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In a series of recent papers Barndorff-Nielsen and Shephard introduce an attractive class of continuous time stochastic volatility models for financial assets where the volatility processes are functions of positive Ornstein-Uhlenbeck(OU)…
In this work we investigate the long-time behavior, that is the existence and characterization of invariant measures as well as convergence of transition probabilities, for Markov processes obtained as the unique mild solution to stochastic…
There is currently a gap in theory for point patterns that lie on the surface of objects, with researchers focusing on patterns that lie in a Euclidean space, typically planar and spatial data. Methodology for planar and spatial data thus…
Using the principles of the ETH - Approach to Quantum Mechanics we study fluorescence and the phenomenon of ``quantum jumps'' in idealized models of atoms coupled to the quantized electromagnetic field. In a limiting regime where the…
In the framework inspired by R. L. Hughes model (Transp. Res. B, 2002) for pedestrian evacuation in a corridor, we establish existence of a solution by a topological fixed point argument. This argument applies to a class of models where the…
The dynamical equations describing the evolution of a self-gravitating fluid can be rewritten in the form of a Schrodinger equation coupled to a Poisson equation determining the gravitational potential. This wave-mechanical representation…
Dynamics of a self-gravitating shell of matter is derived from the Hilbert variational principle and then described as an (infinite dimensional, constrained) Hamiltonian system. A method used here enables us to define singular Riemann…
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…
The Wheeler-DeWitt equation for the Bianchi Class A cosmological models is expressed generally in terms of the second-order differential equation like the Klein-Gordon equation. To obtain the positive-definite probability density, a new…
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a…
In this paper, we present a first-order finite element scheme for the viscoelastic electrohydrodynamic model. The model incorporates the Poisson-Nernst-Planck equations to describe the transport of ions and the Oldroyd-B constitutive model…
Non-homogeneous Poisson processes are used in a wide range of scientific disciplines, ranging from the environmental sciences to the health sciences. Often, the central object of interest in a point process is the underlying intensity…
We suggest kinetic models of dissipation for an ensemble of interacting oriented particles, for example, moving magnetized particles. This is achieved by introducing a double bracket dissipation in kinetic equations using an oriented…
We study the barotropic compressible Navier-Stokes system where the shear viscosity is a positive constant and the bulk one proportional to a power of the density with the power bigger than one and a third. The system is subject to the…
Billera-Holmes-Vogtmann (BHV) tree space is a geodesic metric space of edge-weighted phylogenetic trees with a fixed leaf set. Constructing parametric distributions on this space is challenging due to its non-Euclidean geometry and the…
This article studies the existence of long-time solutions to the Hamiltonian boundary value problem, and their consistent numerical approximation. Such a boundary value problem is, for example, common in Molecular Dynamics, where one aims…
Sufficient and necessary conditions are presented for the order-preservation of stochastic functional differential equations on $\R^d$ with non-Lipschitzian coefficients driven by the Brownian motion and Poisson processes. The sufficiency…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
In the present work, we consider a variety of two-component, one-dimensional states in nonlinear Schrodinger equations in the presence of a parabolic trap, inspired by the atomic physics context of Bose-Einstein condensates. The use of…
We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the…