Related papers: Cointegrating Jumps: an Application to Energy Faci…
We present a sampling-based approach to reasoning about the caging-based manipulation of rigid and a simplified class of deformable 3D objects subject to energy constraints. Towards this end, we propose the notion of soft fixtures extending…
This paper is devoted to developing a unified framework for stochastic growth models with environmental risk, in which rare but catastrophic shocks interact with capital accumulation and pollution. The analysis is based upon a general…
The temperature and pressure jump coefficients at a liquid-vapor interface are calculated from the solution of the Shakhov kinetic model for the linearized Boltzmann equation. Complete and partial evaporation/condensation at the…
Two models involving particles moving by ``hopping'' in disordered media are investigated: I) A model glass-forming liquid is investigated by molecular dynamics under (pseudo-) equilibrium conditions. ``Standard'' results such as mean…
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…
A two-stage multi-period mixed-integer linear stochastic programming model is proposed to assist qualified operators in long-term generation and transmission expansion planning of electricity and gas systems to meet policy objectives. The…
The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial…
We introduce a unified statistical framework for quantifying system-environment coupling by treating the interaction energy $V_\mathcal{SE}$ as a stochastic variable. Using a reference-particle decomposition, we derive exact, closed-form…
The multiplicative Newton-like method developed by the author et al. is extended to the situation where the dynamics is restricted to the orthogonal group. A general framework is constructed without specifying the cost function. Though the…
We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on the problem in order to determine the optimal portfolio in…
In this paper, the intra-day multi-interval rolling-window joint dispatch and pricing of energy and reserve is studied under increasing volatile and uncertain renewable generations. A look-ahead energy-reserve co-optimization model is…
In this article we focus on the pricing of exchange options when the dynamic of logprices follows either the well-known variance gamma or the recent variance gamma++ process introduced in Gardini et al [19]. In particular, for the former…
We study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil prices at different physical locations or regional power…
In the mean field integrate-and-fire model, the dynamics of a typical neuron within a large network is modeled as a diffusion-jump stochastic process whose jump takes place once the voltage reaches a threshold. In this work, the main goal…
In the mean field integrate-and-fire model, the dynamics of a typical neuron within a large network is modeled as a diffusion-jump stochastic process whose jump takes place once the voltage reaches a threshold. In this work, the main goal…
Ionic transport in conventional ionic solids is generally considered to proceed via independent diffusion events or "hops''. This assumption leads to well-known Arrhenius expressions for transport coefficients, and is equivalent to assuming…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or…
We show the variational convergence of an irreversible Markov jump process describing a finite stochastic particle system to the solution of a countable infinite system of deterministic time-inhomogeneous quadratic differential equations…
A jump-diffusion process is proposed to describe the displacements performed by single myosin heads along actin filaments during the rising phases. The process consists of the superposition of a Wiener and a jump process, with jumps…