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A numerical method is developed for solving a system of partial differential equations modeling the flow of a nematic liquid crystal fluid with stretching effect, which takes into account the geometrical shape of its molecules. This system…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a…
We construct and analyze a projection-free linearly implicit method for the approximation of flows of harmonic maps into spheres. The proposed method is unconditionally energy stable and, under a sharp discrete regularity condition,…
This article presents a systematic methodology for modeling a class of flexible multidimensional mechanical structures defined by linear elastic relations that directly allows to obtain their infinite-dimensional port-Hamiltonian…
We propose a projection method to estimate risk-neutral moments from option prices. We derive a finite-sample bound implying that the projection estimator attains (up to a constant) the smallest pricing error within the span of traded…
In this paper, we study the extended Hamilton-Jacobi Theory in the context of dynamical systems with symmetries. Given an action of a Lie group $G$ on a manifold $M$ and a $G$-invariant vector field $X$ on $M$, we construct complete…
This work evaluates the magnitude of the turbulent energy cascade in terms of forward and backward scattering by modeling the "stretch and fold" mechanism through a drift-free Hanggi-Klimontovich stochastic process. Mapping this dynamics…
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps…
We focus on extending existing short-rate models, enabling control of the generated implied volatility while preserving analyticity. We achieve this goal by applying the Randomized Affine Diffusion (RAnD) method to the class of short-rate…
We describe a simple form of importance sampling designed to bound and compute large-deviation rate functions for time-extensive dynamical observables in continuous-time Markov chains. We start with a model, defined by a set of rates, and a…
As a consequence of the financial crises, risk management became more important and real-world dynamics of interest-rate models moved into the focus of interest. Since risk-neutral dynamics are classically important to compute prices of…
In this paper, we examine a geometrical projection algorithm for statistical inference. The algorithm is based on Pythagorean relation and it is derivative-free as well as representation-free that is useful in nonparametric cases. We derive…
Generative models have gained significant attention in multivariate time series forecasting (MTS), particularly due to their ability to generate high-fidelity samples. Forecasting the probability distribution of multivariate time series is…
This paper describes a forward algorithm and an adjoint algorithm for computing sensitivity derivatives in chaotic dynamical systems, such as the Lorenz attractor. The algorithms compute the derivative of long time averaged "statistical"…
We develop a new Hamiton-Jacobi (HJ) and differential game approach for exploring the Pareto front of (constrained) multi-objective optimization (MOO) problems. Given a preference function, we embed the scalarized MOO problem into the value…
Many communication and control problems are cast as multi-objective Markov decision processes (MOMDPs). The complete solution to an MOMDP is the Pareto front. Much of the literature approximates this front via scalarization into…
A classical result in Riemannian geometry states that the absolutely continuous curves into a (finite-dimensional) Riemannian manifold form an infinite-dimensional manifold. In the present paper this construction and related results are…
Continuous-time projected dynamical systems are an elementary class of discontinuous dynamical systems with trajectories that remain in a feasible domain by means of projecting outward-pointing vector fields. They are essential when…
We present an analysis on the convergence properties of the so-called geometric heat flow equation for computing geodesics (extremal curves) on Riemannian manifolds. Computing geodesics numerically in real time has become an important…
The operator splitting approach applied to the Navier-Stokes equations, gave rise to various numerical methods for the simulations of the dynamics of fluids. The separate work of Chorin and Temam on this subject gave birth to the so-called…