R. Lochowski

collaborators

2 papers

math.PR2023

Classification and calibration of affine models driven by independent Lévy processes

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G_{i} (R (t -)) d Z_{i} (t), R (0) = x \geq 0, t > 0,$ with deterministic fu…

math.PR2022

CIR equations with multivariate Lévy noise

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G_{i} (R (t -)) d Z_{i} (t), R (0) = x \geq 0, t > 0,$ with deterministic…