We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.
My recent book Antieigenvalue Analysis, World-Scientific, 2012, presented the theory of antieigenvalues from its inception in 1966 up to 2010, and its applications within those forty-five years to Numerical Analysis, Wavelets, Statistics, Quantum Mechanics, Finance, and Optimization. Here I am able to offer three further areas of application: Continuum Mechanics, Economics, and Number Theory. In particular, the critical angle of repose in a continuum model of granular materials is shown to be exactly...
As shown by Telgársky and Scheepers, winning strategies in the Menger game characterize -compactness amongst metrizable spaces. This is improved by showing that winning Markov strategies in the Menger game characterize -compactness amongst regular spaces, and that winning strategies may be improved to winning Markov strategies in second-countable spaces. An investigation of 2-Markov strategies introduces a new topological property between -compact and Menger spaces.
We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which the liability/target...
The paper discusses the application of a similarity metric based on compression to the measurement of the distance among Bulgarian dia- lects. The similarity metric is de ned on the basis of the notion of Kolmo- gorov complexity of a le (or binary string). The application of Kolmogorov complexity in practice is not possible because its calculation over a le is an undecidable problem. Thus, the actual similarity metric is based on a real life compressor which only approximates the Kolmogorov complexity....
Étant donné l'importance que prennent les grammaires catégorielles dans le domaine de la linguistique computationnelle, il nous a semblé intéressant de dresser un panorama sur cette question. Nous espérons fournir, aux chercheurs intéressés, un matériau de base susceptible de les aider à approfondir par eux-mêmes le sujet.
Approximate aggregation techniques consist of introducing certain approximations that allow one to reduce a complex system involving many coupled variables obtaining a simpler ʽʽaggregated systemʼʼ governed by a few variables. Moreover, they give results that allow one to extract information about the complex original system in terms of the behavior of the reduced one. Often, the feature that allows one to carry out such a reduction is the presence...