6 citations · 15 across the 15 of their papers we have counts for
7 papers · 1 filter
A class of locally state-dependent models for forward curves
Nils Detering, Silvia Lavagnini
We present a dynamic model for forward curves within the Heath-Jarrow-Morton framework under the Musiela parametrization. The forward curves take values in a function space H, and…
Bootstrap Percolation in Random Graphs of Unbounded Rank
Nils Detering, Jimin Lin
Bootstrap percolation in (random) graphs is a contagion dynamic among a set of vertices with certain threshold levels. The process is started by a set of initially infected vertice…
Abstract polynomial processes
Fred Espen Benth, Nils Detering, Paul Kruhner
We suggest a novel approach to polynomial processes solely based on a polynomial action operator. With this approach, we can analyse such processes on general state spaces, going f…
Stochastic Volterra integral equations and a class of first order stochastic partial differential equations
Fred Espen Benth, Nils Detering, Paul Kruehner
We investigate stochastic Volterra equations and their limiting laws. The stochastic Volterra equations we consider are driven by a Hilbert space valued \Levy noise and integration…
Independent increment processes: A multilinearity preserving property
Fred Espen Benth, Nils Detering, Paul Kruhner
We observe a multilinearity preserving property of conditional expectation for infinite dimensional independent increment processes defined on some abstract Banach space . It is…
Directed Chain Stochastic Differential Equations
Nils Detering, Jean-Pierre Fouque, Tomoyuki Ichiba
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation…
Bootstrap percolation in directed and inhomogeneous random graphs
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou
Bootstrap percolation is a process that is used to model the spread of an infection on a given graph. In the model considered here each vertex is equipped with an individual thresh…