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The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma<1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of…
This paper establishes three properties of F-statistics for inference about the mean vector in multiple regression and analysis of variance. The extra SSE due to imposing a set of linear conditions on the model tests the estimable part of…
This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic differential equations, is solved through Monte Carlo…
The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a…
A two-fold singularity is a point on a discontinuity surface of a piecewise-smooth vector field at which the vector field is tangent to the surface on both sides. Due to the double tangency, forward evolution from a two-fold is typically…
We study stochastic volatility models in which the volatility process is a function of a continuous fractional stochastic process, which is an integral transform of the solution of an SDE satisfying the Yamada-Watanabe condition. We…
We consider delay differential equations (DDE) that are on the verge of an instability, i.e. the characteristic equation for the linearized equation has one root as zero and all other roots have negative real parts. In presence of small…
The skew-stickiness-ratio (SSR), examined in detail by Bergomi in his book, is critically important to options traders, especially market makers. We present a model-free expression for the SSR in terms of the characteristic function. In the…
We propose and analyse a new Milstein type scheme for simulating stochastic differential equations (SDEs) with highly nonlinear coefficients. Our work is motivated by the need to justify multi-level Monte Carlo simulations for…
For solving unsteady hyperbolic conservation laws on cut cell meshes, the so called small cell problem is a big issue: one would like to use a time step that is chosen with respect to the background mesh and use the same time step on the…
We demonstrate that the rapidity and robustness of slow contraction in homogenizing and flattening the universe found in simulations in which the initial conditions were restricted to non-perturbative variations described by a single…
Analyticity and unitarity techniques are employed to obtain bounds on the shape parameters of the scalar and vector form factors of semileptonic $K_{l3}$ decays. For this purpose we use vector and scalar correlators evaluated in pQCD, a low…
Fractional diffusion equations (FDEs) are a mathematical tool used for describing some special diffusion phenomena arising in many different applications like porous media and computational finance. In this paper, we focus on a…
Finite element simulations have been used to solve various partial differential equations (PDEs) that model physical, chemical, and biological phenomena. The resulting discretized solutions to PDEs often do not satisfy requisite physical…
In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula for the expected squared hedging error…
Meson decays are considered within the constituent quark model, making use of the dispersion formulation of the model: Starting with spacelike momentum transfers $q$, meson transition form factors are expressed as relativistic invariant…
The Special Affine Fourier Transformation(SAFT), which generalizes several well-known unitary transformations, has been demonstrated as a valuable tool in signal processing and optics. In this paper, we explore the multivariate dynamical…
Scalar fields on the bulk side of AdS/CFT correspondence can be assigned unconventional boundary conditions, related to the conventional one by Legendre transform. One can further perform double trace deformations which relate the two…
Non-conservative loads of the follower type are usually believed to be the source of dynamic instabilities such as flutter and divergence. It is shown that these instabilities (including Hopf bifurcation, flutter, divergence, and…
We establish necessary and sufficient conditions for stochastic invariance of closed subsets in Hilbert spaces for solutions to infinite-dimensional stochastic differential equations (SDEs) under mild assumptions on the coefficients. Our…