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math.PR2017
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
Eyal Neuman, Mathieu Rosenbaum
Rough volatility models are becoming increasingly popular in quantitative finance. In this framework, one considers that the behavior of the log-volatility process of a financial a…
math.PR2017
On Uniqueness and Blowup Properties for a Class of Second Order SDEs
Alejandro Gomez, Jong Jun Lee, Carl Mueller +2
As the first step for approaching the uniqueness and blowup properties of the solutions of the stochastic wave equations with multiplicative noise, we analyze the conditions for th…