Browsing BI Open by Author "Harang, Fabian Andsem"
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Distribution dependent SDEs driven by fractional Brownian motion with singular coefficients
Harang, Fabian Andsem; Mayorcas, Avi; Galeati, Lucio (Peer reviewed; Journal article, 2022)We study distribution dependent stochastic differential equations with irregular, possibly distributional drift, driven by an additive fractional Brownian motion of Hurst parameter H∈(0,1). We establish strong well-posedness ... -
Dynamic spending and portfolio decisions with a soft social norm
Mork, Knut Anton; Harang, Fabian Andsem; Trønnes, Haakon Andreas; Bjerketvedt, Vegard Skonseng (Peer reviewed; Journal article, 2023)We explore the implications of a preference ordering for an investor-consumer with a strong preference for keeping consumption above an exogenous social norm, but who is willing to tolerate occasional dips below it. We do ... -
Non-linear Young equations in the plane and pathwise regularization by noise for the stochastic wave equation
Harang, Fabian Andsem; Bechtold, Florian; Rana, Nimit (Peer reviewed; Journal article, 2023)We study pathwise regularization by noise for equations on the plane in the spirit of the framework outlined by Catellier and Gubinelli (Stoch Process Appl 126(8):2323– 2366, 2016). To this end, we extend the notion of ... -
Regularity of Local Times Associated with Volterra–Lévy Processes and Path-Wise Regularization of Stochastic Differential Equations
Harang, Fabian Andsem; Ling, Chengcheng (Journal article; Peer reviewed, 2021)We investigate the space-time regularity of the local time associated with Volterra–Lévy processes, including Volterra processes driven by α-stable processes for α∈(0,2]. We show that the spatial regularity of the local ... -
Volterra Equations Driven by Rough Signals 3: Probabilistic Construction of the Volterra Rough Path for Fractional Brownian Motions
Harang, Fabian Andsem; Wang, Xiaohua; Tindel, Samy (Peer reviewed; Journal article, 2023)Based on the recent development of the framework of Volterra rough paths (Harang and Tindel in Stoch Process Appl 142:34–78, 2021), we consider here the probabilistic construction of the Volterra rough path associated to ...