Inverting the Markovian projection, with an application to local stochastic volatility models

DOI10.1214/19-AOP1420zbMath1469.60187arXiv1905.06213OpenAlexW3088227898MaRDI QIDQ2212591

Jiacheng Zhang, Mykhaylo Shkolnikov, Daniel Lacker

Publication date: 24 November 2020

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.06213

zbMATH Keywords

strong solutionsFokker-Planck equationsnonlinear elliptic equationspathwise uniquenessmimickingMcKean-Vlasov equationsregularity of invariant measureslocal stochastic volatilityMarkovian projection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Nonlinear elliptic equations (35J60) Fokker-Planck equations (35Q84)

Related Items (12)

Calibration of local‐stochastic volatility models by optimal transport ⋮ Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ Stationary solutions and local equations for interacting diffusions on regular trees ⋮ Parameter estimation of discretely observed interacting particle systems ⋮ ROUGH-HESTON LOCAL-VOLATILITY MODEL ⋮ Impulse control of conditional McKean-Vlasov jump diffusions ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures ⋮ A general framework for a joint calibration of VIX and VXX options ⋮ A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models ⋮ Markovian projections for Itô semimartingales with jumps ⋮ From Bachelier to Dupire via optimal transport

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