4 papers · 1 filter
Lévy processes as weak limits of rough Heston models
Alessandro Bondi, Martin Forde
We show weak convergence of the time- marginals for the integrated variance in a re-scaled rough Heston model to an Inverse Gaussian Lévy process. This shows we can obtain such…
Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions
Alessandro Bondi, Fausto Gozzi, Enrico Priola +1
We study the optimal control of an infinite-dimensional stochastic system governed by an SDE in a separable Hilbert space driven by cylindrical stable noise. We establish the exist…
Feller's test for explosions of stochastic Volterra equations
Alessandro Bondi, Sergio Pulido
This paper provides a Feller's test for explosions of one-dimensional continuous stochastic Volterra processes of convolution type. The study focuses on dynamics governed by nonsin…
Regular stochastic flow and Dynamic Programming Principle for jump diffusions
Alessandro Bondi, Enrico Priola
Given a Brownian motion and a stationary Poisson point process with values in , we prove a Dynamic Programming Principle (DPP) in a strong formulation for a…