David Ruiz Banos

• Amine, Oussama; Baños, David & Proske, Frank Norbert (2024). C∞-Regularization by Noise of Singular ODE’s. Journal of Dynamics and Differential Equations. ISSN 1040-7294. doi: 10.1007/s10884-024-10355-w.
• Amine, Oussama; Baños, David Ruiz & Proske, Frank Norbert (2024). C-infinity-regularization by Noise of Singular ODE's. Journal of Dynamics and Differential Equations. ISSN 1040-7294. Fulltekst i vitenarkiv
• Banos, David Ruiz; Sande, Åsmund Hausken & Sgarra, Carlo (2023). Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration. North American Actuarial Journal (NAAJ). ISSN 1092-0277. doi: 10.1080/10920277.2023.2254836. Fulltekst i vitenarkiv
• Baños, David; Bauer, Martin; Meyer-Brandis, Thilo & Proske, Frank Norbert (2023). Restoration of Well-Posedness of Infinite-Dimensional Singular ODE’s via Noise. Potential Analysis. ISSN 0926-2601. doi: 10.1007/s11118-023-10069-6. Fulltekst i vitenarkiv
• Baños, David; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2021). Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise. Journal of theoretical probability. ISSN 0894-9840. doi: 10.1007/s10959-021-01084-7. Fulltekst i vitenarkiv
• Amine, Oussama; Baños, David & Proske, Frank Norbert (2020). Regularity properties of the stochastic flow of a skew fractional Brownian motion. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 0219-0257. 23(1). doi: 10.1142/S0219025720500058. Fulltekst i vitenarkiv
• Baños, David; Lagunas, Marc & Ortiz-Latorre, Salvador (2020). Variance and interest rate risk in unit-linked insurance policies. Risks. ISSN 2227-9091. 8(3). doi: 10.3390/risks8030084. Fulltekst i vitenarkiv
• Baños, David; Bauer, Martin; Meyer-Brandis, Thilo & Proske, Frank Norbert (2019). Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise. arXiv.org. ISSN 2331-8422. Fulltekst i vitenarkiv
• Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca & Røse, Elin Engen (2019). Stochastic systems with memory and jumps. Journal of Differential Equations. ISSN 0022-0396. 266(9), s. 5772–5820. doi: 10.1016/j.jde.2018.10.052. Fulltekst i vitenarkiv
• Banos, David; Bølviken, Erik; Duedahl, Sindre & Proske, Frank Norbert (2019). Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes. Scandinavian Actuarial Journal. ISSN 0346-1238. doi: 10.1080/03461238.2019.1636858. Fulltekst i vitenarkiv Vis sammendrag

  In this paper we aim at modeling stochastic transition rates of state processes in life insurance by using generalized Cox processes. A feature of a our non-Gaussian model is that it can be used to capture ‘regime switching’ effects of data which may be due to regulatory changes in insurance markets or external ‘shocks’ caused e.g. by an economical crisis, natural disasters or epidemics. We propose a method how to estimate the unknown parameters of our model for stochastic transition rates from insurance data by using non-linear filtering techniques for Lévy processes. As a result we also obtain an explicit formula for the unnormalized density of a filtering problem with singular coefficients.

• Baños, David Ruiz; Nilssen, Torstein Kastberg & Proske, Frank Norbert (2019). Strong Existence and Higher Order Fréchet Differentiability of Stochastic Flows of Fractional Brownian Motion Driven SDEs with Singular Drift. Journal of Dynamics and Differential Equations. ISSN 1040-7294. 32, s. 1819–1866. doi: 10.1007/s10884-019-09789-4. Fulltekst i vitenarkiv Vis sammendrag

  In this paper we present a new method for the construction of strong solutions of SDE’s with merely integrable drift coefficients driven by a multidimensional fractional Brownian motion with Hurst parameter H<1/2. Furthermore, we prove the rather surprising result of the higher order Fréchet differentiability of stochastic flows of such SDE’s in the case of a small Hurst parameter. In establishing these results we use techniques from Malliavin calculus combined with new ideas based on a “local time variational calculus”. We expect that our general approach can be also applied to the study of certain types of stochastic partial differential equations as e.g. stochastic conservation laws driven by rough paths.

• Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2018). Stochastic functional differential equations and sensitivity to their initial path. I Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (Red.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 978-3-030-01592-3. s. 37–70. doi: 10.1007/978-3-030-01593-0_2. Vis sammendrag

  The Abel Symposia volume at hand contains a collection of high-quality articles written by the world’s leading experts, and addressing all mathematicians interested in advances in deterministic and stochastic dynamical systems, numerical analysis, and control theory. In recent years we have witnessed a remarkable convergence between individual mathematical disciplines that approach deterministic and stochastic dynamical systems from mathematical analysis, computational mathematics and control theoretical perspectives. Breakthrough developments in these fields now provide a common mathematical framework for attacking many different problems related to differential geometry, analysis and algorithms for stochastic and deterministic dynamics. In the Abel Symposium 2016, which took place from August 16-19 in Rosendal near Bergen, leading researchers in the fields of deterministic and stochastic differential equations, control theory, numerical analysis, algebra and random processes presented and discussed the current state of the art in these diverse fields. The current Abel Symposia volume may serve as a point of departure for exploring these related but diverse fields of research, as well as an indicator of important current and future developments in modern mathematics.

• Amine, Oussama; Banos, David & Proske, Frank Norbert (2018). Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion. arXiv.org. ISSN 2331-8422. doi: 10.1142/s0219025720500058.
• Baños, David Ruiz; Duedahl, Sindre; Meyer-Brandis, Thilo & Proske, Frank Norbert (2018). Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle. Annales de l'I.H.P. Probabilites et statistiques. ISSN 0246-0203. 54(3), s. 1464–1491. doi: 10.1214/17-AIHP845. Fulltekst i vitenarkiv
• Baños, David Ruiz (2018). The Bismut-Elworthy-Li formula for mean-field stochastic differential equations. Annales de l'I.H.P. Probabilites et statistiques. ISSN 0246-0203. 54(1), s. 220–233. doi: 10.1214/16-AIHP801.
• Baños, David Ruiz; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Strong Uniqueness of Singular Stochastic Delay Equations. arXiv.org. ISSN 2331-8422.
• Baños, David Ruiz; Meyer-Brandis, Thilo; Proske, Frank Norbert & Duedahl, Sindre (2017). Computing Deltas without Derivatives. Finance and Stochastics. ISSN 0949-2984. 21(2), s. 509–549. doi: 10.1007/s00780-016-0321-3. Fulltekst i vitenarkiv
• Baños, David Ruiz & Krühner, Paul (2017). Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients. Stochastic Processes and their Applications. ISSN 0304-4149. 127(6), s. 1785–1799. doi: 10.1016/j.spa.2016.09.015.
• Baños, David Ruiz & Krühner, Paul (2016). Optimal density bounds for marginals of Itô processes. Communications on Stochastic Analysis. ISSN 0973-9599. 10(2), s. 131–150. doi: 10.31390/cosa.10.2.01.
• Baños, David Ruiz & Nilssen, Torstein Kastberg (2016). Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. 88(4), s. 540–566. doi: 10.1080/17442508.2015.1102265.

Se alle arbeider i Cristin

• Zamora Font, Oriol; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: Change of measure and Thiele's PIDE.
• Zamora Font, Oriol; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes Stochastic Volatility Model: Change of Measure and Forward Variance.
• Zamora Font, Oriol; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: change of measure and forward variance.
• Baños, David Ruiz; Ortiz-Latorre, Salvador; Pilipenko, Andrey & Proske, Frank Norbert (2017). Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise.
• Nilssen, Torstein Kastberg; Baños, David Ruiz & Proske, Frank Norbert (2016). Strong Existence and higher order differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift.

Se alle arbeider i Cristin