Related papers: Time-changed \levy processes and option pricing: a…

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…

In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given…

This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend…

Most of the early input-queued switch research focused on establishing throughput optimality of the max-weight scheduling policy, with some recent research showing that max-weight scheduling is optimal with respect to total expected delay…

Time is a parameter playing a central role in our most fundamental modelling of natural laws. Relativity theory shows that the comparison of times measured by different clocks depends on their relative motions and on the strength of the…

In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as…

Uncertainty quantification of predictive models is crucial in decision-making problems. Conformal prediction is a general and theoretically sound answer. However, it requires exchangeable data, excluding time series. While recent works…

This paper considers a general class of nonparametric time series regression models where the regression function can be time-dependent. We establish an asymptotic theory for estimates of the time-varying regression functions. For this…

We consider the problem of sequentially testing for changes in the mean parameter of a time series, compared to a benchmark period. Most tests in the literature focus on the null hypothesis of a constant mean versus the alternative of a…

Time-varying media, characterized by dynamic or spacetime-modulated constitutive parameters such as permittivity and permeability, have recently emerged as a transformative paradigm for advanced wave control, transcending the constraints…

It is brought forward that viable theories of the physical world that have no variable at all that can play the role of time, do not exist; some notion of time is one of the very first ingredients a candidate theory should possess. Almost…

Threshold models of cascades in the social sciences and economics explain the spread of opinion and innovation due to social influence. In threshold cascade models, fads or innovations spread between agents as determined by their…

Most theories that predict time and/or space variation of fundamental constants also predict violations of the Weak Equivalence Principle (WEP). Khoury and Weltmann proposed the chameleon model in 2004 and claimed that this model avoids…

We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…

Reversal of the time direction in stochastic systems driven by white noise has been central throughout the development of stochastic realization theory, filtering and smoothing. Similar ideas were developed in connection with certain…

The problem of the Nature of Time is twofold: whether or not time is a fundamental quantity of Nature, and how does clock time of metrology emerge in the experimental description of dynamics. This work strongly supports the fundamental…

We consider the setting of component-based design for real-time systems with critical timing constraints. Based on our earlier work, we propose a compositional specification theory for timed automata with I/O distinction, which supports…

We briefly review two concepts of time - the usual time associated with "being" and more recent ideas, answering to the description of "becoming". The approximation involved in the former is examined. Finally we argue that it is…

In applications of centre manifold theory we need more flexible error estimates than that provided by, for example, the Approximation Theorem~3 by Carr (1981,1983). Here we extend the theory to cover the case where the order of…

Deep learning utilizing transformers has recently achieved a lot of success in many vital areas such as natural language processing, computer vision, anomaly detection, and recommendation systems, among many others. Among several merits of…