Pathwise estimates for an effective dynamics
, 2016 Starting from the overdamped Langevin dynamics in $\mathbb{R}^n$, $$ dX_t = -\nabla V(X_t) dt + \sqrt{2 \beta^{-1}} dW_t, $$ we consider a scalar Markov process $\xi_t$ which approximates the dynamics of the first component $X^1_t$. In the previous work [
Legoll, Frederic +2 more
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The maximum maximum of a martingale with given $n$ marginals
, 2016 We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to $n$-marginal Skorokhod embedding problem in Ob{\l}\'oj and Spoida [An ...
Henry-Labordère, Pierre +3 more
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High order discretization schemes for stochastic volatility models [PDF]
In usual stochastic volatility models, the process driving the volatility of the asset price evolves according to an autonomous one-dimensional stochastic differential equation. We assume that the coefficients of this equation are smooth.
Benjamin Jourdain, Mohamed Sbai
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Robust Hedging with Proportional Transaction Costs
, 2013 Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset.
Dolinsky, Yan, Soner, H. Mete
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Understanding the Fine Structure of Electricity Prices. [PDF]
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool.
Geman, Hélyette, Roncoroni, Andréa
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, 2014 Difficulties in founding microscopically the Vlasov equation for Coulomb-interacting particles are recalled for both the statistical approach (BBGKY hierarchy and Liouville equation on phase space) and the dynamical approach (single empirical measure on ...
Doveil, Fabrice +2 more
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An orthotropic continuum model with substructure evolution for describing bone remodeling: an interpretation of the primary mechanism behind Wolff's law. [PDF]
Biomech Model Mechanobiol, 2023 Giorgio I +3 more
europepmc +1 more source
"Most tantumising state of affairs": Mathematical and non-mathematical in quantum-like understanding of thinking. [PDF]
Front Psychol, 2022 Plotnitsky A.
europepmc +1 more source
Symmetry breaking and effects of nutrient walkway in time-dependent bone remodeling incorporating poroelasticity. [PDF]
Biomech Model Mechanobiol, 2022 Esposito L +3 more
europepmc +1 more source
Numerical approximation of corotational dumbbell models for dilute polymers [PDF]
, 2007 We construct a general family of Galerkin methods for the numerical approximation of weak solutions to a coupled microscopic-macroscopic bead-spring model that arises from the kinetic theory of dilute solutions of polymeric liquids with noninteracting ...
Barrett, John W., Suli, Endre
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