We shall consider a discrete time version of Vasicek (1977) model with continuous state space. Unlike traditional approaches, we regard that continuous time and states models are approximation to the ...

to speed up the construction of the discrete-time model by turning to Newton-type methods for solving the Schrödinger system (in the next section, we show numerically that a mixed Newton–Sinkhorn ...

Several economic and financial time series are bounded by an upper and lower finite limit (e.g., interest rates). It is not possible to say that these time series are random walks because random walks ...

Physicists have shown that Markov processes, widely used to model complex systems, must unfold over a larger space than previously assumed. Scientists believe that time is continuous, not discrete -- ...

Researchers demonstrate a novel method for transforming continuous time crystals into discrete ones using subharmonic injection locking, offering new insights into symmetry breaking and control in ...

Florian Bourgey and Julien Guyon introduce a novel discrete-time-continuous-time exact calibration method. They build an S&P 500/VIX jointly calibrated discrete-time model, which they later extend to ...