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4 papers

math.AP2026

Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift

Mathis Fitoussi, Elena Issoglio, Stéphane Menozzi

We are interested in the Euler-Maruyama dicretization of the formal SDE, , where is a symmetric isotropic d dimensional stable process of index $α\in (1,…

math.ST2026

Drift estimation for rough processes under small noise asymptotic : QMLE approach

Arnaud Gloter, Nakahiro Yoshida

We consider a process $X^\ve$ solution of a stochastic Volterra equation with an unknown parameter in the drift function. The Volterra kernel is singular near zero, exhi…

math.ST2026

Drift estimation for rough processes under small noise asymptotic : trajectory fitting method

Arnaud Gloter, Nakahiro Yoshida

We consider a process $X^\ve$ that solves a stochastic Volterra equation with an unknown parameter in the drift function. The Volterra kernel is singular, and includes a…

q-fin.TR2026

Option market making with hedging-induced market impact

Paulin Aubert, Etienne Chevalier, Vathana Ly Vath

This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is mode…