no code implementations • 26 May 2023 • Michael A. Kouritzin, Daniel Richard
A topological neural network (TNN), which takes data from a Tychonoff topological space instead of the usual finite dimensional space, is introduced.
no code implementations • 12 Aug 2022 • Michael A. Kouritzin
Herein, the Hidden Markov Model is expanded to allow for Markov chain observations.
no code implementations • 11 Jan 2021 • Yaozhong Hu, Michael A. Kouritzin, Jiayu Zheng
The approach relies on the apriori bounds for the density of the solution to time inhomogeneous diffusions.
Probability
no code implementations • 18 Sep 2020 • Iro René Kouarfate, Michael A. Kouritzin, Anne MacKay
An explicit weak solution for the 3/2 stochastic volatility model is obtained and used to develop a simulation algorithm for option pricing purposes.
