Related papers: From multi-dimensional black scholes to Hamilton j…
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-Bellman equation is fully nonlinear. Using a delicate partial…
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…
Hamilton-Jacobi reachability (HJR) is an exciting framework used for control of safety-critical systems with nonlinear and possibly uncertain dynamics. However, HJR suffers from the curse of dimensionality, with computation times growing…
We review here some conventional as well as less conventional aspects of the time-independent and time-dependent Hamilton-Jacobi (HJ) theory and of its connections with Quantum Mechanics. Less conventional aspects involve the HJ theory on…
Hierarchical modeling provides a framework for modeling the complex interactions typical of problems in applied statistics. By capturing these relationships, however, hierarchical models also introduce distinctive pathologies that quickly…
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution…
We propose a supervised learning scheme for the first order Hamilton--Jacobi PDEs in high dimensions. The scheme is designed by using the geometric structure of Wasserstein Hamiltonian flows via a density coupling strategy. It is…
Highly concentrated patterns have been observed in a spatially heterogeneous, nonlocal, model of BGK type implementing a velocity-jump process. We study both a linear and a nonlinear case and describe the concentration profile. In…
An investigation of classical fields with fractional derivatives is presented using the fractional Hamiltonian formulation. The fractional Hamilton's equations are obtained for two classical field examples. The formulation presented and the…
The Hamilton-Jacobi formalism for a geodetic brane-like universe described by the Regge-Teitelboim model is developed. We focus on the description of the complete set of Hamiltonians that ensure the integrability of the model in addition to…
Many interesting physical systems have mathematical descriptions as finite-dimensional or infinite-dimensional Hamiltonian systems. Poincare who started the modern theory of dynamical systems and symplectic geometry developed a particular…
We consider the dynamics of a Hamiltonian particle forced by a rapidly oscillating potential in $\dim$-dimensional space. As alternative to the established approach of averaging Hamiltonian dynamics by reformulating the system as…
In this paper we develope, in a geometric framework, a Hamilton-Jacobi Theory for general dynamical systems. Such a theory contains the classical theory for Hamiltonian systems on a cotangent bundle and recent developments in the framework…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
Constrained Hamiltonian systems are investigated by using the Hamilton-Jacobi method. Integration of a set of equations of motion and the action function is discussed. It is shown that we have two types of integrable systems: a) ${\it…
We present a brief pedagogical guided tour of the most recent applications of nextensive statistical mechanics to well defined nonlinear dynamical systems, ranging from one-dimensional dissipative maps to many-body Hamiltonian systems.
We study the loss, recovery, and preservation of differentiability of time-dependent large deviation rate functions. This study is motivated by mean-field Gibbs-non-Gibbs transitions. The gradient of the rate-function evolves according to a…
Most classical mechanical systems are based on dynamical variables whose values are real numbers. Energy conservation is then guaranteed if the dynamical equations are phrased in terms of a Hamiltonian function, which then leads to…
We derive the dynamics of several rigid bodies of arbitrary shape in a 2-dimensional inviscid and incompressible fluid, whose vorticity field is given by point vortices. We adopt the idea of Vankerschaver et al. (2009) to derive the…