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We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniqueness of the solution of such infinite-dimensional BSDEs…
Here we present a new approach to deal with first order ordinary differential equations (1ODEs), presenting functions. This method is an alternative to the one we have presented in [1]. In [2], we have establish the theoretical background…
We consider a class of particular solutions to the (2+1)-dimensional nonlinear partial differential equation (PDE) $u_t +\partial_{x_2}^n u_{x_1} - u_{x_1} u =0$ (here $n$ is any integer) reducing it to the ordinary differential equation…
We discuss a Lie algebraic and differential geometry construction of solutions to some multidimensional nonlinear integrable systems describing diagonal metrics on Riemannian manifolds, in particular those of zero and constant curvature.…
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In this paper, we study an approximation…
The author discusses particular solutions of a second order equation designated by source equation. This equation is special because the metric of the space where it is written is influenced by the solution, rendering the equation…
We have constructed new formulae for generation of solutions for the nonlinear heat equation and for the Burgers equation that are based on linearizing nonlocal transformations and on nonlocal symmetries of linear equations. Found nonlocal…
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…
In this paper, we develop a class of interacting particle Langevin algorithms to solve inverse problems for partial differential equations (PDEs). In particular, we leverage the statistical finite elements (statFEM) formulation to obtain a…
Sharp $L^\infty$ estimates are obtained for general classes of fully non-linear PDE's on non-K\"ahler manifolds, complementing the theory developed earlier by the authors in joint work with F. Tong for the K\"ahler case. The key idea is…
These lecture notes summarize various summer schools that I have given on the topic of solving inverse problems (state and parameter estimation) by combining optimally measurement observations and parametrized PDE models. After defining a…
Examples of discontinuous functions already appear in the work of Euler, Abel, Dirichlet, Fourier, and Bolzano. A ground-breaking discovery due to Baire was that many discontinuous functions are well-behaved in that they are the pointwise…
In [Solving second order ordinary differential equations by extending the Prelle-Singer method, J. Phys. A: Math.Gen., 34, 3015-3024 (2001)] we defined a function (we called S) associated to a rational second order ordinary differential…
Partial differential equations (PDEs) are used, with huge success, to model phenomena arising across all scientific and engineering disciplines. However, across an equally wide swath, there exist situations in which PDE models fail to…
In this paper, we derive a priori estimates for the gradient and second order derivatives of solutions to a class of Hessian type fully nonlinear parabolic equations with the first initial-boundary value problem on Riemannian manifolds.…
Parabolic partial differential equations (PDEs) are widely used in the mathematical modeling of natural phenomena and man made complex systems. In particular, parabolic PDEs are a fundamental tool to determine fair prices of financial…
Algorithms for the computation of the real zeros of hypergeometric functions which are solutions of second order ODEs are described. The algorithms are based on global fixed point iterations which apply to families of functions satisfying…
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE)…
In this paper, we develop an algebraic approach to classifying contact symmetries of the second-order nonlinear evolution equations. Up to contact isomorphisms, all inequivalent PDEs admitting semi-simple algebras, solvable algebras of…
The likelihood function plays a crucial role in statistical inference and experimental design. However, it is computationally intractable for several important classes of statistical models, including energy-based models and simulator-based…