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This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified ...
Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrat ...
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...
We analyze the stochastic initial-boundary value problem for the elastic wave equation with random coefficients and deterministic data. We propose a stochastic collocation method for computing statistical moments of the solution or statistics of some given ...
In this paper, we study deterministic limits of Markov processes having discontinuous drifts. While most results assume that the limiting dynamics is continuous, we show that these conditions are not necessary to prove convergence to a deterministic system ...
The topic of this thesis is the study of several stochastic control problems motivated by sailing races. The goal is to minimize the travel time between two locations, by selecting the fastest route in face of randomly changing weather conditions, such as ...
We extend the strong macroscopic stability introduced in Bramson and Mountford [Ann. Probab. 30 (2002) 1082-1130] for one-dimensional asymmetric exclusion processes with finite range to a large class of one-dimensional conservative attractive models (inclu ...
We present the Walsh theory of stochastic integrals with respect to martingale measures, and various extensions of this theory, alongside of the Da Prato and Zabczyk theory of stochastic integrals with respect to Hilbert-space-valued Wiener processes, and ...
Assume that a stochastic processes can be approximated, when some scale parameter gets large, by a fluid limit (also called mean field limit", or hydrodynamic limit"). A common practice, often called the ``fixed point approximation" consists in approxi ...
We study the mixed formulation of the stochastic Hodge-Laplace problem defined on a n-dimensional domain D (n≥1), with random forcing term. In particular, we focus on the magnetostatic problem and on the Darcy problem in the three dimensional case. ...
