Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation
Fuente:
arXiv
Saved in:
| Main Author: | Alfonsi, Aurélien |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
by: Alfonsi, Aurélien, et al.
Published: (2026)
by: Alfonsi, Aurélien, et al.
Published: (2026)
Kolmogorov equations for stochastic Volterra processes with singular kernels
by: Gasteratos, Ioannis, et al.
Published: (2025)
by: Gasteratos, Ioannis, et al.
Published: (2025)
High order approximations and simulation schemes for the log-Heston process
by: Alfonsi, Aurélien, et al.
Published: (2024)
by: Alfonsi, Aurélien, et al.
Published: (2024)
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment
by: Promyslov, Platon
Published: (2026)
by: Promyslov, Platon
Published: (2026)
The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)
by: Kühn, Christoph
Published: (2023)
A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
by: Pra, Paolo Dai, et al.
Published: (2025)
by: Pra, Paolo Dai, et al.
Published: (2025)
On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)
by: Xodarev, Akmal
Published: (2026)
Intertemporal Cost-efficient Consumption
by: Elizalde, Mauricio, et al.
Published: (2024)
by: Elizalde, Mauricio, et al.
Published: (2024)
Stochastic Volterra equations with random functional coefficients in Banach spaces
by: Kalinin, Alexander
Published: (2026)
by: Kalinin, Alexander
Published: (2026)
On the Weak Error for Local Stochastic Volatility Models
by: Friz, Peter K., et al.
Published: (2025)
by: Friz, Peter K., et al.
Published: (2025)
Boundary error control for numerical solution of BSDEs by the convolution-FFT method
by: Gao, Xiang, et al.
Published: (2025)
by: Gao, Xiang, et al.
Published: (2025)
Pathwise uniqueness for singular stochastic Volterra equations with Hölder coefficients
by: Prömel, David J., et al.
Published: (2022)
by: Prömel, David J., et al.
Published: (2022)
Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)
by: Calvia, Alessandro, et al.
Published: (2025)
On Path-dependent Volterra Integral Equations: Strong Well-posedness and Stochastic Numerics
by: Gnabeyeu, Emmanuel, et al.
Published: (2026)
by: Gnabeyeu, Emmanuel, et al.
Published: (2026)
Optimal hedging of a perpetual American put with a single trade
by: Cai, Cheng, et al.
Published: (2020)
by: Cai, Cheng, et al.
Published: (2020)
The Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise
by: Sauri, Orimar
Published: (2024)
by: Sauri, Orimar
Published: (2024)
Filtering in a hazard rate change-point model with financial and life-insurance applications
by: Buttarazzi, Matteo, et al.
Published: (2025)
by: Buttarazzi, Matteo, et al.
Published: (2025)
Viscosity solutions of the integro-differential equation for the Cramér--Lundberg model with annuity payments and investments
by: Promyslov, Platon
Published: (2026)
by: Promyslov, Platon
Published: (2026)
Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
by: Teng, Changqing, et al.
Published: (2024)
by: Teng, Changqing, et al.
Published: (2024)
No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)
by: Criens, David, et al.
Published: (2024)
Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)
by: Criens, David, et al.
Published: (2023)
A characterization of equivalent martingale probability measures in a mixed renewal risk model with applications in Risk Theory
by: Tzaninis, Spyridon M., et al.
Published: (2020)
by: Tzaninis, Spyridon M., et al.
Published: (2020)
Continuum polymer measures corresponding to the critical 2d stochastic heat flow
by: Clark, Jeremy, et al.
Published: (2024)
by: Clark, Jeremy, et al.
Published: (2024)
Martingale measure associated with the critical $2d$ stochastic heat flow
by: Nakashima, Makoto
Published: (2025)
by: Nakashima, Makoto
Published: (2025)
Blow-up estimates for a system of semilinear SPDEs driven by mixed fractional Brownian motions
by: Sankar, S., et al.
Published: (2022)
by: Sankar, S., et al.
Published: (2022)
Exponential ergodicity and finite-dimensional approximation for Markovian lifts of stochastic Volterra equations
by: Hamaguchi, Yushi
Published: (2026)
by: Hamaguchi, Yushi
Published: (2026)
Rearranged Stochastic Heat Equation
by: Delarue, François, et al.
Published: (2022)
by: Delarue, François, et al.
Published: (2022)
Numerical Approximation of Stochastic Volterra Integral Equation Using Walsh Function
by: Paikaray, Prit Pritam, et al.
Published: (2023)
by: Paikaray, Prit Pritam, et al.
Published: (2023)
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
by: Das, Kaustav, et al.
Published: (2021)
by: Das, Kaustav, et al.
Published: (2021)
Differentiating through Stochastic Differential Equations: A Primer
by: Leburu, Rishi, et al.
Published: (2026)
by: Leburu, Rishi, et al.
Published: (2026)
A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
by: Lei, Qian, et al.
Published: (2024)
by: Lei, Qian, et al.
Published: (2024)
Weak rough kernel comparison via PPDEs for integrated Volterra processes
by: Bossy, Mireille, et al.
Published: (2025)
by: Bossy, Mireille, et al.
Published: (2025)
Stochastic Partial Differential Equations, Space-time White Noise and Random Fields
by: Dalang, Robert C., et al.
Published: (2024)
by: Dalang, Robert C., et al.
Published: (2024)
Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
by: Wang, Yingli, et al.
Published: (2025)
by: Wang, Yingli, et al.
Published: (2025)
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
by: Dro, Sigui Brice, et al.
Published: (2026)
by: Dro, Sigui Brice, et al.
Published: (2026)
On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models
by: Gnabeyeu, Emmanuel
Published: (2026)
by: Gnabeyeu, Emmanuel
Published: (2026)
Approximation and regularity results for the Heston model and related processes
by: Lombardo, Edoardo
Published: (2025)
by: Lombardo, Edoardo
Published: (2025)
Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
by: Friesen, Martin, et al.
Published: (2024)
by: Friesen, Martin, et al.
Published: (2024)
The American put with finite-time maturity and stochastic interest rate
by: Cai, Cheng, et al.
Published: (2021)
by: Cai, Cheng, et al.
Published: (2021)
Similar Items
-
Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
by: Alfonsi, Aurélien, et al.
Published: (2026) -
Kolmogorov equations for stochastic Volterra processes with singular kernels
by: Gasteratos, Ioannis, et al.
Published: (2025) -
High order approximations and simulation schemes for the log-Heston process
by: Alfonsi, Aurélien, et al.
Published: (2024) -
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025) -
Existence of a classical solution to the integro-differential equation arising in the Cramér--Lundberg non-life insurance model with proportional investment
by: Promyslov, Platon
Published: (2026)