Related papers: A Note on Real-World and Risk-Neutral Dynamics for…
A new formulation for the modular construction of flexible multibody systems is presented. By rearranging the equations for a flexible floating body and introducing the appropriate canonical momenta, the model is recast into a coupled…
We develop a gradient flow on the space of probability measures defined on matrix-valued parameters induced by regularized Muon, an analytically smoothed version of the idealized Muon optimizer. The key observation is that the regularized…
We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving L\'evy noise. Conditions…
Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aims to find an alternative but plausible model such that under…
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 a recent paper we have introduced several possible inequivalent descriptions of the dynamics and of the transition probabilities of a quantum system when its Hamiltonian is not self-adjoint. Our analysis was carried out in finite…
Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on $L^0$ is fixed to characterize the family of…
We propose random non-Hermitian Hamiltonians to model the generic stochastic nonlinear dynamics of a quantum state in Hilbert space. Our approach features an underlying linearity in the dynamical equations, ensuring the applicability of…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
Existence of optimal solutions and necessary optimality conditions for a controlled version of Moreau's sweeping process are derived. The control is a measurable ingredient of the dynamics and the constraint set is a polyhedron. The novelty…
We study the geometrical meaning of higher-order terms in matrix models of Yang-Mills type in the semi-classical limit, generalizing recent results arXiv:1003.4132 to the case of 4-dimensional space-time geometries with general Poisson…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…
Nematic liquid crystals are well modeled as a fluid of rigid rods. Starting from this model, we use a Poisson-bracket formalism to derive the equations governing the dynamics of nematic liquid crystals. We treat the spin angular momentum…
In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…
Rough volatility models are very appealing because of their remarkable fit of both historical and implied volatilities. However, due to the non-Markovian and non-semimartingale nature of the volatility process, there is no simple way to…
Modeling complex dynamical systems under varying conditions is computationally intensive, often rendering high-fidelity simulations intractable. Although reduced-order models (ROMs) offer a promising solution, current methods often struggle…
Analyticity results of expected pressure and invariant densities in the context of random dynamics of transcendental functions are established. These are obtained by a refinement of work by Rugh leading to a simple approach to analyticity.…
Trait-mediated indirect effects are increasingly acknowledged as important components in the dynamics of ecological systems. The hamiltonian form of the LV equations is traditionally modified by adding density dependence to the prey…