Results 11 to 20 of about 72 (69)

Finite-Series Solutions of Hybrid PDE Systems for Conditional Moments of Regime-Switching Extended CEV Processes with Applications in Finance

Mathematics
This paper develops finite-series solutions of a hybrid system of interconnected partial differential equations for computing the conditional moments of regime-switching extended constant elasticity of variance processes with generalized drift and ...
Parun Juntanon, Sanae Rujivan, Boualem Djehiche   +2 more
doaj   +1 more source

Enhanced Feynman-Kac Formula for Nonlinear Uncertainty Quantification Problems

Highlights in Science, Engineering and Technology
Uncertainty qualification (UQ) issues and partial differential equations (PDEs) are becoming hot topics in the fields of physic and engineering. There are a various number of strategies for handling unknown linear PDEs, including Monte Carlo and the polynomial regression approach.
He Xu, Xueting Li, Wendi Cai
openaire   +1 more source

Feynman-Kac Formula for Time-Dependent Nonlinear Schrödinger Equations with Applications in Numerical Approximations

In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schrödinger equations which may be high-dimensional. Our formulation integrates both the Fisk-Stratonovich and Itô integrals within the framework of backward stochastic differential equations (BSDEs). Utilizing
Cheung, Hang, Qiu, Jinniao, Yang, Yang
openaire   +2 more sources

Dynamics based on analysis of public data for spreading of disease. [PDF]

Sci Rep, 2021
Lima LS.
europepmc   +2 more sources

Simultaneous Momentum and Position Measurement and the Instrumental Weyl-Heisenberg Group. [PDF]

Entropy (Basel), 2023
Jackson CS, Caves CM.
europepmc   +1 more source

Anomalous Dissipation and Lack of Selection in the Obukhov-Corrsin Theory of Scalar Turbulence. [PDF]

Ann PDE, 2023
Colombo M, Crippa G, Sorella M.
europepmc   +1 more source

A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. [PDF]

Comput Econ, 2023
Yoon Y, Kim JH.
europepmc   +1 more source

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

Simultaneous Measurements of Noncommuting Observables: Positive Transformations and Instrumental Lie Groups. [PDF]

Entropy (Basel), 2023
Jackson CS, Caves CM.
europepmc   +1 more source

Alternating the population and control neural networks to solve high-dimensional stochastic mean-field games. [PDF]

Proc Natl Acad Sci U S A, 2021
Lin AT, Fung SW, Li W, Nurbekyan L, Osher SJ.   +4 more
europepmc   +1 more source