421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
56 papers · 1 filter
Note on the Weak Convergence of Hyperplane -Quantile Functionals and Their Continuity in the Skorokhod J1 Topology
Pietro Maria Sparago
The -quantile of a stochastic process has been introduced in Miura (Hitotsubashi J Commerce Manag 27(1):15-28, 1992), and important distributional results have been de…
Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +2
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback.…
Simplified calculus for semimartingales: Multiplicative compensators and changes of measure
Aleš Černý, Johannes Ruf
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-v…
Simplified stochastic calculus via semimartingale representations
Aleš Černý, Johannes Ruf
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and t…
On the last zero process with an application in corporate bankruptcy
Erik J. Baurdoux, J. M. Pedraza
For a spectrally negative Lévy process , consider , the last time is below the level zero before time . We use a perturbation method for Lévy processes to deri…
Pure-jump semimartingales
Aleš Černý, Johannes Ruf
A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev,…
Integral representation of subharmonic functions and optimal stopping with random discounting
Umut Çetin
An integral representation result for strictly positive subharmonic functions of a one-dimensional regular diffusion is established. More precisely, any such function can be writte…
Explicit Asymptotics on First Passage Times of Diffusion Processes
Angelos Dassios, Luting Li
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theo…
Predicting the last zero of a spectrally negative Lévy process
Erik J. Baurdoux, J. M. Pedraza
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on…
Stochastic Exponentials and Logarithms on Stochastic Intervals -- A Survey
Martin Larsson, Johannes Ruf
Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale…
Local martingales in discrete time
Vilmos Prokaj, Johannes Ruf
For any discrete-time --local martingale there exists a probability measure such that is a --martingale. A new proof for this result is provided. The core…
-player games and mean field games with absorption
Luciano Campi, Markus Fischer
We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding -player games, the evolution of players' states is descr…
Perpetual American options in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depen…
A class of globally solvable Markovian quadratic BSDE systems and applications
Hao Xing, Gordan Žitković
We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is charac…
The greedy independent set in a random graph with given degrees
Graham Brightwell, Svante Janson, Malwina Luczak
We analyse the size of an independent set in a random graph on vertices with specified vertex degrees, constructed via a simple greedy algorithm: order the vertices arbitrarily…
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
Andrea Cosso, Huyên Pham, Hao Xing
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a t…
Consumption investment optimization with Epstein-Zin utility in incomplete markets
Hao Xing
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the em…
No arbitrage and local martingale deflators
Yuri Kabanov, Constantinos Kardaras, Shiqi Song
A supermartingale deflator (resp., local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp., local martingales). The superma…
Continuous-time perpetuities and time reversal of diffusions
Constantinos Kardaras, Scott Robertson
We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model.…
Optimal prediction for positive self-similar Markov processes
Erik Baurdoux, Andreas Kyprianou, Curdin Ott
This paper addresses the question of predicting when a positive self-similar Markov process X attains its pathwise global supremum or infimum before hitting zero for the first time…
On Future Drawdowns of Lévy processes
E. J. Baurdoux, Z. Palmowski, M. R. Pistorius
For a given Lévy process and for fixed and we analyse the {\it future drawdown extremes} that ar…
Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
Umut Çetin, Albina Danilova
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the r…
Change of numeraire in the two-marginals martingale transport problem
Luciano Campi, Ismail Laachir, Claude Martini
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we con…
Markov bridges: SDE representation
Umut Çetin, Albina Danilova
Let be a Markov process taking values in with continuous paths and transition function . Given a measure on , a Markov br…