arXiv research

Extends Feller theory to non-locally compact spaces for stochastic equations.

When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption that the Feller condition is satisfied. This paper closes this gap in the literature by deriving sufficient conditions for the existence of …

In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the roots have nonnegative arguments. For a discrete time approximate model, the Fell…

We consider isotropic Lévy processes on a compact Riemannian manifold, obtained from an $\mathbb{R}^d$-valued Lévy process through rolling without slipping. We prove that the Feller semigroups associated with these processes extend to strongly continuous contraction semigroups on $L^p$, for $1\leq p<\infty$, and that t…

We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion, such as stochastic volatility and interest rates in finance, and neuronal and populations dynamics in natural sciences. We focus on the statistical mixing (or sup…

Proves generalization bounds for SGD using Feller processes and Hausdorff dimension.

We review some developments concerning Markov and Feller processes with jumps in geometric settings. These include stochastic differential equations in Markus canonical form, the Courrège theorem on Lie groups, and invariant Markov processes on manifolds under both transitive and more general Lie group actions.

In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic case by adapting the weight norm approach. In particular, it is shown how to com…

Develops high-order approximations for financial models, proving convergence and regularity.

We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.

Based on ideas of Pigolla and Setti \cite{PS} we prove that immersed submanifolds with bounded mean curvature of Cartan-Hadamard manifolds are Feller. We also consider Riemannian submersions $π\colon M \to N$ with compact minimal fibers, and based on various criteria for parabolicity and stochastic completeness, see \c…

We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key properties related to hitting time probabilities via the simulation.

This paper discusses properties of a Doubly Stochastic Poisson Process (DSPP) where the intensity process belongs to a class of affine diffusions. For any intensity process from this class we derive an analytical expression for probability distribution functions of the corresponding DSPP. A specification of our results…

Study on VIX options pricing in SABR model, showing infinite prices due to volatility explosion.

Adaptive method improves numerical solution of Cox-Ingersoll-Ross model.

The asymptotic behavior of the heat kernel of a Riemannian manifold gives rise to the classical concepts of parabolicity, stochastic completeness (or conservative property) and Feller property (or $C^{0}$-diffusion property). Both parabolicity and stochastic completeness have been the subject of a systematic study whic…

Constructs rank-based continuous semimartingales for financial markets.

Positive braids have a signature bound by their Betti number.

We consider stochastic partial differential equations appearing as Markovian lifts of matrix valued (affine) Volterra type processes from the point of view of the generalized Feller property (see e.g., \cite{doetei:10}). We introduce in particular Volterra Wishart processes with fractional kernels and values in the con…

A coupling by reflection of a time-inhomogeneous diffusion process on a manifold are studied. The condition we assume is a natural time-inhomogeneous extension of lower Ricci curvature bounds. In particular, it includes the case of backward Ricci flow. As in time-homogeneous cases, our coupling provides a gradient esti…

New cobordisms found between certain quasipositive knots.

We build a sequence of empirical measures on the space D(R_+,R^d) of R^d-valued càdlàg functions on R_+ in order to approximate the law of a stationary R^d-valued Markov and Feller process (X_t). We obtain some general results of convergence of this sequence. Then, we apply them to Brownian diffusions and solutions to …

Two Heegaard Floer knot complexes are called stably equivalent if an acyclic complex can be added to each complex to make them filtered chain homotopy equivalent. Hom showed that if two knots are concordant, then their knot complexes are stably equivalent. Invariants of stable equivalence include the concordance invari…

Study simulates Heston-type local stochastic volatility model using particle method.

We study convergence properties of the full truncation Euler scheme for the Cox-Ingersoll-Ross process in the regime where the boundary point zero is inaccessible. Under some conditions on the model parameters (precisely, when the Feller ratio is greater than three), we establish the strong order 1/2 convergence in $L^…

We compute exact values respectively bounds of "distances" - in the sense of (transforms of) power divergences and relative entropy - between two discrete-time Galton-Watson branching processes with immigration GWI for which the offspring as well as the immigration is arbitrarily Poisson-distributed (leading to arbitra…

It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift. But to achieve this we have to know that the change-of-measure local martingale that we write down is a tr…

We solve continuous-time reinforcement learning using distributional Hamilton-Jacobi-Bellman equations.

We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …

In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman equation and link it with the impulse control problem. The optimal strategy for the und…

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is non-negative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical solution for European options.…

The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing the traditional Gauss-Wiener process (Brownian motion), characterized by stationa…

New method learns diffusion transition density for Bayesian inference.

New infinite-rank summand found in knot concordance group.

Volterra square-root process boundary behavior and martingale measures

We consider a class of stochastic path-dependent volatility models where the stochastic volatility, whose square follows the Cox-Ingersoll-Ross model, is multiplied by a (leverage) function of the spot price, its running maximum, and time. We propose a Monte Carlo simulation scheme which combines a log-Euler scheme for…

Let $L=Δ-\nablaφ\cdot \nabla$ be a symmetric diffusion operator with an invariant measure $μ({\rm} d x)=e^{-φ(x)}{\mathfrak m}({\rm d} x)$ on a complete non-compact smooth Riemannian manifold $(M,g)$ with its volume element ${\mathfrak m}={\rm vol}_g$, and $φ\in C^2(M)$ a potential function. In this paper, we prove a L…

The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asymptotic expansion for implied volatility, derived by heat kernel methods. As markets moved to historically low rates, this expansion appeared…

Paper calculates homology and intersection form of trisected 4-manifolds with boundary.

This paper uses entropy to derive stock price dynamics and option valuation.

We study decay and compact support properties of positive and bounded solutions of $Δ_{p} u \geq Λ(u)$ on the exterior of a compact set of a complete manifold with rotationally symmetry. In the same setting, we also give a new characterization of stochastic completeness for the $p$-Laplacian in terms of a global $W^{1,…

Hydrodynamics principles applied to finance, solving complex market models.

New algorithms for collaborative reinforcement learning with limited communication.

Study on PDEs in Heston model with unique solution and convergence proof.

Formulas for tau and epsilon concordance invariants of braided satellite knots

High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is to take historical time series for nominal interest rates and inflation, and to construct then real interest rates and finally obta…

In this paper we investigate the effectiveness of Alternating Direction Implicit (ADI) time discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial differential equation, which is semidiscretized by applying finite difference schemes on nonuniform spatial grids. We consider t…

The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is described by the Black-Scholes formula, one of the most well-known formulas in mathematical finance. For their discovery, Merton and Scholes…