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Stochastic local volatility models and the Wei-Norman factorization method
Discrete and Continuous Dynamical Systems - Series S. 2022. Vol. 15. No. 12. P. 3699–3722.
Guerrero J., Orlando G.
In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be reduced to a system of autonomous PDEs that can be solved using the heat kernel, by means of the Wei-Norman factorization method and Lie algebraic techniques. Then, we compare the results of traditional Monte Carlo simulations with the explicit solutions obtained by said techniques. This approach is new in the literature and, in addition to reducing a non-autonomous problem into an autonomous one, allows for shorter time in numerical computations.
Makarov I. A., Россия в глобальной политике 2026 Т. 24 № 4 (140) С. 164–182
Три с половиной года остаётся до 2030-го – окончания срока реализации Целей устойчивого развития (ЦУР) – главной международной инициативы, устанавливающей долгосрочные ориентиры для будущего человечества. Уже очевидно, что она провалилась: преодоление бедности, решение экологических проблем и построение инклюзивного и справедливого общества остались красивой мечтой. Кто-то может воспринимать ЦУР как памятник человеческой наивности. Но надо понимать, что эта ...
Added: September 14, 2026
Fedorova E., Ledyaeva S., Stepanov V., International Review of Economics and Finance 2026
This study investigates the influence of low-quality information, specifically fake news, on short
term stock returns, contributing to the discourse on signal theory and behavioral economics.
Employing a machine learning approach, the authors developed a robust fake news dataset from
publicly available sources. Sentiment analysis was conducted using a FinBERT model fine-tuned
for stock market contexts, alongside extensive dataset ...
Added: September 12, 2026
Смирнов С. В., Миллионщиков Д. В., Уфимский математический журнал 2021 Т. 13 № 2 С. 44–73
В данной работе изучаются характеристические алгебры для систем экспоненциального типа, соответствующих вырожденным матрицам Картана. Эти системы обобщают хорошо известные в теории интегрируемых систем гиперболические уравнения синус-Гордон и Цицейки. Для таких систем, соответствующих матрицам Картана ранга 2, характеристические алгебры описаны явно в терминах образующих и соотношений, и доказано, что они имеют линейный рост. Исследуется связь между ...
Added: September 11, 2026
Смирнов С. В., Glasgow Mathematical Journal 2026 Vol. 68 No. 2 P. 299–316
In the second half of the 19th century Darboux obtained determinant formulae that provide the general solution for a linear hyperbolic second order PDE with finite Laplace series. These formulae played an important role in his study of the theory of surfaces and, in particular, in the theory of conjugate nets. During the last three ...
Added: September 11, 2026
Смирнов С. В., Journal of Physics A: Mathematical and Theoretical 2023 Vol. 56 No. 26 Article 265204
There are different methods of discretizing integrable systems. We consider semi-discrete analog of two-dimensional Toda lattices associated to the Cartan matrices of simple Lie algebras that was proposed by Habibullin in 2011. This discretization is based on the notion of Darboux integrability. Generalized Toda lattices are known to be Darboux integrable in the continuous case ...
Added: September 11, 2026
Enatskaya N., Труды Карельского научного центра РАН. Серия 10: Математическое моделирование и информационные технологии 2026 № 6 С. 132–138
In schemes S for placing r particles in n distinguishable cells, their placement in selected m cells – schemes S∗ is studied, for which the analysis is carried out by a new enumerative method (EM) in extended areas of enumerative combinatorics: finding the number of outcomes and, based on the construction of a model of ...
Added: September 11, 2026
Enatskaya N., Труды Карельского научного центра РАН. Серия 10: Математическое моделирование и информационные технологии 2026 № 6 С. 139–147
The class of particle cell arrangements under consideration is characterized by the introduction of an upper limit on the filling levels of the cells, which must be achieved in at least one cell of each outcome of each arrangement. The circuits are distinguished by the paired qualities of their constituent elements (cells and particles) according ...
Added: September 11, 2026
Карпова Д. А., Sizova I., Gordin V. E., Креативные индустрии 2026 Т. 2 № 2 С. 10–31
This article examines the musealisation of industrial heritage and its role in regional and corporate branding. The relevance of this study stems from deindustrialisation processes, the growth of industrial tourism, and the need to preserve historical memory, which is particularly important in the context of Russian realities—the lack of a legal definition of the concept ...
Added: September 9, 2026
Veselova L. S., Морозова В. С., Дарчиева А. А., Управленец 2026 Vol. 17 No. 4 P. 66–78
На фоне развивающихся торгово-экономических отношений между Россией и Китаем российские десерт- ные бренды получают новые возможности для выхода на китайский рынок. Однако их присутствие ограничено преи- мущественно приграничными регионами, а продвижение сдерживается недостаточной адаптацией к социокультурным особенностям китайских потребителей. Статья посвящена разработке практических рекомендаций по формированию стратегии адаптации российских десертных брендов к специфике китайского рынка. ...
Added: September 9, 2026
Podinovskiy V. V., Нелюбин А. П., Автоматика и телемеханика 2026 № 8 С. 110–123
Для многокритериальных задач принятия решений по аналогии с качественной вероятностью введены понятия полной и частичной качественной важности как бинарных отношений, обладающих постулируемыми
свойствами. Предложено новое определение отношения нестрогого предпочтения на множестве вариантов решений, порождаемое качественной
важностью. Исследованы его свойства. Указаны аналитические правила,
позволяющие попарно сравнивать варианты по предпочтительности. Проведено сравнение новых отношений предпочтения с разработанными ранее для задач, ...
Added: September 9, 2026
Podinovskiy V. V., Нелюбин А. П., Автоматика и телемеханика 2026 № 7 С. 113–126
Рассматриваются задачи принятия решений, когда предпочтения оцениваются в порядковой шкале, а возможности реализации значений
неопределенного фактора описываются качественной вероятностью (полной или только частичной). Вводятся определения отношений предпочтения и безразличий на множестве стратегий. Предлагаются простые
решающие правила, позволяющие сравнивать стратегии по предпочтительности, и приводятся иллюстративные примеры. ...
Added: September 9, 2026
Kilinc-Ata N., Warong M. M., SN Business & Economics 2026 Vol. 6 Article 326(2026)
Green transitions are widely expected to attract cleaner capital and accelerate decarbonization; however, emerging-economy evidence increasingly challenges this assumption. This study examines the dynamic relationship between energy transition indicators and capital inflows in BRICS+ economies over the period 1996–2022, explicitly testing the “Green Haven” hypothesis under conditions of global uncertainty. Unlike much of the existing ...
Added: September 9, 2026
Warong M. M., International Journal of Diplomacy and Economy 2026
This study conducted in Indonesia between 2000 and 2023, demonstrates a complex, non-linear interplay between the economic environment and the emergence of clean energy start-ups. Using Autoregressive Distributed Lag and Markov Switching models, the research shows that start-up formation coincides with periods of lower GDP growth, suggesting that innovation is often spurred by necessity. Two ...
Added: September 9, 2026
Chemical Papers 2026
Benzenoid hydrocarbons are structurally regular aromatic compounds, which makes them well suited for quantitative structure–property relationship (QSPR) studies. This study presents a QSPR analysis of nineteen benzenoid hydrocarbon species using degree-based topological co-indices. We developed a Python program to compute eleven degree-based topological co-indices from molecular graphs and evaluated their ability to explain variations in ...
Added: September 8, 2026
A. A. Ponomarev, N. L. Aleksandrov, Physics of Plasmas 2024 Vol. 31 No. 4 Article 043517
The kinetics of O2- ions was numerically studied in He and Ar with a small admixture of O2 in a strong electric field through a Monte Carlo simulation. Cross-sections for elastic scattering between O2- ions and He and Ar atoms were determined by adjusting cross-section values to obtain good agreement between calculated and measured ion ...
Added: August 26, 2024
Kolokoltsov V., Lin F., Mijatovic A., Fractional Calculus and Applied Analysis 2021 Vol. 24 No. 1 P. 278–306
The paper is devoted to the numerical solutions of fractional PDEs
based on its probabilistic interpretation, that is, we construct approximate
solutions via certain Monte Carlo simulations. The main results represent
the upper bound of errors between the exact solution and the Monte Carlo
approximation, the estimate of the fluctuation via the appropriate central
limit theorem (CLT) and the construction ...
Added: October 29, 2021
Shchur L., / Series arXiv "math". 2021. No. 2107.02406.
In the late 80s and 90s, theoretical physicists of
the Landau Institute for Theoretical Physics designed and
developed several specialized computers for challenging
computational problems in the physics of phase transitions.
These computers did not have a central processing unit. They
optimize algorithms to handle elementary operations on
integers - read, write, compare, and count. The approach
allowed them to achieve recording ...
Added: July 26, 2021
Belomestny D., Schoenmakers J., Spokoiny V. et al., Communications in Mathematical Sciences 2020 Vol. 18 No. 1 P. 109–121
In this note we propose a new approach towards solving numerically optimal stopping problems via reinforced regression-based Monte Carlo algorithms. The main idea of the method is to reinforce standard linear regression algorithms in each backward induction step by adding new basis functions based on the previously estimated continuation values. The proposed methodology is illustrated ...
Added: November 18, 2020
Bayer C., Belomestny D., Redmann M. et al., Journal of Mathematical Analysis and Applications 2020 Vol. 490 No. 1 Article 124236
We study linear rough partial differential equations in the setting of [Friz and Hairer, Springer, 2014, Chapter 12]. More precisely, we consider a linear parabolic partial differential equation driven by a deterministic rough path W of Hölder regularity α with 1/3 < α ≤ 1/2. Based on a stochastic representation of the solution of the rough partial differential equation, we propose a ...
Added: May 22, 2020
Dumanski I., Feigin E., Finkelberg M. V., / Series math "arxiv.org". 2020. No. 2003.12930.
We compute the spaces of sections of powers of the determinant line bundle on the spherical Schubert subvarieties of the Beilinson- Drinfeld affine Grassmannians. The answer is given in terms of global Demazure modules of the current Lie algebra. ...
Added: April 2, 2020
Прудников В. В., Прудников П. В., Маляренко П. Н. et al., Журнал экспериментальной и теоретической физики 2020 Т. 157 № 2 С. 308–326
SImulations of the relaxation of the diluted Ising model from initial states with different magnetization have been done. We measure two-time autocorrelation function and dynamical susceptibility. We found the influence of the percolation threshold dominates the crossover behavior. ...
Added: February 20, 2020
Ponomarev A., Aleksandrov N. L., Journal of Physics D: Applied Physics 2020 Vol. 53 No. 5 Article 055203
The kinetics of and O− ions was addressed in air plasma in a rapidly time-varying electric field that is typical for nanosecond pulsed surface dielectric barrier discharges. Self-consistent sets of cross-sections for these ions in collisions with O2 and N2 molecules were developed. The Monte Carlo technique was used to calculate ion energy distribution, mean ion energy and reaction ...
Added: February 9, 2020
Burovskiy E., Janke W., Guskova M. et al., Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 2019 Vol. 100 No. 6 P. 063303-1–063303-8
We study properties of Markov chain Monte Carlo simulations of classical spin models with local updates. We derive analytic expressions for the mean value of the acceptance rate of single-spin-flip algorithms for the one-dimensional Ising model. We find that for the Metropolis algorithm the average acceptance rate is a linear function of energy. We further provide numerical results ...
Added: November 5, 2019
Khoroshkin S. M., Nazarov M., , in: Advanced Studies in Pure Mathematics (т.76 Representations Theory, Special Functions and Painleve Equations - RIMS 2015)Vol. 76.: Tokyo: Mathematical Society of Japan, 2018. Ch. 8 P. 275–302.
Arakawa, Suzuki and Tsuchiya defined a correspondence between certain modules of the trigonometric Cherednik algebra CN depending on a parameter κ∈C, and certain modules of the affine Lie algebra slˆm of level κ−m. We give a detailed proof of this correspondence by working with the affine Lie algebra glˆm alongside of slˆm. We also relate ...
Added: October 8, 2019