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of 5 312
pro vyhledávání: '"60h10"'
This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results from probability theory, specifically Girsanov's theorem. The RN measu
Externí odkaz:
http://arxiv.org/abs/2409.12783
In this paper, we investigate the convergence rate of the averaging principle for stochastic differential equations (SDEs) with $\beta$-H\"older drift driven by $\alpha$-stable processes. More specifically, we first derive the Schauder estimate for n
Externí odkaz:
http://arxiv.org/abs/2409.12706
In this paper we generalize Krylov's theory on parameter-dependent stochastic differential equations to the framework of rough stochastic differential equations (rough SDEs), as initially introduced by Friz, Hocquet and L\^e. We consider a stochastic
Externí odkaz:
http://arxiv.org/abs/2409.11330
Autor:
Li, Xiaojuan, Hu, Mingshang
In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for forward-backward control system under consistent convex expectation dominated by G-expectation. Under the smooth assumptions for the v
Externí odkaz:
http://arxiv.org/abs/2409.10987
Autor:
Carmona, Rene, Lacker, Daniel
We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Ito process conditioned to not have exited a given domain. We then apply this new result to the proof of a conjecture of P.L. Lions
Externí odkaz:
http://arxiv.org/abs/2409.10650
In this paper, we propose a delayed cytokine-enhanced viral infection model incorporating saturation incidence and immune response. We compute the basic reproduction numbers and introduce a convex cone to discuss the impact of non-negative initial da
Externí odkaz:
http://arxiv.org/abs/2409.10223
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily addresses tw
Externí odkaz:
http://arxiv.org/abs/2409.09179
Autor:
Gottwald, Georg A., Reich, Sebastian
We consider the generative problem of sampling from an unknown distribution for which only a sufficiently large number of training samples are available. In this paper, we build on previous work combining Schr\"odinger bridges and Langevin dynamics.
Externí odkaz:
http://arxiv.org/abs/2409.07968
We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses. We show th
Externí odkaz:
http://arxiv.org/abs/2409.05706
Autor:
Crowell, Robert Alexander
The empirical measure of an interacting particle system is a purely atomic random probability measure. In the limit as the number of particles grows to infinity, we show for McKean-Vlasov systems with common noise that this measure becomes absolutely
Externí odkaz:
http://arxiv.org/abs/2409.03459