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We obtain a representation of an inhomogeneous Levy process in a Lie group or a homogeneous space in terms of a drift, a matrix function and a measure function. Because the stochastic continuity is not assumed, our result generalizes the…
We describe a complete algorithm to compute millions of coefficients of classical modular forms in a few seconds. We also review operations on Euler products and illustrate our methods with a computation of triple product L-function of…
In this paper we use a contour integral method to derive a generating function in the form of a double series involving the product of two Chebyshev polynomials over generalized independent indices expressed in terms of the incomplete gamma…
We present an option pricing formula for European options in a stochastic volatility model. In particular, the volatility process is defined using a fractional integral of a diffusion process and both the stock price and the volatility…
We provide a recursive method for constructing product formula approximations to exponentials of commutators, giving the first approximations that are accurate to arbitrarily high order. Using these formulas, we show how to approximate…
We continue the investigation of the Levy processes on a q-deformed full Fock space started in a previous paper. First, we show that the vacuum vector is cyclic and separating for the algebra generated by such a process. Next, we describe a…
Sequences of Levy transformations for the Darboux system of conjugates nets in multidimensions are studied. We show that after a suitable number of Levy transformations, with at least a Levy transformation in each direction, we get closed…
We develop a simple and intuitive identity for calculating expectations of weighted $k$-fold sums over particles in branching processes, generalising the well-known many-to-one lemma.
For a refracted L\'evy process driven by a spectrally negative L\'evy process, we use a different approach to derive expressions for its q-potential measures without killing. Unlike previous methods whose derivations depend on scale…
Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The Black-Scholes model is appealing because of…
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative L\'evy process \xi with unbounded variation.…
In this paper we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use the techniques of the Malliavin calculus in order to…
We prove L^p estimates for a class of two-dimensional multilinear forms that naturally generalize (dyadic variants of) both classical paraproducts and the twisted paraproduct introduced in [5] and studied in [1] and [6]. The method we use…
We generalize the tensor product theory for modules for a vertex operator algebra previously developed in a series of papers by the first two authors to suitable module categories for a ``conformal vertex algebra'' or even more generally,…
From the literature it is known that orthogonal polynomials as the Jacobi polynomials can be expressed by hypergeometric series. In this paper, the authors derive several contiguous relations for terminating multivariate hypergeometric…
We consider the interpolation problem with the inverse multiquadric radial basis function. The problem usually produces a large dense linear system that has to be solved by iterative methods. The efficiency of such methods is strictly…
We suggest an adaptive version of a partial linearization method for composite optimization problems. The goal function is the sum of a smooth function and a non necessary smooth convex separable function, whereas the feasible set is the…
A novel combinatorial formula is developed for for tensor product multiplicities in representation theory. We introduce a difference formula linking these multiplicities to restricted occupancy coefficients via a shifted operator. This…
We use a path integral approach for solving the stochastic equations underlying the financial markets, and we show the equivalence between the path integral and the usual SDE and PDE methods. We analyze both the one-dimensional and the…
We establish a connection between the scattering inverse problem and the determination of the distribution of the position of the Levy process at the exit time of a bounded interval in term of its Levy exponent.