Related papers: From multi-dimensional black scholes to Hamilton j…
From the double-exchange Hamiltonian with classical localized spins in the limit of large but finit Hund exchange coupling we obtain the $t-J$ model (with classical localized spins).
We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the…
The Hamiltonian dynamics of chains of nonlinearly coupled particles is numerically investigated in two and three dimensions. Simple, off-lattice homopolymer models are used to represent the interparticle potentials. Time averages of…
The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems…
We develop a partial Hamiltonian framework to obtain reductions and closed-form solutions via first integrals of current value Hamiltonian systems of ordinary differential equations (ODEs). The approach is algorithmic and applies to many…
This paper studies Hamilton-Jacobi equations of evolution type defined in a general metric space. We give a notion of a solution through optimal principles and establish a unique existence theorem of the solution for initial value problems.…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfolio optimization is among many problems that have…
The numerical version of the Hamilton-Jacobi quantization method, recently proposed, is applied to the one dimensional quartic oscillator. A suitable quantization condition is formulated and various energy levels and wave functions are…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…
Hamilton-Jacobi theory provides a natural starting point for a covariant description of the gravitational field. Using a spatial gradient expansion, one may solve for the phase of the wavefunction by using a line-integral in superspace.…
Recently, a method to dynamically define a divergence function $D$ for a given statistical manifold $(\mathcal{M}\,,g\,,T)$ by means of the Hamilton-Jacobi theory associated with a suitable Lagrangian function $\mathfrak{L}$ on…
We provide a general algorithm to construct a Hamiltonian, such that its dynamical flow covariantly defines any given spherically symmetric and static metric. This Hamiltonian is defined as a linear combination of the standard (general…
We study how the classical Hamilton's principal and characteristic functions are generated from the solutions of the quantum Hamilton-Jacobi equation. While in the classically forbidden regions these quantum quantities directly tend to the…
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at…
We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of…
Standandard Hamiltonian mechanics in its homogeneous formulation is applied to the study of discontinuities representing rapid changes of Hamiltonians. Different formulations of Hamiltonian mechanics are reviewed. An original representation…
In the study of bi-Hamiltonian systems (both classical and quantum) one starts with a given dynamics and looks for all alternative Hamiltonian descriptions it admits.In this paper we start with two compatible Hermitian structures (the…
In this study, the solution of the Hamilton-Jacobi equation (HJE) with holonomic Hamiltonian is investigated in terms of the first integrals of the corresponding Hamiltonian system. Holonomic functions are related to a specific type of…