Stochastic processes provide a rigorous framework for modelling systems that evolve over time under uncertainty, while extremal theory offers the tools for understanding the behaviour of rare, ...

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 ...

Editor's note: As the following article is a chapter (Chapter 8) from David Koenig's book, Practical Control Engineering: Guide for Engineers, Managers, and Practitioners (MATLAB Examples) (McGraw ...

A cylindrical Lévy process does not enjoy a cylindrical version of the semimartingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this ...

This is a preview. Log in through your library . Abstract In this paper we use point processes to model a simple stochastic epidemic with relapse, using the information given by the times in which a ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...