The Langevin equation is a common tool to model diffusion at a single-particle level. In
nonhomogeneous environments, such as aqueous two-phase systems or biological …

Abstract Detrended Fluctuation Analysis (DFA) is a reliable and assumption-free approach
for gauging the complexity of a time series. In this paper, an online oscillations detection …

We give a thorough description of the asymptotic property of the maximum likelihood
estimator (MLE) of the skewness parameter of a Skew Brownian Motion (SBM). Thanks to …

In financial markets, low prices are generally associated with high volatilities and vice-versa,
this well-known stylized fact is usually referred to as the leverage effect. We propose a local …

In this paper, we propose a general valuation framework for option pricing problems related
to skew diffusions based on a continuous-time Markov chain approximation to the …

We consider a local volatility model, with volatility taking two possible values, depending on
the value of the underlying with respect to a fixed threshold. When the threshold is taken at …

This paper studies a multi-armed bandit problem where the decision-maker is loss averse, in
particular she is risk averse in the domain of gains and risk loving in the domain of losses …

We consider a simple mean reverting diffusion process, with piecewise constant drift and
diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and …

We study the maximum likelihood estimator of the drift parameters of a stochastic differential
equation, with both drift and diffusion coefficients constant on the positive and negative axis …

We consider a symmetric stochastic differential game where each player can control the
diffusion intensity of an individual dynamic state process, and the players whose states at a …