相关论文: Affine term structure models driven by independent…
Substructural type systems, such as affine (and linear) type systems, are type systems which impose restrictions on copying (and discarding) of variables, and they have found many applications in computer science, including quantum…
An extension of the Heath--Jarrow--Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as L\'evy field noise terms is given. In the special case where the L\'evy…
Stochastic differential equations (SDEs) describe dynamical systems where deterministic flows, governed by a drift function, are superimposed with random fluctuations, dictated by a diffusion function. The accurate estimation (or discovery)…
Constitutive and closure models play important roles in computational mechanics and computational physics in general. Classical constitutive models for solid and fluid materials are typically local, algebraic equations or flow rules…
In this paper, we establish Liouville type theorems for stable solutions on the whole space $\mathbb R^N$ to the fractional elliptic equation $$(-\Delta)^su=f(u)$$ where the nonlinearity is nondecreasing and convex. We also obtain a…
Using a combination of recurrent neural networks and signature methods from the rough paths theory we design efficient algorithms for solving parametric families of path dependent partial differential equations (PPDEs) that arise in pricing…
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite…
In this paper, we prove Liouville type theorems for stable solutions to the weighted fractional Lane-Emden system \begin{align*} (-\Delta)^s u = h(x)v^p,\quad (-\Delta)^s v= h(x)u^q, \quad u,v>0\quad \mbox{in }\;\mathbb{R}^N, \end{align*}…
A systematic and comprehensive framework for finite impulse response (FIR) lowpass/fullband derivative kernels is introduced in this paper. Closed form solutions of a number of derivative filters are obtained using the maximally flat…
We give an integrable extension of the lattice models recently considered by I.Kostov in his study of strings in discrete space. These models are IRF models with spin variables living in any connected graph, the vertex model underlying…
Modern data-driven control applications call for flexible nonlinear models that are amenable to principled controller synthesis and realtime feedback. Many nonlinear dynamical systems of interest are control affine. We propose two novel…
In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a L\'evy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz…
We analyze the stability properties of Lur'e systems with piecewise continuous nonlinearities by exploiting the notion of set-valued Lie derivative for Lur'e-Postnikov Lyapunov functions. We first extend an existing result of the literature…
We discuss simulation schemes for continuous-time autoregressive moving average (CARMA) processes driven by tempered stable L\'evy noises. CARMA processes are the continuous-time analogue of ARMA processes as well as a generalization of…
We introduce a training-efficient framework for time-series learning that combines random features with controlled differential equations (CDEs). In this approach, large randomly parameterized CDEs act as continuous-time reservoirs, mapping…
Random matrix theory allows for the deduction of stability criteria for complex systems using only a summary knowledge of the statistics of the interactions between components. As such, results like the well-known elliptical law are…
The additive process generalizes the L\'evy process by relaxing its assumption of time-homogeneous increments and hence covers a larger family of stochastic processes. Recent research in option pricing shows that modeling the underlying log…
In this paper we first study the fixed-time stabilizability of discrete-time switched linear control systems. Using a geometric approach, we derive conditions under which such systems can be stabilized within a prescribed number of steps,…
We consider discrete self-adjoint Dirac systems determined by the potentials (sequences) $\{C_k\}$ such that the matrices $C_k$ are positive definite and $j$-unitary, where $j$ is a diagonal $m\times m$ matrix and has $m_1$ entries $1$ and…
The infinitesimal generator of a one-dimensional strictly $\alpha$-stable process can be represented as a weighted sum of (right and left) Riemann-Liouville fractional derivatives of order $\alpha$ and one obtains the fractional Laplacian…