8 papers
On the structure of increasing profits in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank…
On the number of crossings and bouncings of a diffusion at a sticky threshold
Alexis Anagnostakis, Sara Mazzonetto
In this paper, we study the asymptotic behavior of the number of crossings by a one-dimensional diffusion of a threshold where the process exhibits stickiness. We distinguish three…
Sticky-threshold diffusions, local time approximation and parameter estimation
Alexis Anagnostakis, Sara Mazzonetto
We study a class of high-frequency path functionals for diffusions with singular thresholds or boundaries, where the process exhibits either (i) skweness, oscillating coefficients,…
General diffusions on metric graphs as limits of time-space Markov Chains
Alexis Anagnostakis
We introduce the Space-Time Markov Chain Approximation (STMCA) for a general diffusion process on a finite metric graph . The STMCA is a doubly asymmetric (in both time and spa…
General diffusions on the star graph as time-changed Walsh Brownian motion
Alexis Anagnostakis
We establish the representation of general regular diffusions on star-shaped graphs as time-changed Walsh Brownian motions. These are regular continuous Markov processes described…
On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with…