2 citations · 2 across the 4 of their papers we have counts for
7 papers · 1 filter
Change of measure in a Heston-Hawkes stochastic volatility model
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting count…
Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise
David Baños, Martin Bauer, Thilo Meyer-Brandis +1
In this paper we aim at generalizing the results of A. K. Zvonkin and A. Y. Veretennikov on the construction of unique strong solutions of stochastic differential equations with si…
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion
Oussama Amine, David R. Baños, Frank Proske
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive…
Strong Uniqueness of Singular Stochastic Delay Equations
D. Baños, H. H. Haferkorn, F. Proske
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector fie…
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additi…
Stochastic systems with memory and jumps
D. R. Baños, F. Cordoni, G. Di Nunno +2
Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study the…