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math.PR2026
Lévy processes as weak limits of rough Heston models
Alessandro Bondi, Martin Forde
We show weak convergence of the time- marginals for the integrated variance in a re-scaled rough Heston model to an Inverse Gaussian Lévy process. This shows we can obtain such…
math.PR2025
Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions
Alessandro Bondi, Fausto Gozzi, Enrico Priola +1
We study the optimal control of an infinite-dimensional stochastic system governed by an SDE in a separable Hilbert space driven by cylindrical stable noise. We establish the exist…