A. Bondi

most citedThe rough Hawkes Heston stochastic volatility model

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math.PR2022

Probability computation for high-dimensional semilinear SDEs driven by isotropic $α -$ stable processes via mild Kolmogorov equations

Alessandro Bondi

Semilinear, $N -$ dimensional stochastic differential equations (SDEs) driven by additive Lévy noise are investigated. Specifically, given $α \in (\frac{1}{2}, 1)$ , the inter…

math.PR2022

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…

math.PR2021

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 $α$ -stable Lévy process, with $α \in (0, 1)$ , in an infinite dimensional, separable Hilb…

Probability computation for high-dimensional semilinear SDEs driven by isotropic α−stable processes via mild Kolmogorov equations

Affine Volterra processes with jumps

Smoothing effect and Derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises

Probability computation for high-dimensional semilinear SDEs driven by isotropic $α -$ stable processes via mild Kolmogorov equations