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In this paper, we revisit the well-known perturbed Duffing system and investigate its chaotic dynamics by means of numerical Runge--Kutta method based on topological horseshoe theory. Precisely, we investigate chaos through the topological…
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in…
In this note, we show that there exist solutions of the Muskat problem which shift stability regimes in the following sense: they start stable, then become unstable, and finally return back to the stable regime. This proves existence of…
It was found recently that processes of multidimensional tunneling are generally described at high energies by unstable semiclassical trajectories. We study two observational signatures related to the instability of trajectories. First, we…
We consider the efficient numerical solution of coupled dynamical systems, consisting of a small nonlinear part and a large linear time invariant part, possibly stemming from spatial discretization of an underlying partial differential…
This paper considers the problem of robust stability for a class of uncertain quantum systems subject to unknown perturbations in the system Hamiltonian. Some general stability results are given for different classes of perturbations to the…
The lifted Heston model is a stochastic volatility model emerging as a Markovian lift of the rough Heston model and the class of rough volatility processes. The model encodes the path dependency of volatility on a set of N square-root state…
Exponential time differencing methods is a power tool for high-performance numerical simulation of computationally challenging problems in condensed matter physics, fluid dynamics, chemical and biological physics, where mathematical models…
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility…
In this note we consider splitting methods based on linear multistep methods and stabilizing corrections. To enhance the stability of the methods, we employ an idea of Bruno & Cubillos (2016) who combine a high-order extrapolation formula…
In this work, we study finite-time stability of switched and hybrid systems in the presence of unstable modes. We present sufficient conditions in terms of multiple Lyapunov functions for the origin of the system to be finite time stable.…
We show in this paper that third- and fourth-order low storage Runge-Kutta algorithms can be built specifically for quadratic nonlinear operators, at the expense of roughly doubling the time needed for evaluating the temporal derivatives.…
This paper deals a continuous-time state-dependent jump linear system, a particular kind of stochastic switching system. In particular, we consider a situation when the transition rate of the random jump process depends on the state…
The hyperbolic model (HM) time integration scheme tackles parabolic problems by adding a small artificial second order time derivative term. Described by Samarskii in his 1971 book, the scheme reappeared as the generalized Du Fort-Frankel…
In this paper, we consider the stability analysis of large-scale distributed networked control systems with random communication delays between linearly interconnected subsystems. The stability analysis is performed in the Markov jump…
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process…
Optimal error estimates of stable and stabilized Lagrange-Galerkin (LG) schemes for natural convection problems are proved under a mild condition on time increment and mesh size. The schemes maintain the common advantages of the LG method,…
A semi-classical non-Hamiltonian model of a spontaneous collapse of unstable quantum system is given. The time evolution of the system becomes non-Hamiltonian at random instants of transition of pure states to reduced ones, given by a…
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
Super-time-stepping (STS) methods provide an attractive approach for enabling explicit time integration of parabolic operators, particularly in large-scale, higher-dimensional kinetic simulations where fully implicit schemes are…