1 citations · 1 across the 5 of their papers we have counts for
5 papers
On the Kolmogorov equation associated with Volterra equations and Fractional Brownian Motion
Alessandro Bondi, Franco Flandoli
We consider a Volterra convolution equation in perturbed with an additive fractional Brownian motion of Riemann-Liouville type with Hurst parameter . We…
The rough Hawkes Heston stochastic volatility model
Alessandro Bondi, Sergio Pulido, Simone Scotti
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stocha…
Probability computation for high-dimensional semilinear SDEs driven by isotropic stable processes via mild Kolmogorov equations
Alessandro Bondi
Semilinear, dimensional stochastic differential equations (SDEs) driven by additive Lévy noise are investigated. Specifically, given , the inter…
Affine Volterra processes with jumps
Alessandro Bondi, Giulia Livieri, Sergio Pulido
The theory of affine processes has been recently extended to the framework of stochastic Volterra equations with continuous trajectories. These so-called affine Volterra processes…
Smoothing effect and Derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises
Alessandro Bondi
We investigate the concept of cylindrical Wiener process subordinated to a strictly -stable Lévy process, with , in an infinite dimensional, separable Hilb…