Related papers: Negative volatility for a 2-dimensional square roo…
We evaluate the dynamic structure factor $S(q,\omega)$ of a one-dimensional quantum Hamiltonian with the inverse-square interaction (Calogero-Sutherland model). For a fixed small $q$, the structure factor differs from zero in a finite…
Consider a multidimensional SDE of the form $X_t = x+\int_{0}^{t} b(X_{s-})ds+\int{0}^{t} f(X_{s-})dZ_s$ where $(Z_s)_{s\ge 0}$ is a symmetric stable process. Under suitable assumptions on the coefficients the unique strong solution of the…
In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting process with a stochastic mean-reversion level. The model…
The Discrete Nonlinear Schroedinger Equation with a random potential in one dimension is studied as a dynamical system. It is characterized by the length, the strength of the random potential and by the field density that determines the…
We study the scaling properties of two-dimensional turbulence using dimensional analysis. In particular, we consider the energy spectrum both at large and small scales and in the "inertial ranges" for the cases of freely decaying and forced…
In this work we investigate the statistical mechanics of a family of two dimensional (2D) fluid flows, described by the generalized Euler equations, or $\alpha$-models. These models describe both nonlocal and local dynamics, with one…
Critical relaxation from a low-temperature fully ordered state of Fe2/V13 iron-vanadium magnetic superlattice models has been studied using the method of short-time dynamics. Systems with three variants of the ratio R of inter- to…
Codimension two defects of the $(0,2)$ six dimensional theory $\mathscr{X}[\mathfrak{j}]$ have played an important role in the understanding of dualities for certain $\mathcal{N}=2$ SCFTs in four dimensions. These defects are typically…
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose instantaneous covariance is given by a pure-jump stochastic…
The decay of a general time dependent structure factors is considered. The dynamics is that of stochastic field equations of the Langevin type, where the systematic generalized force is a functional derivative of some classical field…
We analyze, from the viewpoint of positivity preservation, certain discretizations of a fundamental partial differential equation, the one-dimensional advection equation with periodic boundary condition. The full discretization is obtained…
For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We…
There are two $R$-factors frequently used in the phenomenology of exclusive processes at small values of the Bjorken $x$ variable. One $R$-factor takes into account the effects of non-zero longitudinal momentum transfer, which is assumed to…
We determine the space-dependent source term for a two-parameter fractional diffusion problem subject to nonlocal non-self-adjoint boundary conditions and two local time-distinct datum. A bi-orthogonal pair of bases is used to construct a…
We study the Hull-White model for the term structure of interest rates in the presence of volatility uncertainty. The uncertainty about the volatility is represented by a set of beliefs, which naturally leads to a sublinear expectation and…
A binary vector of length $N$ has elements that are either 0 or 1. We investigate the question of whether and how a binary vector of known length can be reconstructed from a limited set of its discrete Fourier transform (DFT) coefficients.…
Characterizing in a constructive way the set of real functions whose Fourier transforms are positive appears to be yet an open problem. Some sufficient conditions are known but they are far from being exhaustive. We propose two constructive…
Friction decoupling, i.e. the computation of friction vector components making separate use of the corresponding velocity components, is common in staggered grid models of the SWE simplifications (Zero-Inertia and Local Inertia…
We extend the recent formalism developed for computing rapidity anomalous dimension of form factors using unitarity to the problem of high-energy near forward scattering. By combining the factorization of $2\rightarrow 2$ scattering in the…
Here we demonstrate how we can use Small Volatility Approximation in calibration of Multi-Factor HJM model with deterministic correlations, factor volatilities and mean reversals. It is noticed that quality of this calibration is very good…