Related papers: Time-changed Markov processes and coupled non-loca…

We study a nonlinear coupled system of partial differential equations arising from thermo--reaction--phase models. The system combines a heat diffusion equation, temperature-dependent chemical reactions of Arrhenius type, and a phase…

We consider the problem of `discrete-time persistence', which deals with the zero-crossings of a continuous stochastic process, X(T), measured at discrete times, T = n(\Delta T). For a Gaussian Stationary Process the persistence (no…

We consider a class of stochastic dynamical systems, called piecewise deterministic Markov processes, with states $(x, \s)\in \O\times \G$, $\O$ being a region in $\bbR^d$ or the $d$--dimensional torus, $\G$ being a finite set. The…

We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…

This article addresses a modification of local time for stochastic processes, to be referred to as `natural local time'. It is prompted by theoretical developments arising in mathematical treatments of recent experiments and observations of…

A stochastic process $X$ becomes occupied when it is enlarged with its occupation flow $\mathcal{O}$ that tracks the time spent by the path at each level. When $X$ is Markov, the occupied process $(\mathcal{O},X)$ enjoys a Markov structure…

In this paper we consider a class of non-local in time telegraph equations. Recently, it has been proved that the fundamental solutions of such equations can be interpreted as the probability density function of a stochastic process. We…

We propose a macroscopic market making model \`a la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. The model intends to bridge the gap between market making and optimal execution problems,…

In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…

We establish new Harnack estimates that defy the waiting-time phenomenon for global solutions to nonlocal parabolic equations. Our technique allows us to consider general nonlocal operators with bounded measurable coefficients. Moreover, we…

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…

The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, particularly in electricity and future oil prices. In this paper…

Temporal Point Processes (TPP) are probabilistic generative frameworks. They model discrete event sequences localized in continuous time. Generally, real-life events reveal descriptive information, known as marks. Marked TPPs model time and…

We study the initial value problem for actions which contain non-trivial functions of integrals of local functions of the dynamical variable. In contrast to many other non-local actions, the classical solution set of these systems is at…

We have studied Markov processes on denumerable state space and continuous time. We found that all these processes are connected via gauge transformations. We have used this result before as a method for resolution of equations, included…

We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter $t$ on top of…

Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contigent claims, i.e. tradable instruments, whose prices depend on the prices of other tradables.…

We study asymptotic stability of continuous-time systems with mode-dependent guaranteed dwell time. These systems are reformulated as special cases of a general class of mixed (discrete-continuous) linear switching systems on graphs, in…

We show the variational convergence of an irreversible Markov jump process describing a finite stochastic particle system to the solution of a countable infinite system of deterministic time-inhomogeneous quadratic differential equations…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…