$VOL volatility

Latest papers

1. Jump limits of continuous multiscale diffusions: Homogenization under heavy-tailed activity bursts math.PR · 14 Oct · 1 hit

   …apply the framework to Poisson resetting pulses, Ornstein--Uhlenbeck diffusions, and multiscale stochastic volatility.

2. Taking the PULSE of Medical Reasoning: Step-Level Retrieval Timing for Knowledge-Grounded Inference cs.CL · 14 Oct · 1 hit

   …Our posterior trajectory analysis reveals that erroneous steps exhibit substantially higher inter-layer volatility than correct ones, suggesting unstable internal knowledge. Based on this finding, PUlSE trains a…

3. Time-Inconsistent Singular Dividend Control with Regime Switching and Bankruptcy math.OC · 14 Oct · 1 hit

   …model with surplus-dependent coefficients. For a two-state model with constant positive drifts and volatilities and bi-exponential discounting, we prove the existence of a regime-dependent equilibrium barrier…

4. Beyond Time Induction: Structured Conditional Neural Solvers for Parametric Stochastic-Volatility Pricing cs.LG · 13 Oct · 2 hits

   …time-parameter conditioning and a joint residual pathway. We evaluate BeTINN on the Heston stochastic-volatility PDE, a demanding parametric problem with mixed derivatives and economically relevant first- and…

5. A GLE-LSV model with state-dependent leverage and colored noise q-fin.MF · 13 Oct · 3 hits

   We study a local stochastic volatility (LSV) model in which the variance factor follows a generalized Langevin equation (GLE) with…

6. Quantitative Convergence of Markov Equilibria for Time-Inconsistent Controlled Diffusions math.OC · 13 Oct · 1 hit

   …estimates through a two-norm dyadic Schauder argument despite the second-order coupling caused by controlled volatility. We also formulate a conditional transfer principle for structured polynomial-growth classes, with…

7. Structured SDEs for Realized GARCH: Continuous-Time Volatility Modelling and Component-Level Analysis q-fin.ST · 13 Oct · 3 hits

   We propose a structured continuous-time stochastic volatility model for one-day-ahead integrated-variance forecasting. The model introduces a jointly evolving…

8. Optimal transportation under McKean-Vlasov dynamics math.OC · 13 Oct · 1 hit

   …of stochastic transport problems under controlled McKean-Vlasov dynamics, allowing control of both drift and volatility, with weak terminal constraints. In contrast to the classical Schr\"odinger problem, the reference…