Related papers: Heat Kernel Interest Rate Models with Time-Inhomog…
Point process data are becoming ubiquitous in modern applications, such as social networks, health care, and finance. Despite the powerful expressiveness of the popular recurrent neural network (RNN) models for point process data, they may…
Among the available perturbative approaches in quantum field theory, heat kernel techniques provide a powerful and geometrically transparent framework for computing effective actions in nontrivial backgrounds. In this work, resummation…
Up to now, the nonparametric analysis of multidimensional continuous-time Markov processes has focussed strongly on specific model choices, mostly related to symmetry of the semigroup. While this approach allows to study the performance of…
Let $Z=(Z^{1}, \ldots, Z^{d})$ be the $d$-dimensional L\'evy processes where $Z^{i}$'s are independent $1$-dimensional L\'evy processes with jump kernel $J^{\phi, 1}(u,w) =|u-w|^{-1}\phi(|u-w|)^{-1}$ for $u, w\in \mathbb R$. Here $\phi$ is…
We present on-diagonal heat kernel estimates and quantitative homogenization statements for the one-dimensional Bouchaud trap model. The heat kernel estimates are obtained using standard techniques, with key inputs coming from a careful…
Recently proposed encoder-decoder structures for modeling Hawkes processes use transformer-inspired architectures, which encode the history of events via embeddings and self-attention mechanisms. These models deliver better prediction and…
Renewable energy is essential for energy security and global warming mitigation. However, power generation from renewable energy sources is uncertain due to volatile weather conditions and complex equipment operations. To improve…
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each…
We outline a mathematical model for pricing hydropower generation. The model involves a Markov decision process that reflects the seasonal variation in historical time series of water inflows. The procedure is computationally efficient and…
In this paper, we establish existence and uniqueness of weak solutions to general time fractional equations and give their probabilistic representations. We then derive sharp two-sided estimates for fundamental solutions of a family of time…
In this paper we study the transition densities for a large class of non-symmetric Markov processes whose jumping kernels decay exponentially or subexponentially. We obtain their upper bounds which also decay at the same rate as their…
We study the self-similar behavior of the exchange-driven growth model, which describes a process in which pairs of clusters, consisting of an integer number of monomers, interact through the exchange of a single monomer. The rate of…
Using time dependent Lyapunov functions, we prove pointwise upper bounds for the heat kernels of some nonautonomous Kolmogorov operators with possibly unbounded drift and diffusion coefficients and a possibly unbounded potential term.
The main results of the article are short time estimates and asymptotic estimates for the first two order derivatives of the logarithmic heat kernel of a complete Riemannian manifold. We remove all curvature restrictions and also develop…
The heat kernel expansion is a very convenient tool for studying one-loop divergences, anomalies and various asymptotics of the effective action. The aim of this report is to collect useful information on the heat kernel coefficients…
A nonhomogeneous hidden semi-Markov model is proposed to segment toroidal time series according to a finite number of latent regimes and, simultaneously, estimate the influence of time-varying covariates on the process' survival under each…
Semi-Markov processes generalize Markov processes by adding temporal memory effects as expressed by a semi-Markov kernel. We recall the path weight for a semi-Markov trajectory and the fact that thermodynamic consistency in equilibrium…
This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participants. Using the conditional Hessian, we examine whether the…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To achieve this, we employ the Martin integral representation of…