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In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
This paper deals with an extension of the so-called Black-Scholes model in which the volatility is modeled by a linear combination of the components of the solution of a differential equation driven by a fractional Brownian motion of Hurst…
In this paper, we develop and analyze an integral fixed-time sliding mode control method for a scenario in which the system model is only partially known, utilizing Gaussian processes. We present two theorems on fixed-time convergence. The…
We establish almost sure invariance principles, a strong form of approximation by Brownian motion, for non-stationary time-series arising as observations on dynamical systems. Our examples include observations on sequential expanding maps,…
In \cite{BCP}, the authors built and studied an algorithm based on the (self)-interaction of a dynamics with its occupation measure to approximate Quasi-Stationary Distributions (QSD) of general Markov chains conditioned to stay in a…
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism.…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
The weak noise limit of dissipative dynamical systems is often the most fascinating one. In such a case fluctuations can interact with a rich complexity frequently hidden in deterministic systems to give rise of completely new phenomena…
The theoretical treatment of quasi-periodically driven quantum systems is complicated by the inapplicability of the Floquet theorem, which requires strict periodicity. In this work we consider a quantum system driven by a bi-harmonic…
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is…
We consider models of open quantum spin systems with irreversible dynamics and show that general quasi-locality results for long-range models, e.g. as proven for the Heisenberg dynamics associated to quantum systems in [27], naturally…
We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in…
We present an alternative approach to the forecasting of motor vehicle collision rates. We adopt an oft-used tool in mathematical finance, the Heston Stochastic Volatility model, to forecast the short-term and long-term evolution of motor…
We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each…
We study quasi-convex optimization problems, where only a subset of the constraints can be sampled, and yet one would like a probabilistic guarantee on the obtained solution with respect to the initial (unknown) optimization problem. Even…
We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a…
In this paper, several numerical examples to illustrate limitations of Quasi Steady-State (QSS) model in long-term voltage stability analysis are presented. In those cases, the QSS model provided incorrect stability assessment. Causes of…
We consider statistical inference for a class of dynamic mixed-effect models described by stochastic differential equations whose drift and diffusion coefficients simultaneously depend on fixed- and random-effect parameters. Assuming that…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…