Zobrazeno 1 - 10
of 131
pro vyhledávání: '"Valle, Gerardo"'
Publikováno v:
In The Journal of Finance and Data Science December 2024 10
Autor:
Hernandez-del-Valle, Gerardo
In this work we find a solution to problem of the heat equation which is annihiliated at a cubic boundary $f$. The solution turns out to be the convolution between the fundamental solution of the heat equation and a function $\phi$ which solves a thi
Externí odkaz:
http://arxiv.org/abs/1606.06229
Autor:
Hernández-del-Valle, Gerardo
In this work we find a sequence of functions at which the Pearcey function is identically zero. The sequence of functions can be expressed in terms of a second order non-linear ODE, which happens to be the Rayleigh-type. As a byproduct of these facts
Externí odkaz:
http://arxiv.org/abs/1506.02502
Autor:
del Valle, Gerardo Hernández, Mejía, Karla Chua, Zabal, Bernardo Paniagua, Girault, Matias Alfredo Gutierrez, González, Pablo Villalobos
Publikováno v:
In Latin American Journal of Central Banking December 2024 5(4)
Publikováno v:
In Journal of Commodity Markets December 2019 16
Autor:
Hernandez-del-Valle, Gerardo
This work deals with first hitting time densities of Ito processes whose local drift can be modeled in terms of a solution to Burgers equation. In particular, we derive the densities of the first time that these processes reach a moving boundary. We
Externí odkaz:
http://arxiv.org/abs/1209.2411
Autor:
Hernandez-del-Valle, Gerardo
Publikováno v:
Bernoulli Volume 19, Number 5A (2013), 1559-1575
In this paper we establish relationships between four important concepts: (a) hitting time problems of Brownian motion, (b) 3-dimensional Bessel bridges, (c) Schr\"odinger's equation with linear potential, and (d) heat equation problems with moving b
Externí odkaz:
http://arxiv.org/abs/1203.6863
Autor:
Hernández-del-Valle, Gerardo
In this note we discuss the relationship between the generating functions of some Hermite polynomials $H$, $ \sum\limits_{j=0}^\infty H_{j\cdot n}(u) z^n/n!$, generalized Airy-Heat equations $(1/2\pi)\int_{-\infty}^{+\infty}\exp\{a(i\lambda)^n-(1/2)\
Externí odkaz:
http://arxiv.org/abs/1009.0912
Autor:
Hernández-del-Valle, Gerardo
In this note we derive a solution to the Schr\"odinger-type backward equation which satisfies a necessary boundary condition used in hitting-time problems [as described in Hern\'andez-del-Valle (2010a)]. We do so by using an idea introduced by Bluman
Externí odkaz:
http://arxiv.org/abs/1009.0730
Autor:
Hernández-del-Valle, Gerardo
In Hern\'andez-del-Valle (2010) the author studies the connection between Schr\"odinger's equation and first hitting densities of Brownian motion. Although the author is able to find solutions of a Schr\"odinger type pde he fails---except in some spe
Externí odkaz:
http://arxiv.org/abs/1008.4880