R. Łochowski

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math.PR2024

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 $d R (t) = F (R (t)) d t + i = 1 \sum d G (R (t -)) d Z_{i} (t)$ with deterministic functions $F, G_{1}, ..., G_{d}$ and a mul…

math.PR2024

Affine term structure models driven by independent Lévy processes

Michał Barski, Rafał Łochowski

We characterize affine term structure models of non-negative short rate $R$ which may be obtained as solutions of autonomous SDEs driven by independent, one-dimensional Lévy martin…

math.PR2018

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 $V$ we estimate values of $\inf_{Y\in{\cal A}_X} \mathbb{E}\left\{ ψ\left( \Vert X - Y \Vert_\infty\right) + \mathrm{T…