5 citations · 5 across the 5 of their papers we have counts for
6 papers
Stochastic control with self-exciting processes
Heidar Eyjolfsson, Kristina Rognlien Dahl
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply…
Robustness of Hilbert space-valued stochastic volatility models
Fred Espen Benth, Heidar Eyjolfsson
In this paper we show that Hilbert space-valued stochastic models are robust with respect to perturbation, due to measurement or approximation errors, in the underlying volatility…
Multivariate self-exciting jump processes with applications to financial data
Heidar Eyjolfsson, Dag Tjøstheim
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that a…
Self-exciting jump processes and their asymptotic behaviour
Kristina Rognlien Dahl, Heidar Eyjolfsson
The purpose of this paper is to investigate properties of self-exciting jump processes. We derive the Laplace transform of SDE driven self-exciting processes with independent, iden…
Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
Fred Espen Benth, Heidar Eyjolfsson
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate s…
Representation and approximation of ambit fields in Hilbert space
Fred Espen Benth, Heidar Eyjolfsson
We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields,…