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This paper provides necessary and sufficient conditions of optimality for variational problems that deal with a fractional derivative with respect to another function. Fractional Euler--Lagrange equations are established for the fundamental…
We consider a Markov additive process with a finite phase space and study its path decompositions at the times of extrema, first passage and last exit. For these three families of times we establish splitting conditional on the phase, and…
We introduce and study here a renewal process defined by means of a time-fractional relaxation equation with derivative order $\alpha(t)$ varying with time $t\geq0$. In particular, we use the operator introduced by Scarpi in the Seventies…
Let g : $\Omega$ = [0, 1] d $\rightarrow$ R denote a Lipschitz function that can be evaluated at each point, but at the price of a heavy computational time. Let X stand for a random variable with values in $\Omega$ such that one is able to…
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of…
We consider filtering for a continuous-time, or asynchronous, stochastic system where the full distribution over states is too large to be stored or calculated. We assume that the rate matrix of the system can be compactly represented and…
We present here a general iterative formula which gives a (formal) series expansion for the time autocorrelation of smooth dynamical variables, for all Hamiltonian systems endowed with an invariant measure. We add some criteria, theoretical…
We establish properties of a new type of fractal which has partial self similarity at all scales. For any collection of iterated functions systems with an associated probability distribution and any positive integer V there is a…
The problem of constructing a necessary and sufficient condition for establishing the separability of continuous variable systems is revisited. Simon [R. Simon, Phys. Rev. Lett. 84, 2726 (2000)] pointed out that such a criterion may be…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
We consider the so-called $\natural$-model. It is an one-default model which gives the conditional law of a random time with respect to a reference filtration. This model has been studied in the case where the parameters are continuous. In…
We consider a wide class of semi linear Hamiltonian partial differential equa- tions and their approximation by time splitting methods. We assume that the nonlinearity is polynomial, and that the numerical tra jectory remains at least uni-…
Click-through rate (CTR) prediction is a crucial task in online advertising to recommend products that users are likely to be interested in. To identify the best-performing models, rigorous model evaluation is necessary. Offline…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…
We consider the numerical integration of non-autonomous separable parabolic equations using high order splitting methods with complex coefficients (methods with real coefficients of order greater than two necessarily have negative…
We study the effect of a splitting operator S_t on the L^p norm of the Fourier transform of a function f and on the operator norm of a Fourier multiplier m. Most of our results assume p is an even integer, and are often stronger when f or m…
We define a fragment of metric first-order temporal logic formulas that guarantees the finiteness of their table representations. We extend our fragment's definition to cover the temporal dual operators trigger and release and show that our…
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe…
The paper begins with a novel variational formulation of Duffing equation using the extended framework of Hamilton's principle (EHP). This formulation properly accounts for initial conditions, and it recovers all the governing differential…
We study sums of a random multiplicative function; this is an example, of number-theoretic interest, of sums of products of independent random variables (chaoses). Using martingale methods, we establish a normal approximation for the sum…