Representations of homogeneous quantum Lévy fields

We study homogeneous quantum Lévy processes and fields with independent additive increments over a noncommutative *-monoid. These are described by infinitely divisible generating state functionals, invariant with respect to an endomorphic injective action of a symmetry semigroup. A strongly covariant GNS representation for the conditionally positive logarithmic functionals of these states is constructed in the complex Minkowski space in terms of canonical quadruples and isometric representations on the underlying pre-Hilbert field space. This is of much use in constructing quantum stochastic representations of homogeneous quantum Lévy fields on Itô monoids, which is a natural algebraic way of defining dimension free, covariant quantum stochastic integration over a space-time indexing set.     

Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields

We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations (SPDE) with jumps. This is a type of equations, which appear as adjoint equations in the maximum principle approach to optimal control of systems described by SPDE driven by Lévy processes.     

Stationary and multi-self-similar random fields with stochastic volatility

This paper introduces stationary and multi-self-similar random fields which account for stochastic volatility and have type G marginal law. The stationary random fields are constructed using volatility modulated mixed moving average (MA) fields and their probabilistic properties are discussed. Also, two methods for parameterizing the weight functions in the MA representation are presented: one method is based on Fourier techniques and aims at reproducing a given correlation structure, the other method is based on ideas from stochastic partial differential equations. Moreover, using a generalized Lamperti transform we construct volatility modulated multi-self-similar random fields which have type G distribution.     

Anisotropic nonlocal diffusion equations with singular forcing

We prove existence, uniqueness and regularity of solutions of nonlocal heat equations associated to anisotropic stable diffusion operators. The main features are that the right-hand side has very little regularity and that the spectral measure can be singular in some directions. The proofs require having good enough estimates for the corresponding heat kernels and their derivatives.     

Contagion modeling between the financial and insurance markets with time changed processes

This study analyzes the impact of contagion between financial and non-life insurance markets on the asset–liability management policy of an insurance company. The indirect dependence between these markets is modeled by assuming that the assets return and non-life insurance claims are led respectively by time-changed Brownian and jump processes, for which stochastic clocks are integrals of mutually self-exciting processes. This model exhibits delayed co-movements between financial and non-life insurance markets, caused by events like natural disasters, epidemics, or economic recessions.