financial-mathematics

Log-modulated rough stochastic volatility models

Christian Bayer, Fabian Harang and Paolo Pigato / 2023-03-14

New insights about the regularity of the instantaneous variance obtained from realized variance data (see Gatheral, Jaisson, and Rosenbaum (2018), Bennedsen, Lunde, and Pakkanen (2021, to appear) and Fukasawa, Takabatake, and Westphal (2019)), have inspired the development of so-called rough…

optimal-transport

Non-Homogeneous Poisson Process Intensity Modeling and Estimation using Measure Transport

Tin Lok James Ng / 2022-09-19

A NHPP defined on \({\cal S} \subset \mathbb{R}^{d}\) can be fully characterized through its intensity function \(\lambda: {\cal S} \rightarrow [0, \infty)\). We present a general model for the intensity function of a non-homogeneous Poisson process using measure transport. The model finds its roots…

webinars

Regularization by Noise for Stochastic Differential and Stochastic Partial Differential Equations

2022-06-03

Regularization by Noise for Stochastic Differential and Stochastic Partial Differential Equations The regularizing effects of noisy perturbations of differential equations is a central subject of stochastic analysis. Recent breakthroughs initiated a new wave of interest, particularly concerning…

webinars

Inclusion Process and Sticky Brownian Motions

2021-12-24

Inclusion Process and Sticky Brownian Motions The ninth “One World webinar” organized by YoungStatS will take place on February 9th, 2022. Inclusion process (IP) is a stochastic lattice gas where particles perform random walks subjected to mutual attraction. For the inclusion process in the…

probability

Frozen percolation on the binary tree is nonendogenous

Balázs Ráth, Jan M. Swart, Márton Szőke, and Tamás Terpai / 2021-11-25

In frozen percolation on a graph, there is a barrier located on each edge. Initially, the barriers are closed and they are assigned i.i.d. uniformly distributed activation times. At its activation time, a barrier opens, provided it is not frozen. At a fixed set \(\Xi\) of freezing times, all…

webinars

Concentration Inequalities in Machine Learning

2021-06-30

The fifth “One World webinar” organized by YoungStatS will take place on September 15th, 2021. Selected young European researchers active in the areas of probability and machine learning will present their recent contributions. The webinar is joint cooperation between the Young Researchers Committee…