16 citations · 19 across the 9 of their papers we have counts for
12 papers
A market resilient data-driven approach to option pricing
Anindya Goswami, Nimit Rana
In this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical…
Wave maps in dimension with an external forcing
Zdzisław Brzeźniak, Jacek Jendrej, Nimit Rana
This paper aims to establish the local and global well-posedness theory in , inspired by the approach of Keel and Tao [Internat. Math. Res. Notices, 1998], for the forced wave…
Stochastic Modified Flows for Riemannian Stochastic Gradient Descent
Benjamin Gess, Sebastian Kassing, Nimit Rana
We give quantitative estimates for the rate of convergence of Riemannian stochastic gradient descent (RSGD) to Riemannian gradient flow and to a diffusion process, the so-called Ri…
Decay of correlations in stochastic quantization: the exponential Euclidean field in two dimensions
Massimiliano Gubinelli, Martina Hofmanová, Nimit Rana
We present two approaches to establish the exponential decay of correlation functions of Euclidean quantum field theories (EQFTs) via stochastic quantization (SQ). In particular we…
Pseudo-differential calculi and entropy estimates with Orlicz modulation spaces
Anupam Gumber, Nimit Rana, Joachim Toft +1
We deduce continuity properties for pseudo-differential operators with symbols in Orlicz modulation spaces when acting on other Orlicz modulation spaces. In particular we extend we…
Non-linear Young equations in the plane and pathwise regularization by noise for the stochastic wave equation
Florian Bechtold, Fabian A. Harang, Nimit Rana
We study pathwise regularization by noise for equations on the plane in the spirit of the framework outlined by Catellier and Gubinelli (Stochastic Process. Appl., 2016). To this e…
Regime Switching Optimal Growth Model with Risk Sensitive Preferences
Anindya Goswami, Nimit Rana, Tak Kuen Siu
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evoluti…
Random dynamical system generated by the 3D Navier-Stokes equation with rough transport noise
Jorge Cardona, Martina Hofmanova, Torstein Nilssen +1
We consider the Navier-Stokes system in three dimensions perturbed by a transport noise which is sufficiently smooth in space and rough in time. The existence of a weak solution wa…
Low regularity solutions to the stochastic geometric wave equation driven by a fractional Brownian sheet
Zdzisław Brzeźniak, Nimit Rana
We announce a result on the existence of a unique local solution to a stochastic geometric wave equation on the one dimensional Minkowski space with values in an…
Large Deviations for -dimensional Stochastic Geometric Wave Equation
Zdzisław Brzeźniak, Ben Goldys, Martin Ondreját +1
We consider stochastic wave map equation on real line with solutions taking values in a -dimensional compact Riemannian manifold. We show first that this equation has unique, gl…
Local solution to an energy critical 2-D stochastic wave equation with exponential nonlinearity in a bounded domain
Zdzisław Brzeźniak, Nimit Rana
We prove the existence and the uniqueness of a local maximal solution to an -critical stochastic wave equation with multiplicative noise on a smooth bounded domain $\mathcal{D…
Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
Milan Kumar Das, Anindya Goswami, Nimit Rana
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent sem…