Related papers: The explicit Laplace transform for the Wishart pro…
Variational formulas for the Laplace transform of the exit time from an open set of a Hunt process generated by a regular lower bounded semi-Dirichlet form are established. While for symmetric Markov processes, variational formulas are…
Two-way relationships between transformations and quadratic forms on Wiener spaces are investigated with the help of change of variables formulas on Wiener spaces. Further the evaluation of Laplace transforms of quadratic forms via Riccati…
In this paper, we resort to the Laplace transform method in order to show its efficiency when approaching some types of fractional differential equations. In particular, we present some applications of such methods when applied to possible…
We discuss the notion of reduction of a special type of explicit solutions which generalize the solutions appearing in the classical Laplace cascade method of integration of hyperbolic equations of the second order in the plane. We give…
We suggest a novel approach for the efficient and reliable approximation of the Pareto front of sufficiently smooth unconstrained bi-criteria optimization problems. Optimality conditions formulated for weighted sum scalarizations of the…
This paper introduces a novel approach to address inherent limitations in the Residual Power Series (RPS) method and its variants with Laplace-like transforms when applied to solving time-fractional differential equations. Existing methods,…
In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and Thom\'ee (IMA J. Numer. Anal., 2003) to solve the Black-Scholes equation. The algorithm is of arbitrary high convergence rate and naturally…
Electro-quasistatic field problems involving nonlinear materials are commonly discretized in space using finite elements. In this paper, it is proposed to solve the resulting system of ordinary differential equations by an explicit…
In this paper, we introduce a Laplace-type integral transform called the Shehu transform which is a generalization of the Laplace and the Sumudu integral transforms for solving differential equations in the time domain. The proposed…
In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…
The inverse Laplace transform can turn a linear differential equation on a complex domain into an equivalent Volterra integral equation on a real domain. This can make things simpler: for example, a differential equation with irregular…
We introduce a quantum algorithm to perform the Laplace transform on quantum computers. Already, the quantum Fourier transform (QFT) is the cornerstone of many quantum algorithms, but the Laplace transform or its discrete version has not…
The classical Talbot method for the computation of the inverse Laplace transform is improved for the case where the transform is analytic in the complex plane except for the negative real axis. First, by using a truncated Talbot contour…
Linearly implicit Runge-Kutta methods with approximate matrix factorization can solve efficiently large systems of differential equations that have a stiff linear part, e.g. reaction-diffusion systems. However, the use of approximate…
This work deals with the simulation of Wishart processes and affine diffusions on positive semidefinite matrices. To do so, we focus on the splitting of the infinitesimal generator, in order to use composition techniques as Ninomiya and…
A novel class of explicit high-order energy-preserving methods are proposed for general Hamiltonian partial differential equations with non-canonical structure matrix. When the energy is not quadratic, it is firstly done that the original…
Recently, it was found that a new set of simple techniques allow one to conveniently express ordinary integrals through differentiation. These techniques add to the general toolbox for integration and integral transforms such as the Fourier…
We study existence, uniqueness and regularity of solutions for linear equations in infinitely many derivatives. We develop a natural framework based on Laplace transform as a correspondence between appropriate $L^p$ and Hardy spaces: this…
Applied to the master equation, the usual numerical integration methods, such as Runge-Kutta, become inefficient when the rates associated with various transitions differ by several orders of magnitude. We introduce an integration scheme…
This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixture, in particular a more efficient volatility estimation…