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

We prove convex ordering results for random vectors admitting a predictable representation in terms of a Brownian motion and a non-necessarily independent jump component. Our method uses forward-backward stochastic calculus and extends…

We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…

Controlling the dispersion of a subset of decision variables in an optimization problem is crucial for enforcing fairness or load-balancing across a wide range of applications. Building on the well-known equivalence of finite-dimensional…

This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…

This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…

In this paper, we analyze processes of conjecture generation in the context of open problems proposed in a dynamic geometry environment, when a particular dragging modality, maintaining dragging, is used. This involves dragging points while…

Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…

We consider a reaction-diffusion model for a population structured in phenotype. We assume that the population lives in a heterogeneous periodic environment, so that a given phenotypic trait may be more or less fit according to the spatial…

Mathematical models of the real world are simplified representations of complex systems. A caveat to using mathematical models is that predicted causal effects and conditional independences may not be robust under model extensions, limiting…

We study evolution equations of drift-diffusion type when various parameters are random. Motivated by applications in pedestrian dynamics, we focus on the case when the total mass is, due to boundary or reaction terms, not conserved. After…

Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…

It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of `change of numeraire', but in recent work…

We introduce a variational multiscale closure modeling strategy for the numerical stabilization of proper orthogonal decomposition reduced-order models of convection-dominated equations. As a first step, the new model is analyzed and tested…

In this work, we investigate an intriguing and prevalent phenomenon of diffusion models which we term as "consistent model reproducibility": given the same starting noise input and a deterministic sampler, different diffusion models often…

A model for diffusion on a cubic lattice with a random distribution of traps is developed. The traps are redistributed at certain time intervals. Such models are useful for describing systems showing dynamic disorder, such as ion-conducting…

Suppose an investor aims at Delta hedging a European contingent claim $h(S(T))$ in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivity, so that any hedging strategy is calculated under a…

We propose an alternative method for one-dimensional continuum diffusion models with spatially variable (heterogeneous) diffusivity. Our method, which extends recent work on stochastic diffusion, assumes the constant-coefficient homogenized…

In this paper we consider two processes driven by diffusions and jumps. The jump components are Levy processes and they can both have finite activity and infinite activity. Given discrete observations we estimate the covariation between the…

In this paper, we prove a comparison theorem for multidimensional G-SDEs. Moreover we obtain respectively the sufficient conditions and necessary conditions of the monotonicity and order-preservation for two multidimensional G-diffusion…