S. Yuan

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math.DS2026

Solow system driven by $I^\pm$ -stable LÃ©vy process

Yiren Wang, Shenglan Yuan

This paper empirically implements a Solow-type growth model driven by $I^\pm$ -stable LÃ©vy shocks with time-varying capital elasticity. We extend the framework with an $I^\pm$ -stable LÃ©…

math.DS2026

Affine Option Pricing with Hawkes-Type Endogenous Jump Activity

Ziyang Fang, Shenglan Yuan

We develop a risk-neutral option-pricing model where the activity scale of an infinite-activity jump process is endogenously driven by the asset's own realized price jumps. Jump si…

math.DS2026

Endogenous business cycles via state-dependent saving and noise-induced metastability

Shenglan Yuan, James Brannan, Almaz Abebe +1

We develop a parsimonious stochastic growth model in which state-dependent saving behavior generates endogenous business-cycle-like dynamics. The model consists of three coupled eq…

Solow system driven by I^±-stable LÃ©vy process

Affine Option Pricing with Hawkes-Type Endogenous Jump Activity

Endogenous business cycles via state-dependent saving and noise-induced metastability

Solow system driven by $I^\pm$ -stable LÃ©vy process