1 citations · 1 across the 4 of their papers we have counts for
5 papers
On the reducibility of affine models with dependent Lévy factor
Michał Barski, Rafał Łochowski
The paper is devoted to the study of the short rate equation of the form with deterministic functions and a mul…
Affine term structure models driven by independent Lévy processes
Michał Barski, Rafał Łochowski
We characterize affine term structure models of non-negative short rate which may be obtained as solutions of autonomous SDEs driven by independent, one-dimensional Lévy martin…
BDG inequalities and their applications for model-free continuous price paths with instant enforcement
Rafał M. Łochowski
Shafer and Vovk introduce in their book \cite{ShaferVovk:2018} the notion of \emph{instant enforcement} and \emph{instantly blockable} properties. However, they do not associate th…
Optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes
W. M. Bednorz, Rafał M. Łochowski, R. Martynek
For a general càdlàg Lévy process on a separable Banach space we estimate values of $\inf_{Y\in{\cal A}_X} \mathbb{E}\left\{ ψ\left( \Vert X - Y \Vert_\infty\right) + \mathrm{T…
On the quadratic variation of the model-free price paths with jumps
Lesiba Ch. Galane, Rafał M. Łochowski, Farai J. Mhlanga
We prove that the model-free typical (in the sense of Vovk) càdlàg price paths with mildly restricted downward jumps possess quadratic variation which does not depend on the specif…