Related papers: From multi-dimensional black scholes to Hamilton j…
We develop Hamilton-Jacobi theory for Chaplygin systems, a certain class of nonholonomic mechanical systems with symmetries, using a technique called Hamiltonization, which transforms nonholonomic systems into Hamiltonian systems. We give a…
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns…
In this paper, we review the discrete Hamilton--Jacobi theory from a geometric point of view. In the discrete realm, the usual geometric interpretation of the Hamilton--Jacobi theory in terms of vector fields is not straightforward. Here,…
Generalizations of the Hamilton-Jacobi and Schrodinger equations for multidimensional variational problems of field theory are deduced. These generalizations are so-called variational differential equations.
In this paper, we propose a discrete Hamilton--Jacobi theory for (discrete) Hamiltonian dynamics defined on a (discrete) contact manifold. To this end, we first provide a novel geometric Hamilton--Jacobi theory for continuous contact…
We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…
Taking as a model the fact that Heisenberg's matrix mechanics was derived from Hamiltonian mechanics using the correspondence principle, we explore a class of dynamical systems involving discrete variables, with Nambu mechanics as the…
We study analytically and numerically the inflationary solutions for various type scalar potentials in the nonminimally coupled scalar field theory. The Hamilton-Jacobi equation is used to deal with nonlinear evolutions of inhomogeneous…
In this paper, for a variety of nonholonomic (reducible) Hamiltonian systems, we first give to various distributional Hamiltonian systems, by analyzing carefully the dynamics and structures of the nonholonomic Hamiltonian systems. Secondly,…
In this paper, we study the underlying geometry in the classical Hamilton-Jacobi equation. The proposed formalism is also valid for nonholonomic systems. We first introduce the essential geometric ingredients: a vector bundle, a linear…
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts, including the dynamics of volatility. In the mathematical…
The Black-Scholes-Merton model is a mathematical model for the dynamics of a financial market that includes derivative investment instruments, and its formula provides a theoretical price estimate of European-style options. The model's…
The question of how Algebra can be used to solve dynamical systems and characterize chaos was first posed in a fertile mathematical context by Ziglin, Morales, Ramis and Sim\'o using differential Galois theory. Their study was aimed at…
In this paper we extend the geometric formalism of the Hamilton-Jacobi theory for hamiltonian mechanics to the case of classical field theories in the framework of multisymplectic geometry and Ehresmann connections.
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
We extend Hamilton-Jacobi theory to Lagrange-Dirac (or implicit Lagrangian) systems, a generalized formulation of Lagrangian mechanics that can incorporate degenerate Lagrangians as well as holonomic and nonholonomic constraints. We refer…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
The equivalence of the chain method and Hamilton-Jacobi formalism is demonstrated. The stabilization algorithm of Hamilton-Jacobi formalism is clariffied and two examples are presented in details.
A necessary and sufficient condition for a parameter transformation that leaves invariant the energy of a one dimensional autonomous system is obtained. Using a parameter transformation the Hamilton-Jacobi equation is solved by a…
We consider the classical Ramsey-Cass-Koopmans capital accumulation model and present three examples in which the Hamilton-Jacobi-Bellman (HJB) equation is neither necessary nor sufficient for a function to be the value function. Next, we…