Related papers: Density functions in high-dimensional basket optio…
While in principle exact, Kohn-Sham density functional theory -- the workhorse of computational chemistry -- must rely on approximations for the exchange-correlation functional. Despite staggering successes, present-day approximations still…
We consider approximation properties of real points by uniformly distributed sequences. Under some assumptions on the approximation functions, we prove a Khintchine-type $0$-$1$ dichotomy law. We establish a new connection between uniform…
The Weyl-Wigner representation of quantum mechanics allows one to map the density operator in a function in phase space - the Wigner function - which acts like a probability distribution. In the context of statistical mechanics, this…
We introduce a novel conditional density estimation model termed the conditional density operator (CDO). It naturally captures multivariate, multimodal output densities and shows performance that is competitive with recent neural…
Estimation of density derivatives is a versatile tool in statistical data analysis. A naive approach is to first estimate the density and then compute its derivative. However, such a two-step approach does not work well because a good…
We propose approximations which go beyond the local density approximation for the short-range exchange and correlation density functionals appearing in a multi-determinantal extension of the Kohn-Sham scheme. A first approximation consists…
We present a metric-space approach to quantify the performance of density-functional approximations for interacting many-body systems and to explore the validity of the Hohenberg-Kohn-type theorem on fermionic lattices. This theorem…
Density regression provides a flexible strategy for modeling the distribution of a response variable $Y$ given predictors $\mathbf{X}=(X_1,\ldots,X_p)$ by letting that the conditional density of $Y$ given $\mathbf{X}$ as a completely…
We propose a new type of effective densities via the potential distribution theorem. These densities are for the sake of enabling the mapping of the free energy of a uniform fluid onto that of a nonuniform fluid. The potential distribution…
We define a general method for finding a quasi-best approximant in sup-norm to a target density belonging to a given model, based on independent samples drawn from distributions which average to the target (which does not necessarily belong…
The Sutherland approximation to the van der Waals forces is applied to the derivation of a self-consistent Vlasov-type field in a liquid filling a half space, bordering vacuum. The ensuing Vlasov equation is then derived, and solved to…
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
This paper proposes a novel numerical method for computing the density of the limit random variable associated with a supercritical Galton-Watson process. This random variable captures the effect of early demographic fluctuations and…
In this article, we study the rate of convergence of prices when a model is approximated by some simplified model. We also provide a method how explicit error formula for more general options can be obtained if such formula is available for…
The density of polynomials in a weighted space of infinitely differentiable functions in a multidimensional real space is proved under minimal conditions on weight functions and on differences between weight functions. We apply this result…
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We…
Kohn-Sham (KS) density functional theory (DFT) is a very efficient method for calculating various properties of solids as, for instance, the total energy, the electron density, or the electronic band structure. The KS-DFT method leads to…
We introduce a new density for the representation of quantum states on phase space. It is constructed as a weighted difference of two smooth probability densities using the Husimi function and first-order Hermite spectrograms. In contrast…