相关论文: Affine term structure models driven by independent…
Motivated by applications to a manifold of semilinear and quasilinear stochastic partial differential equations (SPDEs) we establish the existence and uniqueness of strong solutions to coercive and locally monotone SPDEs driven by L\'{e}vy…
In this paper we study the asymptotic properties of the power variations of stochastic processes of the type X=Y+L, where L is an alpha-stable Levy process, and Y a perturbation which satisfies some mild Lipschitz continuity assumptions. We…
Consistent Recalibration models (CRC) have been introduced to capture in necessary generality the dynamic features of term structures of derivatives' prices. Several approaches have been suggested to tackle this problem, but all of them,…
We prove the existence of random dynamical systems and random attractors for a large class of locally monotone stochastic partial differential equations perturbed by additive L\'{e}vy noise. The main result is applicable to various types of…
We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the…
We apply results of Malliavin-Thalmaier-Watanabe for strong and weak Taylor expansions of solutions of perturbed stochastic differential equations (SDEs). In particular, we work out weight expressions for the Taylor coefficients of the…
This paper is mainly concerned with the robustly stable adaptive control of single-input single-output impulse-free linear time-invariant singular dynamic systems of known order and unknown parameterizations subject to single external point…
The $\Sigma$-method for structural analysis of a differential-algebraic equation (DAE) system produces offset vectors from which the sparsity pattern of a system Jacobian is derived. This pattern implies a block-triangular form (BTF) of the…
This paper studies stabilities of stochastic differential equation (SDE) driven by time-changed L\'evy noise in both probability and moment sense. This provides more flexibility in modeling schemes in application areas including physics,…
A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling…
This work presents an analytical and computational study of fractional-order delay differential equations formulated using both the conformable and Caputo derivatives. For the conformable case, we develop the associated integral,…
Identifying control-friendly models of nonlinear systems remains one of the major challenges at the intersection of system identification and control. The Linear Parameter-Varying (LPV) framework offers a promising solution, but existing…
We study the well-posedness of general reflected BSDEs driven by a continuous martingale, when the coefficient f of the driver has at most quadratic growth in the control variable Z, with a bounded terminal condition and a lower obstacle…
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…
Autoregressive sequence models achieve state-of-the-art performance in domains like machine translation. However, due to the autoregressive factorization nature, these models suffer from heavy latency during inference. Recently,…
We solve multidimensional SDEs with distributional drift driven by symmetric, $\alpha$-stable L\'evy processes for $\alpha\in (1,2]$ by studying the associated (singular) martingale problem and by solving the Kolmogorov backward equation.…
In this study, we propose high-order implicit and semi-implicit schemes for solving ordinary differential equations (ODEs) based on Taylor series expansion. These methods are designed to handle stiff and non-stiff components within a…
Neural operator models for solving partial differential equations (PDEs) often rely on global mixing mechanisms-such as spectral convolutions or attention-which tend to oversmooth sharp local dynamics and introduce high computational cost.…
The paper is concerned with the finite-time stabilization of a hybrid PDE-ODE system describing the motion of an overhead crane with a flexible cable. The dynamics of the flexible cable is described by the wave equation with a variable…
This paper investigates the robust stabilisation of a class of fractional-order non-linear systems via fixed-order dynamic output feedback controller in terms of linear matrix inequalities (LMIs). The systematic stabilisation algorithm…