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We introduce `braidability' as a new symmetry for (infinite) sequences of noncommutative random variables related to representations of the braid group $B_\infty$. It provides an extension of exchangeability which is tied to the symmetric…

To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{\beta Z_t}, \beta >0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $ \alpha \geq 0$ which…

We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…

This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…

We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from…

We analyze general uncertainty relations and we show that there can exist such pairs of non--commuting observables $A$ and $B$ and such vectors that the lower bound for the product of standard deviations $\Delta A$ and $\Delta B$ calculated…

Using a capacity approach, and the theory of measure's perturbation of Dirichlet forms, we give the probabilistic representation of the General Robin boundary value problems on an arbitrary domain $\Omega$, involving smooth measures, which…

We provide a simple explicit estimator for discretely observed Barndorff-Nielsen and Shephard models, prove rigorously consistency and asymptotic normality based on the single assumption that all moments of the stationary distribution of…

We study a finite-inventory risk-sensitive market making problem in which a dealer controls bid and ask quotes, faces Brownian midprice risk, and receives liquidity-taking orders through point processes with quote-dependent intensities. The…

This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real world probability measure and risk neutral probability…

We consider the discrete Schr\"odinger operator $H = -\Delta + V$ on $\ell^2(\mathbb{Z}^d)$ with a decaying potential, in arbitrary lattice dimension $d\in\mathbb{N}^*$, where $\Delta$ is the standard discrete Laplacian and $V_n =…

We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…

For the speed-change exclusion process on $\mathbb{Z}^d$ reversible with respect to the product Bernoulli measure, we prove that its semigroup $P_t$ satisfies a variance decay $\operatorname{Var}[P_t u] = C_u t^{-\frac{d}{2}} +…

The first part of this paper is devoted to the Brown measure of the product of the free unitary Brownian motion by an arbitrary free non negative operator. Our approach follows the one recently initiated by Driver-Hall-Kemp though there are…

In this work, we prove a version of H\"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H < 1$ and an analytic semigroup on a given separable…

We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii)…

The paper is concerned with a class of two-sided stochastic processes of the form $X=W+A$. Here $W$ is a two-sided Brownian motion with random initial data at time zero and $A\equiv A(W)$ is a function of $W$. Elements of the related…

This article is a sequel to [A.H.M.P]. In [A.H.M.P], we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic delay equation with fixed delays in the drift and diffusion…

In order to formally verify robotic controllers, we must tackle the inherent uncertainty of sensing and actuation in a physical environment. We can model uncertainty using stochastic hybrid systems, which combine discrete jumps with…

We prove an almost sure invariance principle (approximation by d-dimensional Brownian motion) for vector-valued Holder observables of large classes of nonuniformly hyperbolic dynamical systems. These systems include Axiom~A diffeomorphisms…