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math.PR2025
Ergodic Theory for Fractional SDE with Singular Coefficients
Avi Mayorcas, Łukasz Mądry
We show existence and uniqueness of invariant measures for SDE of the form \[ dX_t = g(X_t)dt + u(X_t)dt + dW^H_t \] where is a fractional Brownian motion (fBm) with Hurst pa…
math.PR2025
Stochastic Analysis of Overlapping Generations Models Under Incomplete Markets
Cangxiong Chen, Sigmund Ellingsrud, Fabian Harang +2
We provide a stochastic analysis of an overlapping generations model under incomplete markets. By casting individual optimization with idiosyncratic income risk into a forward back…