6 citations · 7 across the 14 of their papers we have counts for
19 papers
Signature McKean-Vlasov stochastic differential equations
Fred Espen Benth, Salvador Ortiz-Latorre, Leonardo Tarquini
McKean-Vlasov-type stochastic differential equations (SDEs) are characterized by coefficients depending on both the state and the law of the solution. In this work, we focus on a c…
Convergence in law for quasi-linear SPDEs
Maria Jolis, Salvador Ortiz-Latorre, Lluís Quer-Sardanyons
We consider the quasi-linear stochastic wave and heat equations in with and , respectively, and perturbed by an additive Gaussian noise whi…
A functional variational approach to pricing path dependent insurance policies
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment str…
Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
The main purpose of the paper is to derive Thiele's differential equation for unit-linked policies in the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343.…
Change of measure in a Heston-Hawkes stochastic volatility model
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting count…
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
The filtering equations govern the evolution of the conditional distribution of a signal process given partial, and possibly noisy, observations arriving sequentially in time. Thei…