相关论文: First-Order Asymptotics of Path-Dependent Derivati…

In this paper we present a new variational characteriztion of the first nontrival curve of the Fu\v{c}\'{\i}k spectrum for elliptic operators with Dirichlet boundary conditions. Moreover, we describe the asymptotic behaviour and some…

Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptotic theory for this class of models. Unlike linear AR(1)…

The spectral problem for the high order differential operator with singular weight is considered. If the weight is a generalized derivative of self-similar function with zero spectral degree the asymptotics of eigenvalues is obtained. They…

This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…

First-order variational equations are widely used in N-body simulations to study how nearby trajectories diverge from one another. These allow for efficient and reliable determinations of chaos indicators such as the Maximal Lyapunov…

We consider several aspects of conjugating symmetry methods, including the method of invariants, with an asymptotic approach. In particular we consider how to extend to the stochastic setting several ideas which are well established in the…

We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of parametric and semi-parametric estimation problems for which…

We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.

In a series of papers \cite{LSJR16, PP17, LPP}, it was established that some of the most commonly used first order methods almost surely (under random initializations) and with step-size being small enough, avoid strict saddle points, as…

A first-order model is derived for quasisymmetric stellarators where the vacuum field due to coils is dominant, but plasma-current-induced terms are not negligible and can contribute to magnetic differential equations, with $\beta$ of the…

We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…

We consider versions of Malliavin calculus on path spaces of compact manifolds with diffusion measures, defining Gross-Sobolev spaces of differentiable functions and proving their intertwining with solution maps, I, of certain stochastic…

For discretisations of hyperbolic conservation laws, mimicking properties of operators or solutions at the continuous (differential equation) level discretely has resulted in several successful methods. While well-posedness for nonlinear…

This paper studies how to price and hedge options under stock models given as a path-dependent SDE solution. When the path-dependent SDE coefficients have Fr\'{e}chet derivatives, an option price is differentiable with respect to time and…

Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research works that have studied the computation of these important…

The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman…

In this paper, it is shown that the solutions of general differentiable constrained optimization problems can be viewed as asymptotic solutions to sets of Ordinary Differential Equations (ODEs). The construction of the ODE associated to the…

In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…

We obtain asymptotic expansions for the large deviation principle (LDP) for continuous time stochastic processes with weakly dependent increments. As a key example, we show that additive functionals of solutions of stochastic differential…

Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…