Results 1 to 10 of about 133 (130)
Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach [PDF]
The Scientific World Journal, 2013 In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation.
Oleg Kudryavtsev
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Weyl metrics and Wiener-Hopf factorization [PDF]
Journal of High Energy Physics, 2020 We consider the Riemann-Hilbert factorization approach to the construction of Weyl metrics in four space-time dimensions. We present, for the first time, a rigorous proof of the remarkable fact that the canonical Wiener-Hopf factorization of a matrix ...
P. Aniceto +3 more
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Applied Sciences, 2023 In this paper, the plane wave diffraction from a semi-infinite parallel-plate waveguide with five-layer material loading is rigorously analyzed for H-polarization using the Wiener–Hopf technique. The Fourier transform of the scattered field is introduced
Kewen He, Kazuya Kobayashi
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Gärtner–Ellis condition for squared asymptotically stationary Gaussian processes
Modern Stochastics: Theory and Applications, 2015 We establish the Gärtner–Ellis condition for the square of an asymptotically stationary Gaussian process. The same limit holds for the conditional distribution given any fixed initial point, which entails weak multiplicative ergodicity.
Marina Kleptsyna +2 more
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Mathematics, 2019 This paper considers a method of the calculation of probability of the exit from a band of the solution of a stochastic differential equation. The method is based on the approximation of the solution of the considered equation by a process which is ...
Grigory Beliavsky +2 more
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Wiener--Hopf operators admit triangular factorization [PDF]
Journal of Operator Theory, 2019 We prove that every positive bounded invertible Wiener--Hopf operator admits triangular factorization. This answers the question posed by L. Sakhnovich in 1994.
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Matrix Wiener–Hopf–Hilbert Factorisation [PDF]
SIAM Journal on Applied Mathematics, 1986 Let A(\(\lambda)\) be a \(2\times 2\)-matrix function that is analytic and nonsingular on the cut complex plane \(G={\mathbb{C}}\setminus \{\pm (k+\delta)|\delta\geq 0\}\), where Re k, Im k\(>0\), such that \(\pm k\) are only branch points singularities. A matrix Wiener-Hopf factorization \(A(\lambda)=U(\lambda)L(\lambda)^{-1}\), U (resp.
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On the solution of the convolution equation with a sum-difference kernel
Vestnik Samarskogo Gosudarstvennogo Tehničeskogo Universiteta. Seriâ: Fiziko-Matematičeskie Nauki, 2015 The paper deals with the integral equations of the second kind with a sumdifference kernel. These equations describe a series of physical processes in a medium with a reflective boundary.
Ani G Barseghyan
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Two coupled Lévy queues with independent input
Stochastic Systems, 2014 We consider a pair of coupled queues driven by independent spectrally-positive Lévy processes. With respect to the bi-variate workload process this framework includes both the coupled processor model and the two-server fluid network with independent ...
Jevgenijs Ivanovs, Onno Boxma
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Nauka ta progres transportu, 2014 Purpose. Development and substantiation of a new method of structural identification of electrical devices of electric traction systems for both DC and AC current. Methodology.
T. N. Mishchenko
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