6 papers · 1 filter
Affine Option Pricing with Hawkes-Type Endogenous Jump Activity
Ziyang Fang, Shenglan Yuan
We develop a risk-neutral option-pricing model where the activity scale of an infinite-activity jump process is endogenously driven by the asset's own realized price jumps. Jump si…
Slow manifolds for stochastic Koper models with stable Lévy noises
Hina Zulfiqar, Shenglan Yuan, Muhammad Shoaib Saleem
The Koper model is a vector field in which the differential equations describe the electrochemical oscillations appearing in diffusion processes. This work focuses on the understan…
Modulation and amplitude equations on bounded domains for nonlinear SPDEs driven by cylindrical α-stable Lévy processes
Shenglan Yuan, Dirk Blömker
In the present work, we establish the approximation of nonlinear stochastic partial differential equation (SPDE) driven by cylindrical α-stable Lévy processes via modulation or amp…
Stochastic Bifurcation in Single-Species Model Induced by α-Stable Levy Noise
Almaz Tesfay, Daniel Tesfay, Shenglan Yuan +2
Bifurcation analysis has many applications in different scientific fields, such as electronics, biology, ecology, and economics. In population biology, deterministic methods of bif…
Action functionals for stochastic differential equations with Lévy noise
Shenglan Yuan, Jinqiao Duan
By using large deviation theory that deals with the decay of probabilities of rare events on an exponential scale, we study the longtime behaviors and establish action functionals…
Characterization of the Most Probable Transition Paths of Stochastic Dynamical Systems with Stable Lévy Noise
Yuanfei Huang, Ying Chao, Shenglan Yuan +1
This work is devoted to the investigation of the most probable transition path for stochastic dynamical systems driven by either symmetric -stable Lévy motion () or Brown…