Showing math.PRShow all
2 papers · 1 filter
math.PR2026
Path-dependent Affine Processes
Boris Günther, Thomas Kruse, Ludger Overbeck +1
We extend the classical theory of affine processes to a path-dependent setting by introducing path-dependent coefficients and provide analytic formulas for their Fourier--Laplace t…
math.PR2026
Nonlinear filtering with stochastic discontinuities
Thorsten Schmidt, Félix B. Tambe-Ndonfack
Filtering problems with jumps in both the signal and the observation have been extensively studied, typically under the assumption that jump times are totally inaccessible. In many…