Pospíšil, Jan
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Sobotka, Tomáš
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Ziegler, Philippe
Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure In this paper, we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump part in the underlying model dynamics. Also ... |
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Bizzarri, Michal
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Lávička, Miroslav
,
Vršek, Jan
Approximate Reconstructions of Perturbed Rational Planar Cubics This paper is devoted to a problem from geometric modelling and related applications when exact symbolic computations are sometimes used also on objects given inexactly, i.e., when it is not adequately respected that numerical or input errors may significantly influence fundamental propertie... |
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Benedikt, Jiří
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Girg, Petr
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Kotrla, Lukáš
,
Takáč, Peter
The strong comparison principle in parabolic problems with the p-Laplacian in a domain We investigate some strong comparison principles for nonnegative solutions to several parabolic problems with the p-Laplace operator in one space dimension. We focus on the special case of comparing a stationary (i.e., time-independent) solution with a time-dependent solution. We take advantage&#... |
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Fencl, Martin
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Kučera, Milan
Unilateral sources and sinks of an activator in reaction–diffusion systems exhibiting diffusion-driven instability A reaction–diffusion system exhibiting Turing’s diffusion driven instability is considered. The equation for an activator is supplemented by unilateral terms of the type $s_{−}(x)u^{−}, s_{+}(x)u^{+}$ describing sources and sinks active only if the concentration decreases below and increases above, re... |
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Epperlein, Jeremias
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Švígler, Vladimír
On Arbitrarily Long Periodic Orbits of Evolutionary Games on Graphs A periodic behavior is a well observed phenomena in biological and economical systems. We show that evolutionary games on graphs with imitation dynamics can display periodic behavior for an arbitrary choice of game theoretical parameters describing social-dilemma games. We construct graphs a... |
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Kabela, Adam
Long paths and toughness of k-trees and chordal planar graphs We show that every k-tree of toughness greater than k/3 is Hamilton-connected for k >= 3. (In particular, chordal planar graphs of toughness greater than 1 are Hamilton-connected.) This improves the result of Broersma et al. (2007) and generalizes the result of Böhme et... |
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Drábek, Pavel
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Langerová, Martina
Impulsive control of conservative equations and systems: variational approach Using the variational structure of the second order periodic problems we find an optimal impulsive control which forces the conservative system into a periodic motion. In particular, our main results concern the system of charged planar pendulums with external disturbances and neglected ... |
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Agudelo Rico, Oscar Iván
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del Pino, Manuel
,
Wei, Juncheng
Catenoidal layers for the Allen-Cahn equation in bounded domains This article presents a new family of solutions to the singularly perturbed Allen-Cahn equation α2Δu + u(1 − u2) = 0 in a smooth bounded domain Ω ⊂ R3, with Neumann boundary condition and α > 0 a small parameter. These solutions have the property that as α&#x... |
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Ťoupal, Tomáš
,
Marek, Patrice
Nonparametric Kernel Estimation and Its Practical Application This paper deals with the problem of nonparametric kernel estimation, particularly nonparametric kernel estimation of regression function in real life situations. There are many fields of application (Gross Domestic Product, Unemployment, Stock Market, etc.) and therefore this paper is focused on... |
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Ťoupal, Tomáš
,
Vávra, František
Nonparametric Kernel Regression and Its Real Data Application |
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Agudelo Rico, Oscar Iván
,
Pistoia, Angela
Boundary concentration phenomena for the higher-dimensional Keller–Segel system We study the existence of steady states to the Keller–Segel system with linear chemotactical sensitivity function on a smooth bounded domain in RN,N≥3, having rotational symmetry. We find three different types of chemoattractant concentration which concentrate along suitable (N−2)-dimensional minimal&... |
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Kaiser, Tomáš
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Lukoťka, Robert
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Rollová, Edita
Nenulové toky v signovaných grafech - přehled We survey known results related to nowhere-zero flows and related topics, such as circuit covers and the structure of circuits of signed graphs. We include an overview of several di↵erent definitions of signed graph colouring. |
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Baustian, Falko
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Mrázek, Milan
,
Pospíšil, Jan
,
Sobotka, Tomáš
Unifikovaná oceňovací formule pro několik modelů stochastické volatility se skoky In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic volatility models with jumps. For European style options, a new semi-closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro-differential&#x... |
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Collection's Items (Sorted by Submit Date in Descending order): 1 to 13 of 13
Collection's Items (Sorted by Submit Date in Descending order): 1 to 13 of 13