In this article we consider the problem of pricing lookback options in certain exponential Lévy market models. While in the classic Black-Scholes models the price of such options can be calculated in closed form, for more general asset price model one typically has to rely on (rather time-intense) MonteCarlo or P(I)DE methods. However, for Lévy processes with double exponentially distributed ju...

Non-linear phenomena can often be described using probability density functions (pdf) and pdf transport models. Traditionally the simulation of pdf transport requires MonteCarlo codes based on Lagrangian “particles” or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based ...

The heat flux distribution of an infrared halogen lamp in a Rapid Thermal Processing (RTP) equipment is studied. An overview of lamp modelling in RTP systems is given and for the first time, the infrared lamp bank is modelled by taking into consideration with accuracy a lamp portion in the bank environment. A three-dimensional (3D) lamp model, with a fine filament representation is largely pres...

Rendering images using Monte-Carlo estimation is prone to bright spots artefacts. Bright spots correspond to high intensity pixels that appear when a very low probability sample outweighs all other sample contributions. We present an average estimator that is robust to outliers, which detects and removes samples that are considered as outliers, and lead to bright spots in images computed using ...

Stellar winds are an important aspect of our understanding of the evolution of massive stars and their input into the interstellar medium. Here we present solutions for the velocity field and mass-loss rates for stellar outflows as well as for the case of mass accretion through the use of the so-called Lambert W-function. For the case of a radiation-driven wind, the velocity field is obtained a...

In this work we explore and test new formulations of cosmological scenarios in $f(Q)$ theories. these settings, the non-metricity scalar ($Q$) is main source gravity Friedmann equations are modified to account for associated degrees freedom. This focuses first on derivation, then theoretical observational analysis two such (new) exact models; they both display a non-standard behaviour which an ...