Related papers: Time-dependent Heston model
The statistical modeling of space-time extremes in environmental applications is key to understanding complex dependence structures in original event data and to generating realistic scenarios for impact models. In this context of…
In the analysis of highly-oscillatory evolution problems, it is commonly assumed that a single frequency is present and that it is either constant or, at least, bounded from below by a strictly positive constant uniformly in time. Allowing…
Hamiltonian lattice gauge models based on the assignment of the Heisenberg double of a Lie group to each link of the lattice are constructed in arbitrary space-time dimensions. It is shown that the corresponding generalization of the…
This paper presents an approach to modeling progressive event-history data when the overall objective is prediction based on time-dependent covariates. This approach does not model the hazard function directly. Instead, it models the…
Hagedorn functions are carefully constructed generalizations of Hermite functions to the setting of many-dimensional squeezed and coupled harmonic systems. Wavepackets formed by superpositions of Hagedorn functions have been successfully…
Motivated by recent problems in mathematical cosmology, in which temporal averaging methods are applied in order to analyze the future asymptotics of models which exhibit oscillatory behavior, we provide a theorem concerning the large-time…
We show that, by using the quantum orthogonal functions invariant, we are able to solve a coupled of time dependent harmonic oscillators where all the time dependent frequencies are arbitrary. We do so, by transforming the time dependent…
This paper proposes a novel test method for high-dimensional mean testing regard for the temporal dependent data. Comparison to existing methods, we establish the asymptotic normality of the test statistic without relying on restrictive…
Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type…
This paper is concerned with an abstract dissipative hyperbolic equation with time-dependent coefficient. Under an assumption which ensures that the energy does not decay, this paper provides a condition on the coefficient, which is…
In this paper we address the question of whether it is possible to integrate time-dependent high-dimensional PDEs with hierarchical tensor methods and explicit time stepping schemes. To this end, we develop sufficient conditions for…
Time-dependent soliton solutions are explicitly derived in a five-dimensional theory endowed with one (warped) extra-dimension. Some of the obtained geometries, everywhere well defined and technically regular, smoothly interpolate between…
We examine the power-series solutions and the series solutions in terms of the Hermite functions for the biconfluent Heun equation. Infinitely many cases for which a solution of the biconfluent equation is presented as an irreducible linear…
We show that the Heun confluent equation admits infinitely many solutions in terms of the confluent generalized hypergeometric functions. For each of these solutions a characteristic exponent of a regular singularity of the Heun confluent…
This article studies the solutions of time-dependent differential inclusions which is motivated by their utility in the modeling of certain physical systems. The differential inclusion is described by a time-dependent set-valued mapping…
The Hurst exponent is the simplest numerical summary of self-similar long-range dependent stochastic processes. We consider the estimation of Hurst exponent in long-range dependent curve time series. Our estimation method begins by…
We introduce a new class of quantum models with time-dependent Hamiltonians of a special scaling form. By using a couple of time-dependent unitary transformations, the time evolution of these models is expressed in terms of related systems…
We review the series solutions of the general and single-confluent Heun equations in terms of powers, ordinary-hypergeometric and confluent-hypergeometric functions. The conditions under which the expansions reduce to finite sums as well as…
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global…
It is shown how to construct a time-independent Hamiltonian having only one degree of freedom from which an arbitrary linear constant-coefficient evolution equation of any order can be derived.