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20012025
most citedAnalysis of Fourier transform valuation formulas and applications

170 citations

9 papers

cs.DC2025

A Byzantine Fault Tolerance Approach towards AI Safety

John deVadoss, Matthias Artzt

Ensuring that an AI system behaves reliably and as intended, especially in the presence of unexpected faults or adversarial conditions, is a complex challenge. Inspired by the fiel…

gr-qc2024★ 5 cited

A meta inspiral-merger-ringdown consistency test of general relativity with gravitational wave signals from compact binaries

Sakshi Satish Madekar, Nathan K Johnson-McDaniel, Anuradha Gupta +1

The observation of gravitational waves from compact binary coalescences is a promising tool to test the validity of general relativity (GR) in a highly dynamical strong-field regim…

math.AP2018★ 11 cited

Pattern formation for a local/nonlocal interaction functional arising in colloidal systems

Sara Daneri, Eris Runa

In this paper we study pattern formation for a physical local/nonlocal interaction functional where the local attractive term is given by the -perimeter and the nonlocal repulsi…

math.AP2017★ 5 cited

A Compactness and Structure Result for a Discrete Multi-Well Problem with Symmetry in Arbitrary Dimension

Georgy Kitavtsev, Gianluca Lauteri, Stephan Luckhaus +1

In this note we combine the "spin-argument" from [KLR15] and the -dimensional incompatible, one-well rigidity result from [LL16], in order to infer a new proof for the compactne…

q-fin.TR2012

Portfolio liquidation in dark pools in continuous time

Peter Kratz, Torsten Schöneborn

We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional ex…

math.PR2009★ 4 cited

Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model

Antonis Papapantoleon, Maria Siopacha

In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by Lévy processes or general semimartingales. The main ingredien…

math.PR2009★ 1 cited

On the Martingale Property of Certain Local Martingales

Aleksandar Mijatovic, Mikhail Urusov

The stochastic exponential of a continuous local martingale is itself a continuous local martingale. We give a necessary and sufficient cond…

q-fin.PR2008★ 170 cited

Analysis of Fourier transform valuation formulas and applications

Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option…

hep-ex2001★ 13 cited

Radiative decay width of the a2(1320)^- meson

The SELEX collaboration, V. V. Molchanov

Coherent pi^+pi^-pi^- production in the interactions of a beam of 600 GeV pi^- mesons with C, Cu and Pb nuclei has been studied with the SELEX facility (Experiment E781 at Fermilab…