We study the BPE (Brownian particle equation) model of the Burgers equation presented in the preceeding article. More precisely, we are interested in establishing the existence and uniqueness properties of solutions using probabilistic techniques

This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial...

We are concerned with the problem of parameter estimation in Finance, namely the estimation of the spot volatility in the presence of the so-called microstructure noise. In [16] a scheme based on the technique of multi-step regularization was presented. It was shown that this scheme can work in...