相关论文: Convexity preserving jump-diffusion models for opt…

A class of multivariate mixed survival models for continuous and discrete time with a complex covariance structure is introduced in a context of quantitative genetic applications. The methods introduced can be used in many applications in…

We investigate the utility in employing asymptotic results related to a clustering criterion to the problem of testing for the presence of jumps in financial models. We consider the Jump Diffusion model for option pricing and demonstrate…

This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for stabilities for general nonlinear systems; which further…

We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A change of measure argument is used to extend existing…

We show that propagation speeds in invasion processes modeled by reaction-diffusion systems are determined by marginal spectral stability conditions, as predicted by the marginal stability conjecture. This conjecture was recently settled in…

In this work we consider the question of whether a simple diffusive model can explain the scent tracking behaviours found in nature. For this behaviour to occur, both the concentration of a scent and its gradient must be above some…

We study finite-time horizon continuous-time linear-convex reinforcement learning problems in an episodic setting. In this problem, the unknown linear jump-diffusion process is controlled subject to nonsmooth convex costs. We show that the…

Standard jump-diffusion models assume independence between jumps and diffusion components. We develop a multi-type jump-diffusion model where jump occurrence and magnitude depend on contemporaneous diffusion movements. Unlike previous…

In many applications, especially those involving prediction, models may yield near-optimal performance yet significantly disagree on individual-level outcomes. This phenomenon, known as predictive multiplicity, has been formally defined in…

In this work we consider an extension of a recently proposed structure preserving numerical scheme for nonlinear Fokker-Planck-type equations to the case of nonconstant full diffusion matrices. While in existing works the schemes are…

In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…

We consider a class of conditional forward-backward diffusion models for conditional generative modeling, that is, generating new data given a covariate (or control variable). To formally study the theoretical properties of these…

I present a short review of models for transverse-momentum distributions and transversity, with a particular attention on general features common to many models. I compare some model results with experimental extractions. I discuss the…

Diffusion Models are probabilistic models that create realistic samples by simulating the diffusion process, gradually adding and removing noise from data. These models have gained popularity in domains such as image processing, speech…

We present a multiscale approach to model diffusion in a crowded environment and its effect on the reaction rates. Diffusion in biological systems is often modeled by a discrete space jump process in order to capture the inherent noise of…

We introduce two discrete models of a collection of colliding particles with stored momentum and study the asymptotic growth of the mean-square displacement of an active particle. We prove that the models are superdiffusive in one dimension…

The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear…

Many commonly used liquidity measures are based on snapshots of the state of the limit order book (LOB) and can thus only provide information about instantaneous liquidity, and not regarding the local liquidity regime. However, trading in…

We consider a class of one dimensional compressible systems with degenerate diffusion coefficients. We establish the fact that the solutions remain smooth as long as the diffusion coefficients do not vanish, and give local and global…

We study the effect of parameter uncertainty on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, using methods from the theory of Dirichlet forms. We apply these techniques to hedging procedures in…