22 citations · 22 across the 7 of their papers we have counts for
14 papers · 1 filter
Time-changed Markov processes and space-time coupled non-local equations
Giacomo Ascione, Enrico Scalas, Bruno Toaldo +1
In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of t…
Time changed spherical Brownian motions with longitudinal drifts
Giacomo Ascione, Anna Vidotto
In this paper, we consider the time change of the diffusion process on the 2-dimensional unit sphere generated by the Laplace-Beltrami operator, perturbed by means of a longitudina…
On the ergodicity of a three-factor CIR model
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
This study introduces the CIR3 model, a three-factor model characterized by stochastic and correlated trends and volatilities. The paper focuses on establishing the Wasserstein erg…
Regularity and asymptotics of densities of inverse subordinators
Giacomo Ascione, Mladen Savov, Bruno Toaldo
In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the lit…
Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
Giacomo Ascione, Giuseppe D'Onofrio
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solve…
Convergence results for the Time-Changed fractional Ornstein-Uhlenbeck processes
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
In this paper we study some convergence results concerning the one-dimensional distribution of a time-changed fractional Ornstein-Uhlenbeck process. In particular, we establish tha…