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This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the…
A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…
We discuss the application of multistep collocation methods to Volterra integral equations which contain a weakly singular kernel $(t-\tau)^{\alpha-1}$ with $0 <\alpha <1.$ Convergence orders of the methods are determined and their…
We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…
The Hirota bilinear formalism and soliton solutions for a generalized Volterra system is presented. Also, starting from the soliton solutions, we obtain a class of nonsingular rational solutions using the "long wave" limit procedure of…
This paper presents a modified iterative approach to solve the variational inequality problem using the double inertial technique in the context of a real Hilbert space. Our iterative technique involves a projection onto a generalized…
Considering the coupled envelope equations in nonlinear couplers, the question of integrability is attempted. It is explicitly shown that Hirota's bilinear method is one of the simple and alternative techniques to Painlev\'e analysis to…
The systems of nonlinear Volterra integral equations of the first kind with jump discontinuous kernels are studied. The iterative numerical method for such nonlinear systems is proposed. Proposed method employs the modified…
In this paper the local order of convergence used in iterative methods to solve nonlinear systems of equations is revisited, where shorter alternative analytic proofs of the order based on developments of multilineal functions are shown.…
The concept of extended Hamiltonian systems allows the geometrical interpretation of several integrable and superintegrable systems with polynomial first integrals of degree depending on a rational parameter. Until now, the procedure of…
We present a new numerical multiscale integrator for stiff and highly oscillatory dynamical systems. The new algorithm can be seen as an improved version of the seamless Heterogeneous Multiscale Method by E, Ren, and Vanden-Eijnden and the…
We prove a law of large numbers and functional central limit theorem for a class of multivariate Hawkes processes with time-dependent reproduction rate. We address the difficulties induced by the use of non-convolutive Volterra processes by…
We compare exponential-type integrators for the numerical time-propagation of the equations of motion arising in the multi-configuration time-dependent Hartree-Fock method for the approximation of the high-dimensional multi-particle…
We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated…
We investigate existence of solitonic solutions for higher-order partial differential equations with polynomial nonlinearities. Using the Hirota method we obtain classification for higher-order integrable systems of equations.
In this paper we present an extension of standard iterative splitting schemes to multiple splitting schemes for solving higher order differential equations. We are motivated by dynamical systems, which occur in dynamics of the electrons in…
Bilinearization of a given nonlinear partial differential equation is very important not only to find soliton solutions but also to obtain other solutions such as the complexitons, positons, negatons, and lump solutions. In this work we…
The main focus of this paper is to approximate time series data based on the closed-loop Volterra series representation. Volterra series expansions are a valuable tool for representing, analyzing, and synthesizing nonlinear dynamical…
A multi-step extended maximum residual Kaczmarz method is presented for the solution of the large inconsistent linear system of equations by using the multi-step iterations technique. Theoretical analysis proves the proposed method is…
This paper focuses on the strong convergence of the truncated $\theta$-Milstein method for a class of nonautonomous stochastic differential delay equations whose drift and diffusion coefficients can grow polynomially. The convergence rate,…