4 citations · 8 across the 10 of their papers we have counts for
11 papers
Quantitative averaging of Markov-modulated additive functionals and Wentzell boundary homogenization
Alexis Anagnostakis, Fausto Colantoni
Let be a positive continuous additive functional of a strong Markov process and an independent finite-state Markov chain. For bounded , we study \[ J_\varepsilon(t)=\int…
On the hedging problem in general 1D diffusion markets
Alexis Anagnostakis, David Criens, Mikhail Urusov
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and…
On the structure of increasing profits in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank…
General diffusions on metric graphs as limits of space-time Markov chains
Alexis Anagnostakis
We introduce the Space-Time Markov Chain Approximation (STMCA) for a general diffusion process on a finite metric graph . The STMCA is a doubly asymmetric (in both time and spac…
On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with…
General diffusions on the star graph as time-changed Walsh Brownian motion
Alexis Anagnostakis
We establish the representation of general regular diffusions on star-shaped graphs as time-changed Walsh Brownian motions. These are regular continuous Markov processes described…
On the number of crossings and bouncings of a diffusion at a sticky threshold
Alexis Anagnostakis, Sara Mazzonetto
In this paper, we study the asymptotic behavior of the number of crossings by a one-dimensional diffusion of a threshold where the process exhibits stickiness. We distinguish three…
Sticky-threshold diffusions, local time approximation and parameter estimation
Alexis Anagnostakis, Sara Mazzonetto
We study a class of high-frequency path functionals for one-dimensional diffusions with singular thresholds or boundaries, allowing for skewness, discontinuities in the diffusion c…
Pricing and hedging for a sticky diffusion
Alexis Anagnostakis
We introduce a financial market model featuring a risky asset whose price follows a sticky geometric Brownian motion and a riskless asset that grows with a constant interest rate $…
General diffusion processes as the limit of time-space Markov chains
Alexis Anagnostakis, Antoine Lejay, Denis Villemonais
We prove the convergence of the law of grid-valued random walks, which can be seen as time-space Markov chains, to the law of a general diffusion process. This includes processes w…
Functional convergence to the local time of a sticky diffusion
Alexis Anagnostakis
We establish the consistency of a local time approximation of a diffusion at a sticky threshold based on high-frequency observations. First, we prove the result for sticky Brownian…