Related papers: Jump It\^o-type formula with arbitrary regularity

The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…

Consider jump-type stochastic differential equations with the drift, diffusion and jump terms. Logarithmic derivatives of densities for the solution process are studied, and the Bismut-Elworthy-Li type formulae can be obtained under the…

We construct a canonical geometric rough path over $d$-dimensional tempered fractional Brownian motion (tfBm) for any Hurst parameter $H > 1/4$ and tempering parameter $\lambda > 0$. The main challenge stems from the non-homogeneous nature…

We consider a Markov jump process on a general state space to which we apply a time-dependent weak perturbation over a finite time interval. By martingale-based stochastic calculus, under a suitable exponential moment bound for the…

We establish a recursive representation that fully decouples jumps from a large class of multivariate inhomogeneous stochastic differential equations with jumps of general time-state dependent unbounded intensity, not of L\'evy-driven type…

In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…

We investigate 't Hooft's technique of changing the gauge parameter of the linear covariant gauge from the point of view of the path integral with respect to the gauge freedom. Extension of the degrees of freedom allows us to formulate a…

We study logistic regression with total variation penalty on the canonical parameter and show that the resulting estimator satisfies a sharp oracle inequality: the excess risk of the estimator is adaptive to the number of jumps of the…

This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…

Quantum stochastic master equations of jump type are formulated in a general way and connections with quantum/classical hybrid systems and quantum filtering theory are discussed. By introducing the notion of ``typical trajectory", we show…

We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used…

We study the Taylor expansion for the solution of a differential equation driven by a multidimensional Holder path with exponent \beta> 1/2. We derive a convergence criterion that enables us to write the solution as an infinite sum of…

We discuss $p$-variation regularity of real-valued functions defined on $[0,T]^2$, based on rectangular increments. When $p>1$, there are two slightly different notions of $p$-variation; both of which are useful in the context of Gaussian…

The concept of point-like "jump" defects is investigated in the context of affine Toda field theories. The Hamiltonian formulation is employed for the analysis of the problem. The issue is also addressed when integrable boundary conditions…

We consider one-dimensional stochastic differential equations with jumps in the general case. We introduce new technics based on local time and we prove new results on pathwise uniqueness and comparison theorems. Our approach are very easy…

We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of It\^o integrals. Towards this end, we introduce a new approach, based on the anticipating It\^o formula. This alternative technique allows us…

We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a…

Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian driven diffusions. In this work, we want to extend them to jump processes. Our approach relies on a change of the jump intensity combined with the…

We deal with stochastic differential equations with jumps. In order to obtain an accurate approximation scheme, it is usual to replace the "small jumps" by a Brownian motion. In this paper, we prove that for every fixed time $t$, the…

The multiplicative Newton-like method developed by the author et al. is extended to the situation where the dynamics is restricted to the orthogonal group. A general framework is constructed without specifying the cost function. Though the…