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math.PR2024
Utility maximisation and change of variable formulas for time-changed dynamics
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasin…
math.PR2017
Stochastic functional differential equations and sensitivity to their initial path
David R. Baños, Giulia Di Nunno, Hannes Haferkorn +1
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending…
math.PR2016
Fractional calculus and path-wise integration for Volterra processes driven by Lévy and martingale noise
Giulia Di Nunno, Yuliya Mishura, Konstiantyn Ralchenko
We introduce a pathwise integration for Volterra processes driven by Lévy noise or martingale noise. These processes are widely used in applications to turbulence, signal processes…