Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. In this paper, we break through this barrier and present Quant GANs, a data-driven model which is inspired by the recent success of generative adversarial networks (GANs). Quant GANs consist of a generator and discriminator function which utilize temporal convolutional networks (TCNs) and thereby achieve to capture longer-ranging dependencies such as the presence of volatility clusters. Furthermore, the generator function is explicitly constructed such that the induced stochastic process allows a transition to its risk-neutral distribution. Our numerical results highlight that distributional properties for small and large lags are in an excellent agreement and dependence properties such as volatility clusters, leverage effects, and serial autocorrelations can be generated by the generator function of Quant GANs, demonstrably in high fidelity.

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We study two properties of semigroups of sub-Markov kernels, namely uniform conditional ergodicity and intrinsic ultracontractivity. In this paper we investigate the relationship between these two properties and we provide sufficient criteria as well as characterisations of them. In particular, our considerations show that, under suitable assumptions, the second property implies the first one. We also introduce a property called compact domination and show how this property and the parabolic boundary Harnack principle are related to the aforementioned properties. Furthermore, we apply these results in some special cases.

We consider a homogeneous fragmentation process with killing at an exponential barrier. With the help of two families of martingales we analyse the decay of the largest fragment for parameter values that allow for survival. In this respect the present paper is also concerned with the probability of extinction of the killed process.We begin our exposition by briefly reviewing what is meant by a homogeneous fragmentation process, thereby introducing some notation.

In this paper we study processes which are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred Lévy process, which covers the popular class of fractional Lévy processes. As a main result we show that, under appropriate assumptions on the kernel and the martingale, the maximum process of the corresponding 'convoluted martingale' is p-integrable and we derive maximal inequalities in terms of the kernel and of the moments of the driving martingale.in terms of the kernel and the L p (P)-norm of the driving martingale. Let us illustrate our results for the case of a fractional Lévy process