Related papers: Old Problems, Classical Methods, New Solutions
In this paper hyperbolic partial differential equations with random coefficients are discussed. Such random partial differential equations appear for instance in traffic flow problems as well as in many physical processes in random media.…
In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…
The rough Heston model is a very popular recent model in mathematical finance; however, the lack of Markov and semimartingale properties poses significant challenges in both theory and practice. A way to resolve this problem is to use…
We present an actor-critic-type reinforcement learning algorithm for solving the problem of hedging a portfolio of financial instruments such as securities and over-the-counter derivatives using purely historic data. The key characteristics…
Machine Learning (ML) algorithms have been increasingly applied to problems from several different areas. Despite their growing popularity, their predictive performance is usually affected by the values assigned to their hyperparameters…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
We present a new analytic expression for the heat current through a general harmonic network coupled with Ohmic reservoirs. We use a new method that enables us to express the stationary state of the network in terms of the eigenvectors and…
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential…
In this work, we present the methods necessary to price an important set of derivatives on a quantum device while offering an advantage over existing classical methods. The methods developed here, in conjunction with ~\cite{GumaroS2026},…
The Initial-Boundary Value Problem for the heat equation is solved by using a new algorithm based on a random walk on heat balls. Even if it represents a sophisticated generalization of the Walk on Spheres (WOS) algorithm introduced to…
In bounded $n$-dimensonal domains with $n\ge 1$, this manuscript examines an initial-boundary value problem for the system \[ \left\{ \begin{array}{l} u_{tt} = \nabla \cdot (\gamma(\Theta) \nabla u_t) + a \nabla \cdot (\gamma(\Theta) \nabla…
We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diffusion model, but all the parameters of the model as well as…
This text is addressed to mathematicians who are interested in generalized functions and unbounded operators on a Hilbert space. We expose in detail (in a "formal way" - as done by Heisenberg and Pauli - i.e. without mathematical…
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be…
In this work, we apply the parametric Nikiforov-Uvarov method to obtain eigen solutions and total normalized wave function of Schr\"odinger equation express in terms of Jacobi polynomial using Coulomb plus Screened Exponential Hyperbolic…
The postulational basis of classical thermodynamics has been expanded to incorporate equilibrium fluctuations. The main additional elements of the proposed thermodynamic theory are the concept of quasi-equilibrium states, a definition of…
We extend the classical Bernstein inequality to a general setting including Schr{\"o}dinger operators and divergence form elliptic operators on Riemannian manifolds or domains. Moreover , we prove a new reverse inequality that can be seen…
We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy and overview the hypothetical results in application to currency pairs trading. The proposed methodology relies on the…
The theory of distributions provides generalized solutions for problems which do not have a classical solution. However, there are problems which do not have solutions, not even in the space of distributions. As model problem you may think…