Ognjen VukovicvWhat is a manifold? Part 0The core of both a differential geometry and modern geometrical dynamics is concept of manifold. It is an abstract mathematical space…Sep 4, 2023Sep 4, 2023
Ognjen VukovicvHeuristic Discussion of Levy ProcessFor simplicity we consider the univariate case of Levy process with the main idea to derive the characteristic function:Sep 4, 2023Sep 4, 2023
Ognjen VukovicvBlack Scholes goes Quantum MechanicsThe main question to be answered is given a price of an option, what is the price of an option at an earlier time t<T? The standard…Sep 4, 2023Sep 4, 2023
Ognjen VukovicvFeynman-Kac FormulaM. Kac was fully aware of Wiener’s theory of Brownian motion and the associated diffusion equations. The diffusion equation would describe…Sep 3, 2023Sep 3, 2023
Ognjen VukovicvTheory of Duality in Power System OptimisationSolving an optimisation problem implies representation of an optimal solution as a snapshot of variables at the particular time of the…Sep 30, 2020Sep 30, 2020
Ognjen VukovicvFor a while, I have been thinking about the problem stated in the figure given above.However, the stage-wise independence of inflows in the case of interest is not realistic. Therefore, one classical way of modelling inflow…Sep 29, 2020Sep 29, 2020