Sep 2026· Finance and Stochastics· Vol 30, pp. 1081 - 1134· 0 citations· 29 references
Stochastic processes and financial applications
TL;DR
The deformed contour integration approach is illustrated by analysing the convergence rate of CTMC approximation for double-barrier option pricing under general regime-switching jump-diffusion models with nonsmooth coefficients.
This paper aims to develop efficient numerical approximations for a class of stochastic differential equations with state-dependent fast switching processes. The direct Euler--Maruyama (EM) scheme fails when the scaling parameter is small. Based on the heterogeneous multiscale method of \cite{e2005analysis}, we propose...
Xiao-Bin Sun, Ming-Kun Ye, Zuo-Zheng Zhang· 0 citations
To quantitatively characterize the long-time dynamics of the periodic damped stochastic Korteweg--de Vries (sKdV) equation driven by additive noise, we investigate the uniform-in-time error estimates for a Lie--Trotter operator splitting approximation. This splitting combines the exact deterministic KdV flow with the e...
We investigate the steady-state diffusion-approximation error for continuous-time queueing systems with generally distributed primitives. A common picture emerges after analyzing a number of canonical systems: the error decomposes into interior and boundary terms. The former are simpler to handle and can be bounded usi...
Anton Braverman, Ziv Scully· Operational Research· 0 citations
Fractional Brownian motion provides a useful framework for modeling random phenomena with anti-persistent temporal correlations that arise in applications such as anomalous diffusion, hydrology, finance, and geophysical processes. In this paper, we study a class of semilinear stochastic partial differential equations d...
Antoine Tambue, Aurelien Junior Noupelah, L. Fono· 0 citations
This article establishes a strong averaging principle for a class of slow-fast stochastic evolution systems that incorporate both McKean–Vlasov interactions and multivalued operators within a Hilbert-space variational framework. The slow variable υ evolves according to a Caputo fractional differential law of order ϱ∈(0...
Muhammad Imran Liaqat, A. Alsharidi· Fractal and Fractional· 0 citations
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