Related papers: A functional variational approach to pricing path …
In this article we study existence of pathwise stochastic integrals with respect to a general class of $n$-dimensional Gaussian processes and a wide class of adapted integrands. More precisely, we study integrands which are functions that…
Recent work on Path-Dependent Partial Differential Equations (PPDEs) has shown that PPDE solutions can be approximated by a probabilistic representation, implemented in the literature by the estimation of conditional expectations using…
We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations. We utilize the…
In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial market. Our framework incorporates a hazard rate modeled as an…
In the present article, a new method for the evaluation of fractional derivatives of arbitrary real order is proposed. Numerous but inequivalent formulations have been given in the past. Some of them exhibit unsatisfactory properties such…
Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates…
In this article I present a fast and direct method for solving several types of linear finite difference equations (FDE) with constant coefficients. The method is based on a polynomial form of the translation operator and its inverse, and…
We consider some possible approaches to the fractional-order generalization of definition of variation (functional) derivative. Some problems of formulation of a fractional-order variational derivative are discussed. To give a consistent…
We extend some results about F\"ollmer's pathwise It\^o calculus that have only been derived for continuous paths to c\`adl\`ag paths with quadratic variation. We study some fundamental properties of pathwise It\^o integrals with respect to…
This paper develops a deep learning-based framework for pricing convertible bonds with path-dependent contractual features, namely downward conversion price reset and issuer call clauses under rolling-window trigger rules, which are…
We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account value lies in some pre-specified disjoint intervals, where on…
The study gives a brief overview of existing modifications of the method of functional separation of variables for nonlinear PDEs. It proposes a more general approach to the construction of exact solutions to nonlinear equations of applied…
The aim of this paper is to characterize a fractal operator associated with multivariate fractal interpolation functions (FIFs) and study the several properties of this fractal operator. Further, with the help of this operator, we…
This article aims to develop a direct numerical approach to solve the space-fractional partial differential equations (PDEs) based on a new differential quadrature (DQ) technique. The fractional derivatives are approximated by the weighted…
Partial differential equation (PDE) models are widely used in engineering and natural sciences to describe spatio-temporal processes. The parameters of the considered processes are often unknown and have to be estimated from experimental…
This paper explores the relationship between non-Markovian fully coupled forward-backward stochastic systems and path-dependent PDEs. The definition of classical solution for the path-dependent PDE is given within the framework of…
We investigate the (functional) convex order of for various continuous martingale processes, either with respect to their diffusions coefficients for L\'evy-driven SDEs or their integrands for stochastic integrals. Main results are bordered…
Incorporating covariates into functional principal component analysis (PCA) can substantially improve the representation efficiency of the principal components and predictive performance. However, many existing functional PCA methods do not…
The use of variational method in functional integral approach is discussed for fermion and boson systems with Coulomb interaction. The formal general expression of thermodynamic potential is obtained by Feynman path integral technique and…
We study fractional variational problems in terms of a generalized fractional integral with Lagrangians depending on classical derivatives, generalized fractional integrals and derivatives. We obtain necessary optimality conditions for the…