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The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an…
This article explores the convergence properties of an $SLIR^\text{T}R^\text{P}D$ endemic model, incorporating Dirac and Radon measures, alongside distributed delays to represent latency and temporary immunity. A class of delays is defined…
In this paper we study, at different levels of generality, certain systems of delay differential equations (DDE). One focus and motivation is a system with state-dependent delay (SD-DDE) that has been formulated to describe the maturation…
Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…
This paper provides a finite difference discretization for the backward Feynman-Kac equation, governing the distribution of functionals of the path for a particle undergoing both reaction and diffusion [Hou and Deng, J. Phys. A: Math.…
Moment estimation for stochastic differential equations (SDEs) is fundamental to the formal reasoning and verification of stochastic dynamical systems, yet remains challenging and is rarely available in closed form. In this paper, we study…
In the accompanied paper [14], a delayed nonlinear model for pricing corporate liabilities was developed. Using self-financed strategy and duplication we were able to derive two Random Partial Differential Equations (RPDEs) describing the…
In this paper, we consider Caputo type fractional stochastic time-delay system with permutable matrices. We derive stochastic analogue of variation of constants formula via a newly defined delayed Mittag-Leffer type matrix function. Thus,…
Fast and accurate simulation of dynamical systems is a fundamental challenge across scientific and engineering domains. Traditional numerical integrators often face a trade-off between accuracy and computational efficiency, while existing…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
We describe a method to model nonlinear dynamical systems using periodic solutions of delay-differential equations. We show that any finite-time trajectory of a nonlinear dynamical system can be loaded approximately into the initial…
We consider a general multidimensional stochastic differential delay equation (SDDE) with state-dependent colored noises. We approximate it by a stochastic differential equation (SDE) system and calculate its limit as the time delays and…
The time evolution of probability densities for solutions to stochastic differential equations (SDEs) without delay is usually described by Fokker-Planck equations, which require the adjoint of the infinitesimal generator for the solutions.…
We introduce a discrete delayed exponential depending on sequence of matrices. This discrete matrix gives a representation of a solution to the Cauchy problem for a discrete linear system with pure delay with sequence of matrices. We…
We consider a class of L\'evy-driven stochastic differential equations (SDEs) with McKean-Vlasov (MK-V) interaction in the drift coefficient. It is assumed that the coefficient is bounded, affine in the state variable, and only measurable…
The solvability of a delay differential equation arising in the construction of quadratic cost functionals, i.e. Lyapunov functionals, for a linear time-delay system with a constant and a distributed delay is investigated. We present a…
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to calculate in practice. A more general class…
We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase…
The fluctuations of dynamical functionals such as the empirical density and current as well as heat, work and generalized currents in stochastic thermodynamics are usually studied within the Feynman-Kac tilting formalism, which in the…
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…