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An equivalent optimization formulation for the traffic assignment problem with asymmetric linear costs
(TAYLOR & FRANCIS LTD, 2009)
In this paper, we present a general formulation for the deterministic traffic assignment problem, using an equivalent optimization problem applicable to the case of asymmetric linear cost functions. We present a resolution ...
Functional Itô calculus, path-dependence and the computation of Greeks
(Elsevier Science Bv, 2017-12)
Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...
Path integrals for boundaries in diffusion and quantum mechanics
(2020)
Diffusion and quantum mechanics with boundary conditions arise naturally in various situations in physics. While reflecting and absorbing boundaries are well mathematically described, intermediate scenarios are not that ...
Thermoalgebras and path integral
(Elsevier, 2009-09)
Using a representation for Lie groups closely associated with thermal problems, we derive the algebraic rules of the real-time formalism for thermal quantum field theories, the so-called thermo-field dynamics (TFD), including ...
Numerical path integral calculation of the probability function and exit time: An application to non-gradient drift forces
(Royal Society Publishing, 2018)
We provide numerical solutions based on the path integral representation of stochastic processes for nongradient drift Langevin forces in the presence of noise, to follow the temporal evolution of the probability density ...
The Dirac-delta functions for signal path-loss modeling at mid-sized urban areas
(Institute of Electrical and Electronics Engineers Inc., 2014-09)
A study of the Dirac-Delta functions with polynomial argument for modeling the signal path-loss in mid-sized urban areas is presented. From the fundamental "spike" property of the Dirac-Delta functions, or simply Delta, ...
Functional itô calculus, path-dependence and the computation of greeks
(EMAp - Escola de Matemática Aplicada, 2015)
Dupire’s functional Itˆo calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we ...