:: Library Catalog

Copertina

Salvato in:

Dettagli Bibliografici
Autore principale:	Sidorenko, Artur
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Probability 60H30 (Primary), 91G10 (Secondary)
Accesso online:	https://arxiv.org/abs/2509.04608
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Gatheral double stochastic volatility model with Skorokhod reflection
di: Mishura, Yuliya, et al.
Pubblicazione: (2025)

On the Weak Error for Local Stochastic Volatility Models
di: Friz, Peter K., et al.
Pubblicazione: (2025)

Well-posedness of behavioral singular stochastic control problems
di: Sidorenko, Artur
Pubblicazione: (2025)

Optimal investment with insider information using Skorokhod & Russo-Vallois integration
di: Elizalde, Mauricio, et al.
Pubblicazione: (2022)

Convolution-FFT for option pricing in the Heston model
di: Gao, Xiang, et al.
Pubblicazione: (2025)

Boundary error control for numerical solution of BSDEs by the convolution-FFT method
di: Gao, Xiang, et al.
Pubblicazione: (2025)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
di: Hu, Ying, et al.
Pubblicazione: (2017)

Large deviation principle for a backward stochastic differential equation driven by $G$-Brownian motion with subdifferential operator
di: Hima, Abdoulaye Soumana, et al.
Pubblicazione: (2020)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
di: Xodarev, Akmal
Pubblicazione: (2026)

Malliavian differentiablity and smoothness of density for SDES with locally Lipschitz coefficients
di: Anton, Cristina
Pubblicazione: (2024)

The Mean Field Market Model Revisited
di: Hasenbichler, Manuel, et al.
Pubblicazione: (2023)

Emergence of regularity for limit points of McKean-Vlasov particle systems
di: Crowell, Robert Alexander
Pubblicazione: (2024)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
di: Liang, Gechun, et al.
Pubblicazione: (2023)

Stochastic portfolio theory with price impact
di: Itkin, David
Pubblicazione: (2025)

Mean-Field Analysis of Latent Variable Process Models on Dynamically Evolving Graphs with Feedback Effects
di: Ganguly, Ankan, et al.
Pubblicazione: (2025)

Criteria for the absence of arbitrage in general diffusion markets
di: Criens, David, et al.
Pubblicazione: (2023)

Stochastic Calculus for Rough Fractional Brownian Motion via Operator Factorization
di: Fontes, Ramiro
Pubblicazione: (2026)

Data driven modeling of multiple interest rates with generalized Vasicek-type models
di: Ilmonen, Pauliina, et al.
Pubblicazione: (2025)

Diversification and Stochastic Dominance: When All Eggs Are Better Put in One Basket
di: Vincent, Léonard
Pubblicazione: (2025)

Ergodic robust maximization of asymptotic growth with stochastic factor processes
di: Itkin, David, et al.
Pubblicazione: (2022)

Short-rate models with stochastic discontinuities: a PDE approach
di: Calvia, Alessandro, et al.
Pubblicazione: (2025)

Stochastic integration with respect to a Lévy basis
di: Riedle, Markus
Pubblicazione: (2026)

Strong solutions and sharp Euler--Maruyama approximations for SDEs with Lebesgue--Dini drift
di: Wei, Jinlong, et al.
Pubblicazione: (2026)

Cross-Currency Basis Swaps Referencing Backward-Looking Rates
di: Ding, Yining, et al.
Pubblicazione: (2024)

Choice of Collateral Currency in Differential Swaps
di: Ding, Yining, et al.
Pubblicazione: (2026)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
di: Das, Kaustav, et al.
Pubblicazione: (2021)

The impact of uncertainty on regularized learning in games
di: Cauvin, Pierre-Louis, et al.
Pubblicazione: (2025)

A law of large numbers for predicting several steps ahead
di: Vovk, Vladimir
Pubblicazione: (2025)

An Exponential Concentration Inequality for the Components of a Uniform Random Vector on the Sphere
di: Samani, Joshua
Pubblicazione: (2025)

Differential equations driven by Besov-Orlicz paths
di: Čoupek, Petr, et al.
Pubblicazione: (2024)

Existence for low-regularity McKean-Vlasov dynamics via emergence of regularity
di: Crowell, Robert Alexander
Pubblicazione: (2025)

A new approach to stochastic McKean-Vlasov limits with low-regularity coefficients
di: Crowell, Robert Alexander
Pubblicazione: (2025)

Differentiating through Stochastic Differential Equations: A Primer
di: Leburu, Rishi, et al.
Pubblicazione: (2026)

From constant to rough: A survey of continuous volatility modeling
di: Di Nunno, Giulia, et al.
Pubblicazione: (2023)

The constant coefficient in precise Laplace asymptotics for gPAM
di: Klose, Tom
Pubblicazione: (2022)

Chaos expansion solutions of a class of magnetic Schrödinger Wick-type stochastic equations on $\mathbb{R}^d$
di: Coriasco, Sandro, et al.
Pubblicazione: (2023)

SDEs with no strong solution arising from a problem of stochastic control
di: Cox, Alexander M. G., et al.
Pubblicazione: (2022)

Robo-Advising in Motion: A Model Predictive Control Approach
di: Bielecki, Tomasz R., et al.
Pubblicazione: (2026)

Stretched Brownian Motion: convergence of dual optimising sequences
di: Schachermayer, Walter, et al.
Pubblicazione: (2025)

Existence of Bass martingales and the martingale Benamou$-$Brenier problem in $\mathbb{R}^{d}$
di: Backhoff-Veraguas, Julio, et al.
Pubblicazione: (2023)