We develop a martingale-based decomposition for a general class of quadratic forms of Markov chains, which resembles the well-known Hoeffding decomposition of U-statistics of i.i.d. data up to a reminder term. To illustrate the applicability of our results, we discuss how this decomposition may...

This article deals with adaptive nonparametric estimation for Lévy processes observed at low frequency. For general linear functionals of the Lévy measure, we construct kernel estimators, provide upper risk bounds and derive rates of convergence under regularity assumptions.

This paper is concerned with the problem of explosive solutions for a class of stochastic differential equations. Our main results are presented as two theorems. Theorem 1 is concerned with the existence of explosive solutions with positive probability under certain sufficient conditions. With...

This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (V MLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on...

We study existence, uniqueness and mass conservation of signed measure valued solutions of a class of stochastic evolution equations with respect to the Wiener sheet, including as particular cases the stochastic versions of the regularized two-dimensional Navier–Stokes equations in vorticity...

We derive expansion results in order to approximate the law of the average of the marginal of diffusion processes. The average is computed w.r.t. a general parameter that is involved in the diffusion dynamics. Our approximation is based on the use of proxys with normal distribution or log-normal...

Infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled Markov chains with countably many states are analyzed. Upper and lower values for these games are established. The existence of value and saddle-point equilibria in the class of Markov...

In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential...

We define renormalized intersection local times for random interlacements of Lévy processes in Rd and prove an isomorphism theorem relating renormalized intersection local times with associated Wick polynomials.

We develop a technique for the construction of random fields on algebraic structures. We deal with two general situations: random fields on homogeneous spaces of a compact group and in the spin line bundles of the 2-sphere. In particular, every complex Gaussian isotropic spin random field can be...