Related papers: From multi-dimensional black scholes to Hamilton j…
The geometric formulation of the Hamilton-Jacobi theory enables us to generalize it to systems of higher-order ordinary differential equations. In this work we introduce the unified Lagrangian-Hamiltonian formalism for the geometric…
This paper is concerned with the study of a model case of first order Hamilton-Jacobi equations posed on a "junction", that is to say the union of a finite number of half-lines with a unique common point. The main result is a comparison…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
Systems of Hamilton-Jacobi equations arise naturally when we study the optimal control problems with pathwise deterministic trajectories with random switching. In this work, we are interested in the large time behavior of weakly coupled…
In this note we discuss the application of the Hamilton-Jacobi formalism to the first order description of four dimensional spherically symmetric and static black holes. In particular we show that the prepotential characterizing the flow…
The Hamilton-Jacobi theory of Classical Mechanics can be extended in a novel manner to systems which are fuzzy in the sense that they can be represented by wave functions. A constructive interference of the phases of the wave functions then…
The geometric formulation of Hamilton--Jacobi theory for systems with nonholonomic constraints is developed, following the ideas of the authors in previous papers. The relation between the solutions of the Hamilton--Jacobi problem with the…
The Hamilton-Jacobi theory is a formulation of Classical Mechanics equivalent to other formulations as Newton's equations, Lagrangian or Hamiltonian Mechanics. It is particulary useful for the identification of conserved quantities of a…
Correlations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature of the correlations. However, the curse of dimensionality…
We follow up on our previous works which presented a possible approach for deriving symplectic schemes for a certain class of highly oscillatory Hamiltonian systems. The approach considers the Hamilton-Jacobi form of the equations of…
Recently the Hamilton-Jacobi formulation for first order constrained systems has been developed. In such formalism the equations of motion are written as total differential equations in many variables. We generalize the Hamilton-Jacobi…
The past few years have witnessed an increased interest in learning Hamiltonian dynamics in deep learning frameworks. As an inductive bias based on physical laws, Hamiltonian dynamics endow neural networks with accurate long-term…
The Hamilton-Jacobi equation for the string cosmology is solved using the gradient expansion method. The zeroth order solution is taken to be the standard pre-big bang model and the second order solution is found for the dilaton and the…
We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a…
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with…
Standard approach to dynamical random matrix models relies on the description of trajectories of eigenvalues. Using the analogy from optics, based on the duality between the Fermat principle(trajectories) and the Huygens principle…
The Hamilton-Jacobi problem is revisited bearing in mind the consequences arising from a possible bi-Hamiltonian structure. The problem is formulated on the tangent bundle for Lagrangian systems in order to avoid the bias of the existence…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent makes consumption and investment decisions based on CRRA…