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Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options:…
Hazard ratios are ubiquitously used in time to event analysis to quantify treatment effects. Although hazard ratios are invaluable for hypothesis testing, other measures of association, both relative and absolute, may be used to fully…
Intermittent stochastic processes appear in a wide field, such as chemistry, biology, ecology, and computer science. This paper builds up the theory of intermittent continuous time random walk (CTRW) and L\'{e}vy walk, in which the…
The foundations of the fractional diffusion equation are investigated based on coupled and decoupled continuous time random walks (CTRW). For this aim we find an exact solution of the decoupled CTRW, in terms of an infinite sum of stable…
We propose a new Directed Continuous-Time Random Walk (CTRW) model with memory. As CTRW trajectory consists of spatial jumps preceded by waiting times, in Directed CTRW, we consider the case with only positive spatial jumps. Moreover, we…
The persistence exponent, which characterises the long-time decay of the survival probability of stochastic processes in the presence of an absorbing target, plays a key role in quantifying the dynamics of fluctuating systems. Determining…
While the fat tailed jump size and the waiting time distributions characterizing individual human trajectories strongly suggest the relevance of the continuous time random walk (CTRW) models of human mobility, no one seriously believes that…
We solve the escape problem for the Heston random diffusion model. We obtain exact expressions for the survival probability (which ammounts to solving the complete escape problem) as well as for the mean exit time. We also average the…
Continuous time random walks (CTRW) on finite arbitrarily inhomogeneous chains are studied. By introducing a technique of counting all possible trajectories, we derive closed-form solutions in Laplace space for the Green's function and for…
We study one-dimensional discrete as well as continuous time random walks, either with a fixed number of steps (for discrete time) $n$ or on a fixed time interval $T$ (for continuous time). In both cases, we focus on symmetric probability…
We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be…
Continuous time random Walk model has been versatile analytical formalism for studying and modeling diffusion processes in heterogeneous structures, such as disordered or porous media. We are studying the continuous limits of Heterogeneous…
The standard diffusion processes are known to be obtained as the limits of appropriate random walks. These prelimiting random walks can be quite different however. The diffusion coefficient can be made responsible for the size of jumps or…
The combined Continuous Time Random Walk (CTRW) in position and momentum space is introduced, in the form of two coupled integral equations that describe the evolution of the probability distribution for finding a particle at a certain…
We discuss large deviation properties of continuous-time random walks (CTRW) and present a general expression for the large deviation rate in CTRW in terms of the corresponding rates for the distributions of steps' lengths and waiting…
Restricted mean survival time (RMST) models have gained popularity when analyzing time-to-event outcomes because RMST models offer more straightforward interpretations of treatment effects with fewer assumptions than hazard ratios commonly…
The continuous time stochastic process is a mainstream mathematical instrument modeling the random world with a wide range of applications involving finance, statistics, physics, and time series analysis, while the simulation and analysis…
Recent findings suggest that processes such as the electronic energy transfer through the photosynthetic antenna display quantal features, aspects known from the dynamics of charge carriers along polymer backbones. Hence, in modeling energy…
This thesis is devoted to the study of extreme value statistics in stochastic processes and their applications. In the first part, we obtain exact analytical results on the extreme value statistics of both discrete-time and continuous-time…
Marginal structural models (MSMs) are often used to estimate causal effects of treatments on survival time outcomes from observational data when time-dependent confounding may be present. They can be fitted using, e.g., inverse probability…