Related papers: Affine Processes
This paper considers linear rational expectations models in the frequency domain. The paper characterizes existence and uniqueness of solutions to particular as well as generic systems. The set of all solutions to a given system is shown to…
We introduce a framework that allows to employ (non-negative) measure-valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how…
In this work, we will present variants Fixed Point Theorem for the affine and classical contexts, as a consequence of general Brouwer's Fixed Point Theorem. For instance, the affine results will allow working on affine balls, which are…
To offer a view into the rapidly developing theory of fractional diffusion processes we describe in some detail three topics of present interest: (i) the well-scaled passage to the limit from continuous time random walk under power law…
We prove a nontrivial energy bound for a finite set of affine transformations over a general field and discuss a number of implications. These include new bounds on growth in the affine group, a quantitative version of a theorem by Elekes…
We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging…
We introduce Functional Diffusion Processes (FDPs), which generalize score-based diffusion models to infinite-dimensional function spaces. FDPs require a new mathematical framework to describe the forward and backward dynamics, and several…
By Lindstr\"{o}m's theorems, the expressive power of first order logic (and similarly continuous logic) is not strengthened without losing some interesting property. Weakening it, is however less harmless and has been payed attention by…
We focus on a branch of region-based spatial logics dealing with affine geometry. The research on this topic is scarce: only a handful of papers investigate such systems, mostly in the case of the real plane. Our long-term goal is to…
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical…
We build an effective field theory (EFT) for quasicrystals -- aperiodic incommensurate lattice structures -- at finite temperature, entirely based on symmetry arguments and a well-define action principle. By means of Schwinger-Keldysh…
We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou on the processes with hyper-exponential…
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…
In this paper, we are interested in a general equation that has finite speed of propagation compatible with Einstein's theory of special relativity. This equation without external force fields has been derived recently by means of optimal…
Extending a previous study of the velocity autocorrelation function (VAF) in a simulated Lennard-Jones fluid to cover higher-density and lower-temperature states, we show that the recently demonstrated multiexponential expansion allows for…
We explore ways to obtain the very existence of a space-time metric from an action principle that does not refer to it a priori. Although there are reasons to believe that only a non-local theory can viably achieve this goal, we investigate…
This paper is concerned with the existence and uniqueness of transition fronts of a general reaction-diffusion-advection equation in domains with multiple branches. In this paper, every branch in the domain is not necessary to be straight…
We introduce a new extragradient iterative process, motivated and inspired by [S. H. Khan, A Picard-Mann Hybrid Iterative Process, Fixed Point Theory and Applications, doi:10.1186/1687-1812-2013-69], for finding a common element of the set…
We study a class of Piecewise Deterministic Markov Processes with state space Rd x E where E is a finite set. The continuous component evolves according to a smooth vector field that is switched at the jump times of the discrete coordinate.…
This paper aims to develop a theory of projective and affine structures on higher-dimensional varieties in positive characteristic. This theory deals with Frobenius-projective and Frobenius-affine structures, which have been previously…