We introduce a class of Markov processes, called m-polynomial, for which the calculation of
(mixed) moments up to order m only requires the computation of matrix exponentials. This …

This article introduces a certain class of stochastic processes, which we suggest calling mild
Itô processes, and a new, somehow mild, Itô-type formula for such processes. Examples of …

We propose a general framework for modelling multiple yield curves which have emerged
after the last financial crisis. In a general semimartingale setting, we provide an HJM …

We show that stochastically continuous, time-homogeneous affine processes on the
canonical state space R _ ≧ 0^ m * R^ n are always regular. In the paper of Duffie et al.(Ann …

In the spirit of [T. Björk et al., Finance Stoch., 1 (1997), pp. 141–174], we investigate term
structure models driven by Wiener processes and Poisson measures with forward curve …

The study of stochastic differential equations (SDEs) driven by Lévy processes in R
originated in the book by Skorokhod [97]. In view of the Lévy–Itô decomposition, he reduced …

The authors report on the construction of a new algorithm for the weak approximation of
stochastic differential equations. In this algorithm, an ODE-valued random variable whose …

Dynamical systems perturbed by small random noise have received a vast attention over the
last decades in many areas of science extending from physics through chemistry and …

This work concerns the problem associated with an averaging principle for two-time-scales
stochastic partial differential equations (SPDEs) driven by cylindrical Wiener processes and …

The online supplement [18] to this article contains the formal proofs of the results. Section A
of this supplement recalls important notation, Section B gives necessary technical results …