Holomorphic transforms with application to affine processes

application of affine gray-box neural models for nonlinear control of chemical processes

Saddlepoint Approximations for Affine Jump-Diffusion Models

Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuoustime asset pricing models that balance tractability and flexibility in matching market data. The prices of e.g., bonds, options, and other assets in AJD models are given by extended pricing transforms that have an exponential-affine form; these transforms have been characterized in great generality by Du...

Affine stationary processes with applications to fractional Brownian motion

ABSTIUCT In our previous work, we introduced a new class of nonstationary stochastic processes whose spectral representation is associated with the wavelet transforms and established a mathematical framework for the analysis of such processes 111. We refer to these processes as uffine stptionary processes. These processes are indexed by the affine p u p , or ax+b group, which can be though of a...

Realization of locally extended affine Lie algebras of type $A_1$

Locally extended affine Lie algebras were introduced by Morita and Yoshii in [J. Algebra 301(1) (2006), 59-81] as a natural generalization of extended affine Lie algebras. After that, various generalizations of these Lie algebras have been investigated by others. It is known that a locally extended affine Lie algebra can be recovered from its centerless core, i.e., the ideal generated by weight...

Free Holomorphic Functions on the Unit Ball of B(h)

1. Free holomorphic functions and Hausdorff derivations 2. Cauchy, Liouville, and Schwartz type results for free holomorphic functions 3. Algebras of free holomorphic functions 4. Free analytic functional calculus and noncommutative Cauchy transforms 5. Weierstrass and Montel theorems for free holomorphic functions 6. Free pluriharmonic functions and noncommutative Poisson transforms 7. Hardy s...