Related papers: Fourier-Laplace transforms in polynomial Ornstein-…
The family of circular Jacobi $\beta$ ensembles has a singularity of a type associated with Fisher and Hartwig in the theory of Toeplitz determinants. Our interest is in the Fourier transform of the corresponding bulk scaled spectral…
Multivariate orthogonal polynomials in $D$ real dimensions are considered from the perspective of the Cholesky factorization of a moment matrix. The approach allows for the construction of corresponding multivariate orthogonal polynomials,…
We establish a priori Lipschitz estimates for unbounded solutions of second-order Hamilton-Jacobi equations in R^N in presence of an Ornstein-Uhlenbeck drift. We generalize the results obtained by Fujita, Ishii \& Loreti (2006) in several…
A stochastic process with self-interaction as a model of quantum field theory is studied. We consider an Ornstein-Uhlenbeck stochastic process x(t) with interaction of the form x^{(\alpha)}(t)^4, where $\alpha$ indicates the fractional…
Motivated by the work of Busse et al. [6] on turbulent convection in a rotating layer, we exploit the long-run behavior for stochastic Lotka-Volterra (LV) systems both in pull-back trajectory and in stationary measure. It is proved…
This article gives explicit integral formulas for the so-called generalized metaplectic operators, i.e. Fourier integral operators (FIOs) of Schr\"odinger type, having a symplectic matrix as canonical transformation. These integrals are…
In this paper, we study permutation symmetric solutions of the incompressible Euler equation. We show that the dynamics of these solutions can be reduced to an evolution equation on a single vorticity component $\omega_1$, and we…
We define a scalar valued Fourier transform for functions on the Heisenberg group and establish some of its basic properties like inversion formula, Plancherel theorem and Riemann-Lebesgue lemma. We also restate certain well known theorems…
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent…
We provide a complete representation of the interest rate in the extended CIR model. Since it was proved in Maghsoodi (1996) that the representation of the CIR process as a sum of squares of independent Ornstein-Uhlenbeck processes is…
Our work studies sequences of orthogonal polynomials $ \{P_{n}(x)\}_{n=0}^{\infty} $ of the Laguerre-Hahn class, whose Stieltjes functions satisfy a Riccati type differential equation with polynomial coefficients, are subject to a…
We study nearly unstable bivariate cumulative heavy-tailed INAR($\infty$) processes and show that, under a one-factor parameterization and a suitable scaling, they converge to the rough Heston model. This yields a discrete-time…
Recently, the butterfly approximation scheme and hierarchical approximations have been proposed for the efficient computation of integral transforms with oscillatory and with asymptotically smooth kernels. Combining both approaches, we…
The objective of this paper is to derive analytical solutions of fractional order Laplace, Poisson and Helmholtz equations in two variables derived from the corresponding standard equations in two dimensions by replacing the integer order…
We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free model incorporates the volatility clustering feature by adding…
Using a stochastic representation provided by Wiener-regularized path integrals for the semigroups generated by certain Berezin-Toeplitz operators, a transformation formula for their resolvents is derived. The key property used in the…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results…
The so-called "supOU" processes, namely the superpositions of Ornstein-Uhlenbeck type processes are stationary processes for which one can specify separately the marginal distribution and the dependence structure. They can have finite or…
In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type \[ X_{t} = e^{-\xi_{t}} \left( X_{0} + \int_{0}^{t} e^{\xi_{u-}} d u \right), \] where \(\xi_s\) is a L{\'e}vy process.…
We present an efficient and very flexible numerical fast Fourier-Laplace transform, that extends the logarithmic Fourier transform (LFT) introduced by Haines and Jones [Geophys. J. Int. 92(1):171 (1988)] for functions varying over many…