Related papers: Time-dependent Heston model
We derive line-element's templates of space-time models with Space models complying with Helmholtz's Free mobility postulate, and discuss some of the Time models compatible with them.
Basic issues of the time-dependent density-functional theory are discussed, especially on the real-time calculation of the linear response functions. Some remarks on the derivation of the time-dependent Kohn-Sham equations and on the…
In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…
We elaborate further on the metric representation that is obtained by transferring the time-dependence from a Hermitian Hamiltonian to the metric operator in a related non-Hermitian system. We provide further insight into the procedure on…
A density-functional theory is established for inhomogeneous superfluids at finite temperature, subject to time-dependent external fields in isothermal conditions. After outlining parallelisms between a neutral superfluid and a charged…
We introduce a formalism for time-dependent correlation functions for systems whose evolutions are governed by non-Hermitian Hamiltonians of general type. It turns out that one can define two different types of time correlation functions.…
We propose a simple construction of the solution to the continuum parabolic Anderson model on $\mathbf{R}^2$ which does not rely on any elaborate arguments and makes extensive use of the linearity of the equation. A logarithmic…
This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least squares problem. We exploit a suitable representation of the Heston…
For the challenging task of modeling multivariate time series, we propose a new class of models that use dependent Mat\'ern processes to capture the underlying structure of data, explain their interdependencies, and predict their unknown…
In this paper, we consider the problem of estimating parameters of a linear regression model. Using a hybrid systems framework, a hybrid algorithm is proposed allowing the estimate to converge to the exact value of the unknown parameters in…
The solutions of Hamiltonian equations are known to describe the underlying phase space of a mechanical system. In this article, we propose a novel spatio-temporal model using a strategic modification of the Hamiltonian equations,…
We develop a gradient-flow theory for time-dependent functionals defined in abstract metric spaces. Global well-posedness and asymptotic behavior of solutions are provided. Conditions on functionals and metric spaces allow to consider the…
Hidden Markov Models (HMMs) comprise a powerful generative approach for modeling sequential data and time-series in general. However, the commonly employed assumption of the dependence of the current time frame to a single or multiple…
The main goal of this paper is to obtain the exact quantum solutions for charge space in a superconductor with time-dependent parameters using the London approach. We introduce a new quantization scheme for the charge inside a…
The model of a signature change of a metric from the Lorenztian to Euclidean one with the use of a time dependent kink as $g_{00}$ component of the metric is considered. The metric which describes the continuous change of the signature of…
Despite their simplicity, linear models perform well at time series forecasting, even when pitted against deeper and more expensive models. A number of variations to the linear model have been proposed, often including some form of feature…
Statistical inferences for high-dimensional regression models have been extensively studied for their wide applications ranging from genomics, neuroscience, to economics. However, in practice, there are often potential unmeasured…
In this note we address the exact solutions of a time-dependent Hamiltonian composed by an oscillator-like interaction with both a frequency and a mass term that depend on time. The latter is achieved by constructing the appropriate point…
Field equations for generalized principle models with nonconstant metric are derived and ansatz for their Lax pairs is given. Equations that define the Lax pairs are solved for the simplest solvable group. The solution is dependent on one…
We investigate a linear, fully coupled thermoelasticity problem for a highly heterogeneous, two-phase medium. The medium in question consists of a connected matrix with disconnected, initially periodically distributed inclusions separated…