Related papers: Product Formula of Multiple Integrals of Levy Proc…
In this paper, we construct a uniform formula that can iteratively reduce all auxiliary scalar product numerators of arbitrary multi-loop Feynman integrals. Integrals with such numerators commonly appear in Integration-By-Parts (IBP)…
We define Wiener integrals with respect to Yeh processes and study their properties. In particular, we obtain the martingale property of the associated stochastic processes and give a series expansion of Wiener integrals with respect to…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
Recent work shows that inference for Gaussian processes can be performed efficiently using iterative methods that rely only on matrix-vector multiplications (MVMs). Structured Kernel Interpolation (SKI) exploits these techniques by deriving…
In the framework of vector measures and the combinatorial approach to stochastic multiple integral introduced by Rota and Wallstrom [Ann. Probab. 25 (1997) 1257--1283], we present an It\^{o} multiple integral and a Stratonovich multiple…
We aim to present two new generalized integral formulae involving product of generalized Struve function $\mathcal{W}_{p,b,c}\left( z\right)$, which are expressed in terms of the generalized Lauricella functions. The main results presented…
The motivation of this paper is to construct the theory of vector calculus of multivariate arithmetical functions. We prove analogues of integral theorems and Poincare's lemma.
In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain…
On the basis of multivariate Langevin processes we present a realization of Levy flights as a continuous process. For the simple case of a particle moving under the influence of friction and a velocity dependent stochastic force we…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
We introduce a simple algorithm that efficiently computes tensor products of Pauli matrices. This is done by tailoring the calculations to this specific case, which allows to avoid unnecessary calculations. The strength of this strategy is…
We give a sharp convexity estimate for L-functions which have a functional equation and an Euler product.
Purpose of writing this paper is to solve a transcendental function containing a product of a variable and its double exponential by a unique method of approximation. If the value of the said product is given, then its inverse function is…
We give an invariant formula for a star product with separation of variables on a pseudo-Kahler manifold.
We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential L\'evy model driven by the tempered stable process. These formulas recover several popular option pricing…
The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
We prove gradient estimates for harmonic functions with respect to a $d$-dimensional unimodal pure-jump Levy process under some mild assumptions on the density of its Levy measure. These assumptions allow for a construction of an unimodal…
In this paper, we derive a formula on the integral of products of the higher-order Euler polynomials. By the same way, similar relations are obtained for $l$ higher-order Bernoulli polynomials and $r$ higher-order Euler polynomials.…
Markov-modulated L\'evy processes lead to matrix integral equations of the kind $ A_0 + A_1X+A_2 X^2+A_3(X)=0$ where $A_0$, $A_1$, $A_2$ are given matrix coefficients, while $A_3(X)$ is a nonlinear function, expressed in terms of integrals…