Rafał M. Łochowski

most citedIntegration of rough paths - the truncated variation approach

4 citations · 4 across the 3 of their papers we have counts for

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math.PR2024

On the reducibility of affine models with dependent Lévy factor

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G (R (t -)) d Z_{i} (t)$ with deterministic functions $F, G_{1}, ..., G_{d}$ and a mul…

math.PR2023

Level crossings of fractional Brownian motion

Purba Das, Rafał Łochowski, Toyomu Matsuda +1

Since the classical work of Lévy, it is known that the local time of Brownian motion can be characterized through the limit of level crossings. While subsequent extensions of this…

math.PR2023

Classification and calibration of affine models driven by independent Lévy processes

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G_{i} (R (t -)) d Z_{i} (t), R (0) = x \geq 0, t > 0,$ with deterministic fu…