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Linearized Filtering of Affine Processes Using Stochastic Riccati Equations
(2018)arXivWorking Paper -
A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations
(2010)arXivWe construct normed spaces of real-valued functions with controlled growth on possibly infinite-dimensional state spaces such that semigroups of positive, bounded operators $(P_t)_{t\ge 0}$ thereon with $\lim_{t\to 0+}P_t f(x)=f(x)$ are in fact strongly continuous. This result applies to prove optimal rates of convergence of splitting schemes for stochastic (partial) differential equations with linearly growing characteristics and for ...Working Paper -
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Discrete Time Term Structure Theory and Consistent Recalibration Models
(2014)arXivWorking Paper -
Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity
(2009)arXivWorking Paper -
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
(2014)arXivWorking Paper -
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