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math.PR2023
Wong--Zakai approximation of regime-switching SDEs via rough path theory
Jasper Barr, Giang T. Nguyen, Oscar Peralta
This paper investigates the convergence of Wong--Zakai approximations to regime-switching stochastic differential equations, generated by a collection of finite-variation approxima…
math.PR2023
Duration-dependent stochastic fluid processes and solar energy revenue modeling
Hamed Amini, Andreea Minca, Oscar Peralta
We endow the classical stochastic fluid process with a duration-dependent Markovian arrival process (DMArP). We show that this provides a flexible model for the revenue of a solar…