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02/25/2023
Data-driven uncertainty quantification for constrained stochastic differential equations and application to solar photovoltaic power forecast data
In this work, we extend the data-driven Itô stochastic differential equa...
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10/28/2021
Deep Calibration of Interest Rates Model
For any financial institution it is a necessity to be able to apprehend ...
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02/26/2021
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
In this work, we develop a multi-factor approximation for Stochastic Vol...
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06/29/2020
A Derivative Tracking Model for Wind Power Forecast Error
Reliable wind power generation forecasting is crucial for applications s...
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11/06/2017