Related papers: Hilbert transform, spectral filters and option pri…
Generalizing previous work of Iwaniec, Luo, and Sarnak (2000), we use information from one-level density theorems to estimate the proportion of non-vanishing of $L$-functions in a family at a low-lying height on the critical line (measured…
This paper is to analyze the approximation solution of a split variational inclusion problem in the framework of infinite dimensional Hilbert spaces. For this purpose, several inertial hybrid and shrinking projection algorithms are proposed…
The properties of the Gabor and Morlet transforms are examined with respect to the Fourier analysis of discretely sampled data. Forward and inverse transform pairs based on a fixed window with uniform sampling of the frequency axis can…
We develop the Fourier-Laplace Inversion of the Perturbation Theory (FLIPT), a novel numerically exact "black box" method to compute perturbative expansions of the density matrix with rigorous convergence conditions. Specifically, the FLIPT…
Computationally efficient numerical methods for high-order approximations of convolution integrals involving weakly singular kernels find many practical applications including those in the development of fast quadrature methods for…
In this paper we study the Fourier estimator of Malliavin and Mancino for the spot volatility. We establish the convergence of the trigonometric polynomial to the volatility's path in a setting that includes the following aspects. First,…
We investigate the convergence properties of popular data-augmentation samplers for Bayesian probit regression. Leveraging recent results on Gibbs samplers for log-concave targets, we provide simple and explicit non-asymptotic bounds on the…
Consider the discrete quadratic phase Hilbert Transform acting on $\ell^{2}$ finitely supported functions $$ H^{\alpha} f(n) : = \sum_{m \neq 0} \frac{e^{2 \pi i\alpha m^2} f(n - m)}{m}. $$ We prove that, uniformly in $\alpha \in…
Simulating a Gaussian process requires sampling from a high-dimensional Gaussian distribution, which scales cubically with the number of sample locations. Spectral methods address this challenge by exploiting the Fourier representation,…
A scheme to form a basis and a frame for a Hilbert space of quaternion valued square integrable function from a basis and a frame, respectively, of a Hilbert space of complex valued square integrable functions is introduced. Using the…
Weighted discrete Hilbert transforms $(a_n)_n \mapsto \sum_n a_n v_n/(z-\gamma_n)$ from $\ell^2_v$ to a weighted $L^2$ space are studied, with $\Gamma=(\gamma_n)$ a sequence of distinct points in the complex plane and $v=(v_n)$ a…
In this article a unified approach to iterative soft-thresholding algorithms for the solution of linear operator equations in infinite dimensional Hilbert spaces is presented. We formulate the algorithm in the framework of generalized…
Real life signals are in general non--stationary and non--linear. The development of methods able to extract their hidden features in a fast and reliable way is of high importance in many research fields. In this work we tackle the problem…
In this paper we study recent developments in the approximation of the spread option pricing. As the Kirk\'s Approximation is extremely flawed in the cases when the correlation is very high, we explore a recent development that allows…
We give improved bounds for the equidistribution of (multiparameter) nilsequences subject to any degree filtration. The bounds we obtain are single exponential in dimension, improving on double exponential bounds of Green and Tao. To obtain…
Given a positive definite, bounded linear operator $A$ on the Hilbert space $\mathcal{H}_0:=l^2(E)$, we consider a reproducing kernel Hilbert space $\mathcal{H}_+$ with a reproducing kernel $A(x,y)$. Here $E$ is any countable set and…
F. Stenger proposed efficient approximation formulas for derivatives over infinite intervals. These formulas were derived by combining the Sinc approximation with appropriate conformal maps. It has been demonstrated that these formulas can…
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe…
For a Schwartz function $f$ on the plane and a non-zero $v\in\ZR^2$ define the Hilbert transform of $f$ in the direction $v$ to be $$ H_vf(x)=\text{p.v.}\int_\ZR f(x-vy) \frac{dy}y $$ Let $\zeta$ be a Schwartz function with frequency…
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had…