50 citations · 202 across the 30 of their papers we have counts for
4 papers · 1 filter
Integrability of local and nonlocal non-commutative fourth order quintic nonlinear Schrodinger equations
Simon J. A. Malham
We prove integrability of a generalised non-commutative fourth order quintic nonlinear Schrodinger equation. The proof is relatively succinct and rooted in the linearisation method…
Series expansions and direct inversion for the Heston model
Simon J. A. Malham, Jiaqi Shen, Anke Wiese
Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is key to the simulation of the stock price based on its exact dis…
Grassmannian flows and applications to non-commutative non-local and local integrable systems
Anastasia Doikou, Simon J. A. Malham, Ioannis Stylianidis
We present a method for linearising classes of matrix-valued nonlinear partial differential equations with local and nonlocal nonlinearities. Indeed we generalise a linearisation p…
Time evolution in quantum systems and stochastics
Anastasia Doikou, Simon J. A. Malham, Anke Wiese
The time evolution problem for non-self adjoint second order differential operators is studied by means of the path integral formulation. Explicit computation of the path integral…