Related papers: On some expectation and derivative operators relat…
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an…
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Sch\"obel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models…
We establish some weighted $L^2$ estimates for the Fourier extension operator in $\mathbb{R}^2$ and discuss several applications to $L^p$ problems. These include estimates for the maximal Schr\"odinger operator and the maximal extension…
We present a unified operator-theoretic framework for stochastic calculus based on the factorization (Id - E)F = {\delta}_X {\Pi}_X D_X F, valid for F_T^X-measurable F in L^2({\Omega}) when the driving process X has the representation…
We study representations of a random variable $\xi$ as an integral of an adapted process with respect to the Lebesgue measure. The existence of such representations in two different regularity classes is characterized in terms of the…
Quantum Mechanics and Signal Processing in the line R, are strictly related to Fourier Transform and Weyl-Heisenberg algebra. We discuss here the addition of a new discrete variable that measures the degree of the Hermite functions and…
We prove a variable coefficient version of the square function estimate of Guth--Wang--Zhang. By a classical argument of Mockenhaupt--Seeger--Sogge, it implies the full range of sharp local smoothing estimates for $2+1$ dimensional Fourier…
Derivatives and integration operators are well-studied examples of linear operators that commute with scaling up to a fixed multiplicative factor; i.e., they are scale-invariant. Fractional order derivatives (integration operators) also…
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean…
First derivatives with respect to the parameters of the Whittaker function $\mathrm{W}_{\kappa ,\mu }\left( x\right) $ are calculated. Using the confluent hypergeometric function, these derivarives can be expressed as infinite sums of…
The aim of this paper is to show some examples of matrix-valued orthogonal functions on the real line which are simultaneously eigenfunctions of a second-order differential operator of Schr\"{o}dinger type and an integral operator of…
An analogue of the Fourier transform will be introduced for all square integrable continuous martingale processes whose quadratic variation is deterministic. Using this transform we will formulate and prove a stochastic Heisenberg…
Let H be a Schrodinger operator on the real line, where the potential is in L^1 and L^2. We define the perturbed Fourier transform F for H and show that F is an isometry from the absolute continuous subspace onto L^2. This property allows…
The purpose of this paper is to obtain an integral representation for the difference $f(L_1)-f(L_2)$ of functions of maximal dissipative operators. This representation in terms of double operator integrals will allow us to establish…
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$ of $\eta$. We give a Clark-Ocone type…
Explicit expressions are proven for derivatives of the ratio of a determinant or Pfaffian determinant and a Vandermonde determinant. Such ratios appear for example in general group integrals of Harish-Chandra--Itzykson--Zuber type and in…
Diffusive representations of fractional differential and integral operators can provide a convenient means to construct efficient numerical algorithms for their approximate evaluation. In the current literature, many different variants of…
We propose an inference procedure for estimators defined by mathematical programming problems, focusing on the important special cases of linear programming (LP) and quadratic programming (QP). In these settings, the coefficients in both…
A new approach to multi-dimensional quantum scattering by the infinite order discrete variable representation is presented. Determining the expansion coefficients of the wave function at the asymptotic regions by the solution of the…
A global solution of the Schr\"odinger equation for explicitly time-dependent Hamiltonians is derived by integrating the non-linear differential equation associated with the time-dependent wave operator. A fast iterative solution method is…