1 citations · 1 across the 1 of their papers we have counts for
4 papers
Limit theorems for prices of options written on semi-Markov processes
Enrico Scalas, Bruno Toaldo
We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type…
Semi-Markov processes, integro-differential equations and anomalous diffusion-aggregation
Mladen Savov, Bruno Toaldo
In this article integro-differential Volterra equations whose convolution kernel depends on the vector variable are considered and a connection of these equations with a class of s…
Semi-Markov models and motion in heterogeneous media
Costantino Ricciuti, Bruno Toaldo
In this paper we study continuous time random walks (CTRWs) such that the holding time in each state has a distribution depending on the state itself. For such processes, we provid…
Even-order pseudoprocesses on a circle and related Poisson kernels
Enzo Orsingher, Bruno Toaldo
Pseudoprocesses, constructed by means of the solutions of higher-order heat-type equations have been developed by several authors and many related functionals have been analyzed by…