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We present a previously unexplored forward-mode differentiation method for Maxwell's equations, with applications in the field of sensitivity analysis. This approach yields exact gradients and is similar to the popular adjoint variable…
We represent the universal Menger curve as the topological realization $|\mathbb{M}|$ of the projective Fra\"iss\'e limit ${\mathbb M}$ of the class of all finite connected graphs. We show that $\mathbb{M}$ satisfies combinatorial analogues…
We follow the lines of Musiela and Rutkowski and extend their interpolation method to models with jumps. Together with an extension method for the tenor structure of a given LIBOR market model (LMM) we get an infinite LIBOR termstructure.…
The long-term dynamics of many dynamical systems evolve on an attracting, invariant "slow manifold" that can be parameterized by a few observable variables. Yet a simulation using the full model of the problem requires initial values for…
High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in Stratonovich form. In the setting of weighted spaces, the necessary analyticity of the split…
The space of probability distributions on a given sample space possesses natural geometric properties. For example, in the case of a smooth parametric family of probability distributions on the real line, the parameter space has a…
The paper proposes a new mathematical model of economic cycles and crises, which generalizes the well-known model of Dubovsky S.V. The novelty of the proposed model lies in taking into account the effect of heredity (memory), as well as the…
In this paper, we study term structure movements in the spirit of Heath, Jarrow, and Morton [Econometrica 60(1), 77-105] under volatility uncertainty. We model the instantaneous forward rate as a diffusion process driven by a G-Brownian…
Finite difference schemes, using Backward Differentiation Formula (BDF), are studied for the approximation of one-dimensional diffusion equations with an obstacle term, of the form $$\min(v_t - a(t,x) v_{xx} + b(t,x) v_x + r(t,x) v, v-…
Developments in finance industry and academic research has led to innovative financial products. This paper presents an alternative approach to price American options. Our approach utilizes famous \cite{heath1992bond} ("HJM") technique to…
We analyze the infinite horizon minimax average cost Markov Control Model (MCM), for a class of controlled process conditional distributions, which belong to a ball, with respect to total variation distance metric, centered at a known…
Given a complex Hilbert space H and the von Neumann algebra L(H) of all bounded linear operators on H, we study the Grassmann manifold M of all projections in L(H) that have a fixed finite rank r. We take the Jordan-Banach triple theory…
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…
The inclination or $\lambda$-Lemma is a fundamental tool in finite dimensional hyperbolic dynamics. In contrast to finite dimension, we consider the forward semi-flow on the loop space of a closed Riemannian manifold $M$ provided by the…
We complete the theoretical framework required for the construction of a Morse homology theory for certain types of forced mean curvature flows. The main result of this paper describes the asymptotic behaviour of these flows as the forcing…
We prove a non-squeezing result for infinite-dimensional Hamiltonian flows using non-standard model theory. For this we prove the existence of a corresponding family of pseudoholomorphic spheres and characterize the maximal time in terms of…
We develop a reduced-order framework for optimizing mixing in two-dimensional incompressible flows. Instead of optimizing the full transport PDE, the method maximizes the length of advected material interfaces, leading to a…
Local Volatility (LV) is a powerful tool for market modeling, enabling the generation of arbitrage-free scenarios calibrated to all European options. To implement LV, we need to interpolate and extrapolate option prices. This approach is…
We establish universal approximation theorems for infinite-dimensional geometric rough paths, i.e., we show that continuous functions on the space of infinite-dimensional weakly geometric H\"older continuous rough paths can be approximated…
We develop a transfer matrix formalism to visualize the framing of discrete piecewise linear curves in three dimensional space. Our approach is based on the concept of an intrinsically discrete curve, which enables us to more effectively…