Related papers: From multi-dimensional black scholes to Hamilton j…
Hamilton-Jacobi formalism as a powerful method is being utilized to reconsider warm inflationary scenario, where the scalar field as the main component deriving inflation interacts with other field. Separating the context to strong and weak…
This work is devoted to review the modern geometric description of the Lagrangian and Hamiltonian formalisms of the Hamilton--Jacobi theory. The relation with the "classical" Hamiltonian approach using canonical transformations is also…
The geometric framework for the Hamilton-Jacobi theory developed in previous works is extended for multisymplectic first-order classical field theories. The Hamilton-Jacobi problem is stated for the Lagrangian and the Hamiltonian formalisms…
The paper studies a system of first order Hamilton-Jacobi equations with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential discount and currency devaluation.…
A generalization of the Hamilton-Jacobi theory to arbitrary dynamical systems, including non-Hamiltonian ones, is considered. The generalized Hamilton-Jacobi theory is constructed as a theory of ensemble of identical systems moving in the…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
We extend some aspects of the Hamilton-Jacobi theory to the category of stochastic Hamiltonian dynamical systems. More specifically, we show that the stochastic action satisfies the Hamilton-Jacobi equation when, as in the classical…
As a continuation of Rabei et al. work [11], the Hamilton- Jacobi partial differential equation is generalized to be applicable for systems containing fractional derivatives. The Hamilton- Jacobi function in configuration space is obtained…
In our previous papers [11,13] we showed that the Hamilton-Jacobi problem can be regarded as a way to describe a given dynamics on a phase space manifold in terms of a family of dynamics on a lower-dimensional manifold. We also showed how…
A proposal for the Hamilton-Jacobi theory in the context of the covariant formulation of Hamiltonian systems is done. The current approach consists in applying Dirac's method to the corresponding action which implies the inclusion of…
We consider a type of k-inflation under the Hamilton-Jacobi approach. We calculate various observables such as the scalar power spectrum, the tensor-to-scalar ratio, the scalar spectra index for the case where the Hubble parameter is a…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
Using Hamilton-Jacobi formalism, The scenario of warm inflation with viscous pressure is considered. The formalism gives a way of computing the slow-rolling parameters without extra approximation, and it is well-known as a powerful method…
The geometric framework for the Hamilton-Jacobi theory is used to study this theory in the ambient of higher-order mechanical systems, both in the Lagrangian and Hamiltonian formalisms. Thus, we state the corresponding Hamilton-Jacobi…
Lagrangian submanifolds are becoming a very essential tool to generalize and geometrically understand results and procedures in the area of mathematical physics. Here we use general Lagrangian submanifolds to provide a geometric version of…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried…
A hybrid system is a system whose dynamics is given by a mixture of both continuous and discrete transitions. In particular, these systems can be utilised to describe the dynamics of a mechanical system with impacts. Based on the approach…
In this paper, training a neural network is identified, exactly, as a search through Hamilton--Jacobi initial-value problems: each gradient step selects the initial data of a viscous Hamilton--Jacobi equation whose Hopf--Cole propagator…
Latent variable models are increasingly used in economics for high-dimensional categorical data like text and surveys. We demonstrate the effectiveness of Hamiltonian Monte Carlo (HMC) with parallelized automatic differentiation for…
The Hamilton-Jacobi formalism was applied to quantize the front-form Schwinger model. The importance of the surface term is discussed in detail. The BRST-anti-BRST symmetry was analyzed within Hamilton-Jacobi formalism.