Related papers: Time-changed \levy processes and option pricing: a…
Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…
We identify a fundamental pathology in the likelihood for time delay inference which challenges standard inference methods. By analysing the likelihood for time delay inference with Gaussian process light curve models, we show that it…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
Multivariate time series naturally exist in many fields, like energy, bioinformatics, signal processing, and finance. Most of these applications need to be able to compare these structured data. In this context, dynamic time warping (DTW)…
In this paper we propose a framework to analyze iterative first-order optimization algorithms for time-varying convex optimization. We assume that the temporal variability is caused by a time-varying parameter entering the objective, which…
The objective of the paper is to price weather contracts using temperature as the underlying process when the later follows a mean-reverting dynamics driven by a time-changed Brownian motion coupled to a Gamma Levy subordinator and…
DTW calculates the similarity or alignment between two signals, subject to temporal warping. However, its computational complexity grows exponentially with the number of time-series. Although there have been algorithms developed that are…
In this note, analysis of time delay systems using Lambert W function approach is reassessed. A common canonical form of time delay systems is defined. We extended the recent results of [6] for second order into nth order system. The…
In this article, we investigate theoretical and numerical properties of the first-order Lighthill-Whitham-Richards (LWR) traffic flow model with time delay. Since standard results from the literature are not directly applicable to the…
Studying the behaviour of Markov processes at boundary points of the state space has a long history, dating back all the way to William Feller. With different motivations in mind entrance and exit questions have been explored for different…
We present an extension of the window flow control analysis by R. Agrawal et.al. (Reference [1]), C.-S. Chang (Reference [6]), and C.-S. Chang et. al. (Reference [8]) to a system with random service time and fixed feedback delay. We…
We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…
Measure of the weighted cumulative entropy about the predictability of failure time of a system have been introduced in [3]. Referring properties of doubly truncated (interval) cumulative residual and past entropy, several bounds and…
In the context of Markov decision processes running in continuous time, one of the most intriguing challenges is the efficient approximation of finite horizon reachability objectives. A multitude of sophisticated model checking algorithms…
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…
The problem of European-style option pricing in time-changed L\'{e}vy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the…
The option pricing formula of Black and Scholes (1973) hinges on the continuous-time self-financing condition, which is a special case of the continuous-time budget equation of Merton (1971). The self-financing condition is believed to…
Counterfactual explanations are increasingly proposed as interpretable mechanisms to achieve algorithmic recourse. However, current counterfactual techniques for time series classification are predominantly designed with static data…