Related papers: Hybrid simulation scheme for volatility modulated …
This paper introduces the novel class of modulated cyclostationary processes, a class of non-stationary processes exhibiting frequency coupling, and proposes a method of their estimation from repeated trials. Cyclostationary processes also…
Using the recent incremental modelling, it is shown that the trajectory of a sample in the phase space of soil mechanics in the vicinity of the critical state is not governed by the rigidity matrix, but by its variations. The…
The process algebra HYPE was recently proposed as a fine-grained modelling approach for capturing the behaviour of hybrid systems. In the original proposal, each flow or influence affecting a variable is modelled separately and the overall…
Simulation of rough volatility models involves discretization of stochastic integrals where the integrand is a function of a (correlated) fractional Brownian motion of Hurst index $H \in (0,1/2)$. We obtain results on the rate of…
Mixed-quantum-classical molecular dynamics simulation implies an effective measurement on the electronic states owing to continuously tracking the atomic forces.Based on this insight, we propose a quantum trajectory mean-field approach for…
Simulation-based planning with rollouts is a widely-deployed technique for decision making in stochastic environments. The primary instrument of simulation-based planning is a sampling model, which is repeatedly called to generate…
Projective measurements of collective observables can be employed to herald the preparation of entangled states of quantum systems, and the resulting conditional dynamics is usually handled by stochastic master equation (SME) for small…
We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…
The stability of dynamical systems with oscillatory behaviors and well-defined average vector fields has traditionally been studied using averaging theory. These tools have also been applied to hybrid dynamical systems, which combine…
Recently it has been reported that biased range-measurements among neighboring agents in the gradient distance-based formation control can lead to predictable collective motion. In this paper we take advantage of this effect and by…
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…
The simulation of systems that act on multiple time scales is challenging. A stable integration of the fast dynamics requires a highly accurate approximation whereas for the simulation of the slow part, a coarser approximation is accurate…
The Hamiltonian Mean Field (HMF) model of coupled inertial, Hamiltonian rotors is a prototype for conservative dynamics in systems with long-range interactions. We consider the case where the interactions between the rotors are governed by…
Rough Volterra volatility models are a progressive and promising field of research in derivative pricing. Although rough fractional stochastic volatility models already proved to be superior in real market data fitting, techniques used in…
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance…
One-step generative modeling seeks to generate high-quality data samples in a single function evaluation, significantly improving efficiency over traditional diffusion or flow-based models. In this work, we introduce Modular MeanFlow (MMF),…
We present a novel approach to investigate the long-time stochastic dynamics of multi-dimensional classical systems, in contact with a heat-bath. When the potential energy landscape is rugged, the kinetics displays a decoupling of short and…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
In this paper, we address the problem of attitude synchronization for a group of rigid body systems evolving on SO(3). The interaction among these systems is modeled through an undirected, connected, and acyclic graph topology. First, we…