Results 71 to 80 of about 932 (203)
Stochastic invariance of closed sets with non-Lipschitz coefficients
, 2016 This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable: we only assume that the covariance matrix is. In particular, our result can be directly
Jaber, Eduardo Abi +3 more
openaire +2 more sources
Degenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise Coefficient
, 2016 The existence-uniqueness and stability of strong solutions are proved for a class of degenerate stochastic differential equations, where the noise coefficient might be non-Lipschitz, and the drift is locally Dini continuous in the component with noise (i.
Feng-yu Wang
core +1 more source
On Testing for Independence Between Generalized Error Models of Several Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi +2 more
wiley +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Gradient estimates for stochastic evolution equations with non-Lipschitz coefficients
Journal of Mathematical Analysis and Applications, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Feng-Yu, Zhang, Tu-Sheng
openaire +3 more sources
Local Lipschitz Continuity in the Initial Value for Nonlinear Stochastic Differential Equations
Recently, Hairer et al. (2015) showed that there exist stochastic differential equations (SDEs) with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipschitz continuous in the strong Lp-sense
Cox, S.; id_orcid +2 more
core +1 more source
Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source
, 2018 Mukam JD, Tambue A. Convergence and Stability of Split-Step-Theta Methods for Stochastic Differential Equations With Jumps Under Non-Global Lipschitz drift Coefficient. In: Rendiconti Sem. Mat. Univ. Pol.
Mukam, Jean Daniel, Tambue, Antoine
core
Approximate controllability of backward stochastic evolution equations in Hilbert spaces
, 2006 In this paper, we examine the approximate controllability of a semilinear backward stochastic evolution equations in Hilbert spaces with non-Lipschitz ...
Matar, M.M., Mahmudov, N.I., Dauer, J.P.
core +1 more source