Occupied processes augment Markov processes with occupation flows to enable Markovian lifts and an Ito calculus for path-dependent PDEs where occupation acts as time.
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The LOV model auto-calibrates to European vanilla options and adds tunable path-dependent volatility effects via an occupation sensitivity function.
Cylindrical projections approximate infinite-dimensional occupation flows in occupied diffusions, achieving strong convergence with rates and enabling simulations for self-interacting diffusions and the LOV financial model.
citing papers explorer
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Occupied Processes: Going with the Flow
Occupied processes augment Markov processes with occupation flows to enable Markovian lifts and an Ito calculus for path-dependent PDEs where occupation acts as time.
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Pricing with Passion: The Local Occupied Volatility (LOV) Model
The LOV model auto-calibrates to European vanilla options and adds tunable path-dependent volatility effects via an occupation sensitivity function.
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Cylindrical Projections of Occupied Diffusions
Cylindrical projections approximate infinite-dimensional occupation flows in occupied diffusions, achieving strong convergence with rates and enabling simulations for self-interacting diffusions and the LOV financial model.