6 citations · 7 across the 14 of their papers we have counts for
11 papers · 1 filter
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…
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…
Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations
Dan Crisan, Thomas G. Kurtz, Salvador Ortiz-Latorre
We introduce a weighted particle representation for the solution of the filtering problem based on a suitably chosen variation of the classical de Finetti theorem. This representat…
Self-Exciting Multifractional Processes
Fabian A. Harang, Marc Lagunas-Merino, Salvador Ortiz-Latorre
We propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenom…