Related papers: Matrix-valued SDEs arising from currency exchange …
We investigate the initial value problems for non-homogeneous linear differential equations whose solutions are set-valued maps taking values in the space of nonempty compact convex subsets of $\mathbb{R}^2$, denoted by…
Dengue is a vector-borne viral disease increasing dramatically over the past years due to improvement in human mobility. The movement of host individuals between and within the patches are captured via a residence-time matrix. A system of…
This thesis develops a new framework for modelling price processes in finance, such as an equity price or foreign exchange rate. This can be related to the conventional Ito calculus-based framework through the time integral of a price's…
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by…
Matrix-valued stochastic processes have been of significant importance in areas such as physics, engineering and mathematical finance. One of the first models studied has been the so-called Wishart process, which is described as the…
The Bethe ansatz equations of the 1-D SU(3) Hubbard model are systematically derived by diagonalizing the inhomogeneous transfer matrix of the XXX model. We first derive the scattering matrix of the SU(3) Hubbard model through the…
We revisit the well-studied superhedging problem under proportional transaction costs in continuous time using the recently developed tools of set-valued stochastic analysis. By relying on a simple Black-Scholes-type market model for…
In areas such as finance, engineering, and science, we often face situations that change quickly and unpredictably. These situations are tough to handle and require special tools and methods capable of understanding and predicting what…
High-dimensional partial-differential equations (PDEs) arise in a number of fields of science and engineering, where they are used to describe the evolution of joint probability functions. Their examples include the Boltzmann and…
In this paper we prove that a large class of linear evolution PDEs defines a Stokes-Dirac structure over Hilbert spaces. To do so, the theory of boundary control system is employed. This definition encompasses problems from mechanics, that…
Dynamical systems are essential to model various phenomena in physics, finance, economics, and are also of current interest in machine learning. A central modeling task is investigating parameter sensitivity, whether tuning atmospheric…
Given any elliptic system with $t$-independent coefficients in the upper-half space, we obtain representation and trace for the conormal gradient of solutions in the natural classes for the boundary value problems of Dirichlet and Neumann…
We develop a novel approach towards causal inference. Rather than structural equations over a causal graph, we learn stochastic differential equations (SDEs) whose stationary densities model a system's behavior under interventions. These…
Stochastic differential equations (SDEs) are a ubiquitous modeling framework that finds applications in physics, biology, engineering, social science, and finance. Due to the availability of large-scale data sets, there is growing interest…
Digital Elevation Models (DEMs) are indispensable in the fields of remote sensing and photogrammetry, with their refinement and enhancement being critical for a diverse array of applications. Numerous methods have been developed for…
An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with…
There is recent interest in finding a potential formulation for Stochastic Partial Differential Equations (SPDEs). The rationale behind this idea lies in obtaining all the dynamical information of the system under study from one single…
Consider the stochastic evolution equation in a separable Hilbert space with a nice multiplicative noise and a locally Dini continuous drift. We prove that for any initial data the equation has a unique (possibly explosive) mild solution.…
Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a…
Density matrix embedding theory (DMET) provides a framework to describe ground-state expectation values in strongly correlated systems, but its extension to dynamical quantities is still an open problem. We show one route to obtaining…