As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

Stochastic processes and duality relations constitute a fundamental framework in the study of interacting particle systems, offering a powerful methodology to disentangle complex dynamics. At its core ...

Brazilian Journal of Probability and Statistics, Vol. 34, No. 3 (2020), pp. 658-684 (27 pages) The existence of an invariant probability measure is proven for a class of solutions of stochastic ...

This course provides doctoral students the foundations of applied probability and stochastic modeling. The first part of the course covers basic concepts in probability, such as the Borel Cantelli ...

The Annals of Probability, Vol. 1, No. 4 (Aug., 1973), pp. 674-689 (16 pages) This paper shows that the epsilon entropy in the sup norm of a wide variety of processes with continuous paths on the unit ...

Several vendors are rolling out next-generation inspection systems and software that locates problematic defects in chips caused by processes in extreme ultraviolet (EUV) lithography. Each defect ...