相关论文: Stochastic flows approach to Dupire's formula

We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, $x(t)$, depends on the stochasticity of the return on…

In this paper linear stochastic transport and continuity equations with drift in critical $L^{p}$ spaces are considered. In this situation noise prevents shocks for the transport equation and singularities in the density for the continuity…

In this paper we study dynamic backward problems, with the computation of conditional expectations as a main objective, in a framework where the (forward) state process satisfies a Volterra type SDE, with fractional Brownian motion as a…

We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting…

A succesful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well chosen mean differential equation. Under an attainability condition,…

Strong existence and pathwise uniqueness of solutions with $L^{\infty}$-vorticity of 2D stochastic Euler equations is proved. The noise is multiplicative and involves first derivatives. A Lagrangian approach is implemented, where a…

We describe stochastic calculus in the context of processes that are driven by an adapted point process of locally finite intensity and are differentiable between jumps. This includes Markov chains as well as non-Markov processes. By…

Observing prices of European put and call options, we calibrate exponential L\'evy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for L\'evy models of finite jump activity as well as…

Traditional Monte Carlo methods for particle transport utilize source iteration to express the solution, the flux density, of the transport equation as a Neumann series. Our contribution is to show that the particle paths simulated within…

Fluids can behave in a highly irregular, turbulent way. It has long been realised that, therefore, some weak notion of solution is required when studying the fundamental partial differential equations of fluid dynamics, such as the…

We propose a general, very fast method to quickly approximate the solution of a parabolic Partial Differential Equation (PDEs) with explicit formulas. Our method also provides equaly fast approximations of the derivatives of the solution,…

In the paper, we consider the no-explosion condition and pathwise uniqueness for SDEs driven by a Poisson random measure with coefficients that are super-linear and non-Lipschitz. We give a comparison theorem in the one-dimensional case…

We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We…

We show existence and uniqueness of a continuous with polynomial growth viscosity solution of a system of second order integral-partial differential equations (IPDEs for short) without assuming the usual monotonicity condition of the…

We first prove some general results on pathwise uniqueness, comparison property and existence of nonnegative strong solutions of stochastic equations driven by white noises and Poisson random measures. The results are then used to prove the…

We present an alternative derivation of the pair correlation function for simple classical fluids by using a variational approach. That approach involves the conditional probability p(3,..., N /1, 2) of an undefined system of N particles…

The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed. In this paper an extension of the…

We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on futures contracts and on indices on futures strategies.…

We give a probabilistic interpretation of the Monte Carlo scheme proposed by Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] for fully nonlinear parabolic PDEs, and hence generalize it to the path-dependent (or…

It is known from previous work of the authors that non-negative arbitrage free price processes in finance can be described in terms of filtered likelihood processes of statistical experiments and vice versa. The present paper summarizes and…