3 papers
math.PR2023
A sharp upper bound for the expected occupation density of Itô processes with bounded irregular drift and diffusion coefficients
Paul Krühner, Shijie Xu
We find explicit and optimal upper bounds for the expected occupation density for an Itô-process when its drift and diffusion coefficients are unknown under boundedness and ellipti…
q-fin.MF2023
Statistically consistent term structures have affine geometry
Paul Krühner, Shijie Xu
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one…
math.PR2023
Explicit local density bounds for Itô-processes with irregular drift
Paul Krühner, Shijie Xu
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be…