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math.PR2022
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…
math.PR2022
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…