Dmitri Goloubentsev, Evgeny Lakshtanov and Vladimir Piterbarg explain in mathematical terms, and demonstrate using a simple example, how the automatic implicit function theorem, a special version of ...

Adjoint algorithmic differentiation is an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Often the differentiation does not cover the full pricing ...

Abstract: For a class of input-delayed disturbed linear systems, this paper considers the problem of finite-time implicit-Lyapunov-function (ILF)-based control. With ILF as the evaluation of system ...