What is the fractional Laplacian? A comparative review with new results
The fractional Laplacian in R d, which we write as (− Δ) α/2 with α∈(0, 2), has multiple
equivalent characterizations. Moreover, in bounded domains, boundary conditions must be …
equivalent characterizations. Moreover, in bounded domains, boundary conditions must be …
[HTML][HTML] Electricity price forecasting: A review of the state-of-the-art with a look into the future
R Weron - International journal of forecasting, 2014 - Elsevier
A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the
last 15 years, with varying degrees of success. This review article aims to explain the …
last 15 years, with varying degrees of success. This review article aims to explain the …
Carbon tail risk
Strong regulatory actions are needed to combat climate change, but climate policy
uncertainty makes it difficult for investors to quantify the impact of future climate regulation …
uncertainty makes it difficult for investors to quantify the impact of future climate regulation …
Quant GANs: deep generation of financial time series
Modeling financial time series by stochastic processes is a challenging task and a central
area of research in financial mathematics. As an alternative, we introduce Quant GANs, a …
area of research in financial mathematics. As an alternative, we introduce Quant GANs, a …
Hitchhikerʼs guide to the fractional Sobolev spaces
E Di Nezza, G Palatucci, E Valdinoci - Bulletin des sciences …, 2012 - Elsevier
This paper deals with the fractional Sobolev spaces Ws, p. We analyze the relations among
some of their possible definitions and their role in the trace theory. We prove continuous and …
some of their possible definitions and their role in the trace theory. We prove continuous and …
Statistical consequences of fat tails: Real world preasymptotics, epistemology, and applications
NN Taleb - arxiv preprint arxiv:2001.10488, 2020 - arxiv.org
The monograph investigates the misapplication of conventional statistical techniques to fat
tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat …
tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat …
Multilevel monte carlo methods
MB Giles - Acta numerica, 2015 - cambridge.org
Monte Carlo methods are a very general and useful approach for the estimation of
expectations arising from stochastic simulation. However, they can be computationally …
expectations arising from stochastic simulation. However, they can be computationally …
[كتاب][B] Fluctuations of Lévy processes with applications: Introductory Lectures
AE Kyprianou - 2014 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
[كتاب][B] Stochastic differential equations
B Øksendal, B Øksendal - 2003 - Springer
5 Stochastic Differential Equations Page 1 5 Stochastic Differential Equations 5.1 Examples
and Some Solution Methods We now return to the possible solutions Xt(ω) of the stochastic …
and Some Solution Methods We now return to the possible solutions Xt(ω) of the stochastic …
[معلومات الإصدار][C] Levy Processes and Stochastic Calculus
D Applebaum - Cambridge Studies in Advanced Mathematics, 2009 - books.google.com
Lévy processes form a wide and rich class of random process, and have many applications
ranging from physics to finance. Stochastic calculus is the mathematics of systems …
ranging from physics to finance. Stochastic calculus is the mathematics of systems …