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math.PR2024
The supercooled Stefan problem with transport noise: weak solutions and blow-up
Sean Ledger, Andreas Sojmark
We derive two weak formulations for the supercooled Stefan problem with transport noise on a half-line: one captures a continuously evolving system, while the other resolves blow-u…
math.PR2024
Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
Andreas Søjmark, Fabrice Wunderlich
We present a simple unifying treatment of a broad class of applications from statistical mechanics, econometrics, mathematical finance, and insurance mathematics, where (possibly s…
math.PR2024
Functional weak convergence of stochastic integrals for moving averages and continuous-time random walks
Andreas Søjmark, Fabrice Wunderlich
There is an extensive theory of weak convergence for moving averages and continuous-time random walks (CTRWs) with respect to Skorokhod's M1 and J1 topologies. Here we address the…