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Sigurd Assing

Publications and source records attributed to Sigurd Assing.

9 recordsLinked to original sources
arXiv2022

Optimal Stopping with Trees: The Details

The purpose of this paper is two-fold, first, to review a recent method introduced by S. Becker, P. Cheridito, and P. Jentzen, for solving high-dimensional optimal stopping problems using deep Neural Networks, second, to propose an alternative algorithm replacing Neural Networks by CART-trees which allow for more interpretation of the estimated stopping rules. We in particular compare the performance of the two algorithms with respect to the Bermudan max-call benchmark example concluding that the Bermudan max-call may not be suitable to serve as a benchmark example for high-dimensional optimal stopping problems. We also show how our algorithm can be used to plot stopping boundaries.

math.OC↗
arXiv2020

Stochastic model reduction: convergence and applications to climate equations

We study stochastic model reduction for evolution equations in infinite dimensional Hilbert spaces, and show the convergence to the reduced equations via abstract results of Wong-Zakai type for stochastic equations driven by a scaled Ornstein-Uhlenbeck process. Both weak and strong convergence are investigated, depending on the presence of quadratic interactions between reduced variables and driving noise. Finally, we are able to apply our results to a class of equations used in climate modeling.

math.PR↗
arXiv2019

Extension Technique for Functions of Diffusion Operators: a stochastic approach

It has recently been shown that complete Bernstein functions of the Laplace operator map the Dirichlet boundary condition of a related elliptic PDE to the Neumann boundary condition. The importance of this mapping consists in being able to convert problems involving non-local operators, like fractional Laplacians, into ones that only involve differential operators. We generalise this result to diffusion operators associated with stochastic differential equations, using a method which is entirely based on stochastic analysis.

math.PR↗
arXiv2017

On Trading American Put Options with Interactive Volatility

We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset price hits a certain level) is exponentially distributed. We obtain explicit optimal stopping rules in various cases one of which is interestingly complex because of an unexpected disconnected continuation region. Finally, we discuss in detail how these stopping rules could be used for trading an American put when the trader expects a market drop in the near future.

q-fin.PR↗
arXiv2017

On the collapse of trial solutions for a damped-driven non-linear Schrödinger equation

We consider the focusing 2D non-linear Schrödinger equation, perturbed by a damping term, and driven by multiplicative noise. We show that a physically motivated trial solution does not collapse for any admissible initial condition although the exponent of the non-linearity is critical. Our method is based on the construction of a global solution to a singular stochastic Hamiltonian system used to connect trial solution and Schrödinger equation.

math-ph↗
arXiv2014

Monotonicity of the value function for a two-dimensional optimal stopping problem

We consider a pair $(X,Y)$ of stochastic processes satisfying the equation $dX=a(X)Y\,dB$ driven by a Brownian motion and study the monotonicity and continuity in $y$ of the value function $v(x,y)=\sup_τE_{x,y}[e^{-qτ}g(X_τ)]$, where the supremum is taken over stopping times with respect to the filtration generated by $(X,Y)$. Our results can successfully be applied to pricing American options where $X$ is the discounted price of an asset while $Y$ is given by a stochastic volatility model such as those proposed by Heston or Hull and White. The main method of proof is based on time-change and coupling.

math.PR↗
arXiv2013

On the spatial dynamics of the solution to the stochastic heat equation

We consider the solution of $\partial_t u=\partial_x^2 u+\partial_x\partial_t B,\,(x,t)\in R\times(0,\infty)$, subject to $u(x,0)=0,\,x\in R$, where $B$ is a Brownian sheet. We show that $u$ also satisfies $\partial_x^2 u +[\,(-\partial_t^2)^{1/2}+\sqrt{2}\partial_x(-\partial_t^2)^{1/4}\,]\,u^a= \partial_x\partial_t{\tilde B}$ in $R\times(0,\infty)$ where $u^a$ stands for the extension of $u(x,t)$ to $(x,t)\in R^2$ which is antisymmetric in $t$ and $\tilde{B}$ is another Brownian sheet. The new SPDE allows us to prove the strong Markov property of the pair $(u,\partial_x u)$ when seen as a process indexed by $x\ge x_0$, $x_0$ fixed, taking values in a state space of functions in $t$. The method of proof is based on enlargement of filtration and we discuss how our method could be applied to other quasi-linear SPDEs.

math.PR↗
arXiv2012

A rigorous equation for the Cole-Hopf solution of the conservative KPZ equation

A rigorous equation is stated and it is shown that the spatial derivative of the Cole-Hopf solution of the KPZ equation is a solution of this equation. The method of proof used to show that a process solves this equation is based on rather weak estimates so that this method has the advantage that it could be used to verify solutions of other highly singular SPDEs, too.

math.PR↗