Stochastic analysis and modelling encapsulate a rich field that combines rigorous probability theory with analytical tools to capture and forecast the behaviour of systems influenced by inherent ...

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both the ...