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Regime Switching
This chapter focuses on the evaluation of the transform of the ruin probability in a regime-switching (or Markov modulated) version of the standard...
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Barrier Option Pricing in Regime Switching Models with Rebates
This paper is concerned with the valuation of single and double barrier knock-out call options in a Markovian regime switching model with specific...
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Stochastic differential games with controlled regime-switching
In this article, we consider a two-player zero-sum stochastic differential game with regime-switching. Different from the results in existing...
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Optimal R &D Investment Problem with Regime-Switching
In this paper, we study the optimal research and development (R &D) investment problem under the framework of real options in a regime-switching...
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A Limit Theorem for Regime-Switching Diffusion Processes
An approximation of a regime-switching diffusion process by a family of regime-switching jump Markov processes is considered. The corresponding limit...
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Optimal stop** and impulse control in the presence of an anticipated regime switch
We consider a class of stochastic optimal stop** and impulse control problems where the agent solving the problem anticipates that a regime switch...
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Dynamical Properties of Weather Regime Transitions
Large-scale weather can often be successfully described using a small amount of patterns. A statistical description of reanalysed pressure fields...
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Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps
This paper proposes a unified approach for pricing discretely monitored floating and fixed strike Asian options under a broad class of...
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Inhomogeneous long-range percolation in the weak decay regime
We study a general class of percolation models in Euclidean space including long-range percolation, scale-free percolation, the weight-dependent...
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Analytic solution and numerical validation of the transient regime in dry surface grinding
In the framework of Samara–Valencia model for heat transfer in dry surface grinding, analytical expressions for the time-dependent temperature field...
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Francesco Severi and the Fascist Regime
Francesco Severi was an eminent leader of the Italian school of algebraic geometry at the beginning of the twentieth century. A biographic profile of...
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Optimization of Random Feature Method in the High-Precision Regime
Machine learning has been widely used for solving partial differential equations (PDEs) in recent years, among which the random feature method (RFM)...
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A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching
In this paper, a new stochastic volatility model for pricing European call option is proposed, which introduces the regime-switching mechanism...
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Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
In this paper, we have devised a novel class of implicit-explicit Runge–Kutta methods for the valuation of financial derivatives under...
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Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon
This paper considers a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic...
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Solution of the Boltzmann Equation in the Continuum Flow Regime
AbstractA method for solving the Boltzmann equation is presented that makes it possible to calculate gas flows in the continuum flow regime described...
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Dynamical Analysis of Nonautonomous Trophic Cascade Chemostat Model with Regime Switching and Nonlinear Perturbations in a Polluted Environment
This paper investigates the stochastic dynamics of trophic cascade chemostat model perturbed by regime switching, Gaussian white noise and impulsive...
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Asymptotic-Preserving Neural Networks for Multiscale Vlasov–Poisson–Fokker–Planck System in the High-Field Regime
The Vlasov–Poisson–Fokker–Planck (VPFP) system is a fundamental model in plasma physics that describes the Brownian motion of a large ensemble of...
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Mean Field Control and Finite Agent Approximation for Regime-Switching Jump Diffusions
We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is...
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Geometry of the minimal spanning tree in the heavy-tailed regime: new universality classes
A well-known open problem on the behavior of optimal paths in random graphs in the strong disorder regime, formulated by statistical physicists, and...
