相关论文: The affine transform formula for affine jump-diffu…

Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follow some jump-diffusion processes. In this paper, we propose a…

In this work, a second-order approximation of the fractional substantial derivative is presented by considering a modified shifted substantial Gr\"{u}nwald formula and its asymptotic expansion. Moreover, the proposed approximation is…

To achieve efficient and accurate long-time integration, we propose a fast, accurate, and stable high-order numerical method for solving fractional-in-space reaction-diffusion equations. The proposed method is explicit in nature and…

We establish the existence of solutions to a class of non-linear stochastic differential equation of reaction-diffusion type in an infinite-dimensional space, with diffusion corresponding to a given transition kernel. The solution obtained…

We present an affine-intuitionistic system of types and effects which can be regarded as an extension of Barber-Plotkin Dual Intuitionistic Linear Logic to multi-threaded programs with effects. In the system, dynamically generated values…

We present an affine-intuitionistic system of types and effects which can be regarded as an extension of Barber-Plotkin Dual Intuitionistic Linear Logic to multi-threaded programs with effects. In the system, dynamically generated values…

Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…

Deriving evolution equations accounting for both anomalous diffusion and reactions is notoriously difficult, even in the simplest cases. In contrast to normal diffusion, reaction kinetics cannot be incorporated into evolution equations…

In this paper, we study the asymptotic behaviors of implied volatility of an affine jump-diffusion model. Let log stock price under risk-neutral measure follow an affine jump-diffusion model, we show that an explicit form of moment…

We study a space-fractional Stefan problem with the Dirichlet boundary conditions. It is a model that describes superdiffusive phenomena. Our main result is the existence of the unique classical solution to this problem. In the proof we…

Subdiffusive fractional equations are not structurally stable with respect to spatial perturbations to the anomalous exponent (Phys. Rev. E 85, 031132 (2012)). The question arises of applicability of these fractional equations to model real…

This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for…

An explicit formula for the probability that a continuous local martingale crosses a one or two-sided random constant boundary in a finite time interval is derived. We obtain that the boundary crossing probability of a continuous local…

An initial-boundary value problem for the time-fractional diffusion equation is discretized in space using continuous piecewise-linear finite elements on a polygonal domain with a re-entrant corner. Known error bounds for the case of a…

We consider a spatially homogeneous advection-diffusion equation in which the diffusion tensor and drift velocity are time-independent, but otherwise general. We derive asymptotic expressions, valid at large distances from a steady point…

We consider a diffusion processes $\{ X_t \}$ on an interval in the natural scale. Some results are known under which $\{ X_t \}$ is a martingale, and we give simple and analytic proofs for them.

This work focuses on a class of regime-switching jump diffusion processes with a countably infinite state space for the discrete component. Such processes can be used to model complex hybrid systems in which both structural changes, small…

This paper first introduces a refined version of the Azuma-Hoeffding inequality for discrete-parameter martingales with uniformly bounded jumps. The refined inequality is used to revisit the large deviations analysis of binary hypothesis…

In this paper we consider the problem of calculating the quantiles of a risky position, the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transform methods. Furthermore, we study a…

In this paper we investigate the solution of generalized distributed order diffusion equations with composite time fractional derivative by using the Fourier-Laplace transform method. We represent solutions in terms of infinite series in…