arXiv subjects
Publications and source records attributed to Libo Li.
We study in this article the strong rate of convergence of the Euler-Maruyama scheme and associated with the jump-type equation introduced in Li and Mytnik. We obtain the strong rate of convergence under similar assumptions for strong existence and pathwise uniqueness. Models of this type can be considered as a generalization of the CIR (Cox-Ingersoll-Ross) process with jumps.
In this paper, we develop a general methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process. As an extension of the technique developed by Bass \& Perkins [BP09] in the standard diffusion case, the proposed methodology allows one to deal with processes whose probability laws are singular with respect to the Lebesgue measure. To illustrate our methodology, we prove weak existence and uniqueness in two examples : a diffusion process with coefficients depending on its running symmetric local time and a diffusion process with coefficients depending on its running maximum. In each example, we also prove the existence of the associated transition density and establish some Gaussian upper-estimates.
In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated process stopped at the threshold. Our methodology relies on the parametrix method that we apply to the associated Markov semigroup. It allows to obtain explicit expressions for the corresponding transition densities and to study its regularity properties up to the boundary under mild assumptions on the coefficients. As a by product, we also provide Gaussian upper estimates for these laws and derive a probabilistic representation that may be useful for the construction of an unbiased Monte Carlo path simulation method, among other applications.
Given two filtrations $\mathbb F \subset \mathbb G$, we study under which conditions the $\mathbb F$-optional projection and the $\mathbb F$-dual optional projection coincide for the class of $\mathbb G$-optional processes with integrable variation. It turns out that this property is equivalent to the immersion property for $\mathbb F$ and $\mathbb G$, that is every $\mathbb F$-local martingale is a $\mathbb G$-local martingale, which, equivalently, may be characterised using the class of $\mathbb F$-pseudo-stopping times. We also show that every $\mathbb G$-stopping time can be decomposed into the minimum of two barrier hitting times.
Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. This method is then applied to the study of progressive enlargement with multiple non-ordered random times, for which explicit decompositions can be obtained under the absolute continuity condition of Jacod.
We deal with various alternative decompositions of F-martingales with respect to the filtration G which represents the enlargement of a filtration F by a progressive flow of observations of a random time that either belongs to the class of pseudo-honest times or satisfies the extended density hypothesis. Several related results from the existing literature are essentially extended. Results on G-semimartingale decompositions of F-local martingales are crucial for applications in financial mathematics, most notably in the context of modeling credit risk and the study of insider trading where the enlargements of filtration play a vital role. We outline two potential applications of our results to specific problems arising in financial mathematics.