Brazilian Journal of Probability and Statistics, Vol. 34, No. 3 (2020), pp. 658-684 (27 pages) The existence of an invariant probability measure is proven for a class of solutions of stochastic ...
LINEAR-QUADRATIC CONTROL FOR A CLASS OF STOCHASTIC VOLTERRA EQUATIONS: SOLVABILITY AND APPROXIMATION
The Annals of Applied Probability, Vol. 31, No. 5 (October 2021), pp. 2244-2274 (31 pages) We provide an exhaustive treatment of linear-quadratic control problems for a class of stochastic Volterra ...
Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...
a) KLA-Tencor Corporation, Austin, TX 78759, U.S.A. b) KLA-Tencor Corporation, Milpitas, CA 95035, U.S.A. Stochastics effects are the ultimate limiter of optical lithography technology and are a major ...
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