6 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…
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…
Wave maps in dimension with an external forcing
ZdzisÅaw 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…
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…
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…
Local solution to an energy critical 2-D stochastic wave equation with exponential nonlinearity in a bounded domain
ZdzisÅaw 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…