Related papers: Efficient inverse $Z$-transform: sufficient condit…
In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case…
We construct in the small-time setting the upper and lower estimates for the transition probability density of a L\'evy process in $\rn$. Our approach relies on the complex analysis technique and the asymptotic analysis of the inverse…
We consider the nonlinear inverse problem of learning a transition operator $\mathbf{A}$ from partial observations at different times, in particular from sparse observations of entries of its powers…
In this study, the theorem on necessary and sufficient conditions for the solvability of inverse problem for Sturm-Liouville operator with discontinuous coefficient is proved and the algorithm of reconstruction of potential from spectral…
For a symmetric system, we want to study the problem of crossing an hypersurface in the neighborhood of a given point, when we suppose that all of the available vector fields are tangent to the hypersurface at the point. Classically one…
We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided L\'evy processes. On one hand this allows modellers to use appropriate boundary conditions with confidence when restricting…
We provide closed-form pricing formulas for a wide variety of path-independent options, in the exponential L\'evy model driven by the Normal inverse Gaussian process. The results are obtained in both the symmetric and asymmetric model, and…
We introduce a variational algorithm, which solves the classical inverse Sturm-Liouville problem when two spectra are given. In contrast to other approaches, it recovers the potential as well as the boundary conditions without a priori…
In this paper we characterize sharp time-data tradeoffs for optimization problems used for solving linear inverse problems. We focus on the minimization of a least-squares objective subject to a constraint defined as the sub-level set of a…
In the landscape of approaches toward the simulation of Lattice Models with complex action the Complex Langevin (CL) appears as a straightforward method with a simple, well defined setup. Its applicability, however, is controlled by certain…
The Alvarez-Macovski method [Alvarez, R. E and Macovski, A., "Energy-selective reconstructions in X-ray computerized tomography", Phys. Med. Biol. (1976), 733--44] requires the inversion of the transformation from the line integrals of the…
We study the efficient numerical solution of linear inverse problems with operator valued data which arise, e.g., in seismic exploration, inverse scattering, or tomographic imaging. The high-dimensionality of the data space implies…
The problem of inverting a system in presence of a series-defined output is analyzed. Inverse models are derived that consist of a set of algebraic equations. The inversion is performed explicitly for an output trajectory functional, which…
We provide a sufficient condition for an operator $T$ on a non-metrizable and sequentially separable topological vector space $X$ to be sequentially hypercyclic. This condition is applied to some particular examples, namely, a composition…
We present here the necessary and sufficient conditions for the invertibility of tridiagonal matrices, commonly named Jacobi matrices, and explicitly compute their inverse. The techniques we use are related with the solution of…
We address the integrability conditions of the inverse problem of the calculus of variations for time-dependent SODE using the Spencer version of the Cartan-K\"ahler theorem. We consider a linear partial differential operator $P$ given by…
In the no-core shell model formalism we compute effective one- and two-body operators, using the Lee-Suzuki procedure within the two-body cluster approximation. We evaluate the validity of the latter through calculations in reduced model…
The purpose of this paper is to construct the law of a L\'evy process conditioned to avoid zero, under mild technicals conditions, two of them being that the point zero is regular for itself and the L\'evy process is not a compound Poisson…
In some of the problems, complicated functions of the Z-transform variable, $z$, appear which either cannot be inverted analytically or the required calculations are quite tedious. In such cases numerical methods should be used to find the…
The exploration of complex physical or technological processes usually requires exploiting available information from different sources: (i) physical laws often represented as a family of parameter dependent partial differential equations…