often rely on short-time…

We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by…

We present a theoretical analysis of some popular adaptive Stochastic Gradient Descent (SGD) methods in the small learning rate regime. Using the stochastic modified equations framework introduced by Li et al., we derive effective…

We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…

Gradient optimization algorithms using epochs, that is those based on stochastic gradient descent without replacement (SGDo), are predominantly used to train machine learning models in practice. However, the mathematical theory of SGDo and…

This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts…

In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many economic and financial time series displays persistent…

This paper deals with the development and analysis of novel time-optimal point-to-point model predictive control concepts for nonlinear systems. Recent approaches in the literature apply a time transformation, however, which do not maintain…

We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…