Myriad random phenomena in nature possess fractal and Hurst characteristics. Random processes/fields, such as those with Cauchy or Dagum correlations, enable modeling such stochastic structures in time and space. In the first place, this paper provides a compact review of these models, including their spectral properties, for wide ranges of the fractal dimension and Hurst parameter. The Cauchy and Dagum models can be used to determine stochastic responses of dynamical systems and/or spatial problems in 1d, 2d, or 3d in the presence of fractal and Hurst characteristics. The paper surveys various examples ranging from vibration problems, rods and beams with random properties under random loadings, waves and wavefronts, fracture, homogenization of random media, and statistical turbulence, to stochastically evolving spontaneous violations of the entropy inequality in granular flows. The latter case shows the route to examine whether a mechanical system gives rise to stochastics with such intriguing features. Common features brought out in this survey show what can and how can be achieved with Cauchy and Dagum-type models and related constructs in mechanics.

The paper extends the analysis of the entropies of the Poisson distribution with parameter λ . It demonstrates that the Tsallis and Sharma–Mittal entropies exhibit monotonic behavior with respect to λ , whereas two generalized forms of the Rényi entropy may exhibit “anomalous” (non-monotonic) behavior. Additionally, we examine the asymptotic behavior of the entropies as λ→∞ and provide both lower and upper bounds for them.

Many phenomena in physics are described by a vector-valued homogeneous and isotropic random function in two or three space variables, or a random field. On the one hand, such a field can be uniquely represented as a sum of two components: a solenoidal one without divergence, and an irrotational one without curl. On the other hand, it may be represented as a sum of a longitudinal part, parallel to a fixed space direction, and a lateral part, orthogonal to that direction. If the longitudinal part of the solenoidal component has certain fractal and memory properties, what are the corresponding properties of its lateral part? Similarly, if the lateral part of the irrotational component has certain fractal and memory properties, what are the corresponding properties of its longitudinal part? We give an answer to those questions using well-known tools of classical real analysis.

Recently, an Almost-Exact Simulation (AES) scheme was introduced for the Heston stochastic volatility model and tested for European option pricing. This paper extends this scheme for pricing Bermudan and American options under both Heston and double Heston models. The AES improves Monte Carlo simulation efficiency by using the non-central chi-square distribution for the variance process. We derive the AES scheme for the double Heston model and compare the performance of the AES schemes under both models with the Euler scheme. Our numerical experiments validate the effectiveness of the AES scheme in providing accurate option prices with reduced computational time, highlighting its robustness for both models. In particular, the AES achieves higher accuracy and computational efficiency when the number of simulation steps matches the exercise dates for Bermudan options.

Gaussian random fields are completely characterised by their mean value and covariance function. Random fields on hyperbolic spaces have been studied to a limited extent only, namely for the case of scalar-valued fields that are not evolving over time. This paper challenges the problem of the second-order characteristics of multivariate (vector-valued) random fields that evolve temporally over hyperbolic spaces. Specifically, we characterise the continuous space–time covariance functions that are isotropic (radially symmetric) over space (the hyperbolic space) and stationary over time (the real line). Our finding is the analogue of recent findings that have been shown for the case where the space is either the n -dimensional sphere or more generally a two-point homogeneous space. Our main result can be read as a spectral representation theorem, and we also detail the main result for the subcase of covariance functions having a spectrum that is absolutely continuous with respect to the Lebesgue measure (technical details are reported below).

Combining research methods from various areas of mathematics and physics, Probabilistic Models of Cosmic Backgrounds describes the isotropic random sections of certain fibre bundles and their applications to creating rigorous mathematical models of both discovered and hypothetical cosmic backgrounds. Previously scattered and hard-to-find mathematical and physical theories have been assembled from numerous textbooks, monographs, and research papers, and explained from different or even unexpected points of view. This consists of both classical and newly discovered results necessary for understanding a sophisticated problem of modelling cosmic backgrounds. The book contains a comprehensive description of mathematical and physical aspects of cosmic backgrounds with a clear focus on examples and explicit calculations. Its reader will bridge the gap of misunderstanding between the specialists in various theoretical and applied areas who speak different scientific languages. The audience of the book consists of scholars, students, and professional researchers. A scholar will find basic material for starting their own research. A student will use the book as supplementary material for various courses and modules. A professional mathematician will find a description of several physical phenomena at the rigorous mathematical level. A professional physicist will discover mathematical foundations for well-known physical theories.

We consider two types of entropy, namely, Shannon and Rényi entropies of the Poisson distribution, and establish their properties as the functions of intensity parameter. More precisely, we prove that both entropies increase with intensity. While for Shannon entropy the proof is comparatively simple, for Rényi entropy, which depends on additional parameter α > 0, we can characterize it as nontrivial. The proof is based on application of Karamata’s inequality to the terms of Poisson distribution.

We review the current state of the spectral theory of random functions of several variables created by Professor M. I. Yadrenko at the end of 1950s. It turns out that the spectral expansions of multi-dimensional homogeneous and isotropic random fields are governed by a pair of convex compacts and are especially simple when these compacts are simplexes. Our new result gives necessary and sufficient conditions for such a situation in terms of the group representation that defines the field.

We study the double-mean-reverting model by Gatheral. Our previous results concerning the asymptotic expansion of the implied volatility of a European call option, are improved up to order 3, that is, the error of the approximation is ultimately smaller that the 1.5th power of time to maturity plus the cube of the absolute value of the difference between the logarithmic security price and the logarithmic strike price.

In this paper Muhumuza, Asaph Keikara Lundengård, Karl Malyarenko, Anatoliy Silvestrov, Sergei Mango, John Magero Kakuba, Godwinwe demonstrate the extreme points of the Wishart joint eigenvalue probability distributions in higher dimension based on the boundary points of the symmetric cones in Jordan algebras. The extreme points of the Vandermonde determinant are defined to be a set of boundary points of the symmetric cones that occur in both the discrete and continuous part of the Gindikin set. The symmetric cones form a basis for the construction of the degenerate and non-degenerate Wishart ensembles in Herm(m,ℂ) , Herm(m,ℍ) , Herm(3,𝕆) denotes respectively the Jordan algebra of all Hermitian matrices of size m× m with complex entries, the skew field ℍ of quaternions, and the algebra 𝕆 of octonions.

In this paper, we review the history, current state-of-art, and physical applications of the spectral theory of two classes of random functions. One class consists of homogeneous and isotropic random fields defined on a Euclidean space and taking values in a real finite-dimensional linear space. In applications to continuum physics, such a field describes physical properties of a homogeneous and isotropic continuous medium in the situation, when a microstructure is attached to all medium points. The range of the field is the fixed point set of a symmetry class, where two compact Lie groups act by orthogonal representations. The material symmetry group of a homogeneous medium is the same at each point and acts trivially, while the group of physical symmetries may act nontrivially. In an isotropic random medium, the rank 1 (resp. rank 2) correlation tensors of the field transform under the action of the group of physical symmetries according to the above representation (resp. its tensor square), making the field isotropic. Another class consists of isotropic random cross-sections of homogeneous vector bundles over a coset space of a compact Lie group. In applications to cosmology, the coset space models the sky sphere, while the random cross-section models a cosmic background. The Cosmological Principle ensures that the cross-section is isotropic. For convenience of the reader, a necessary material from multilinear algebra, representation theory, and differential geometry is reviewed in Appendix.

This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gaussian vector depends on the determinant of the covariance matrix, and the behavior of this determinant as a function of the Hurst index is rather difficult to study analytically at high dimensions, we also consider simple alternative entropy functionals, whose behavior, on the one hand, mimics the behavior of entropy and, on the other hand, is not difficult to study. Asymptotic behavior of the normalized entropy (so called entropy rate) is also studied for the entropy and for the alternative functionals.

We consider five types of entropies for Gaussian distribution: Shannon, Rényi, generalized Rényi, Tsallis and Sharma–Mittal entropy, establishing their interrelations and their properties as the functions of parameters. Then, we consider fractional Gaussian processes, namely fractional, subfractional, bifractional, multifractional and tempered fractional Brownian motions, and compare the entropies of one-dimensional distributions of these processes.

Cubature is an effective way to calculate integrals in a finite dimensional space. Extending the idea of cubature to the infinite-dimensional Wiener space would have practical usages in pricing financial instruments. In this paper, we calculate and use cubature formulae of degree 5 and 7 on Wiener space to price European options in the classical Black–Scholes model. This problem has a closed form solution and thus we will compare the obtained numerical results with the above solution. In this procedure, we study some characteristics of the obtained cubature formulae and discuss some of their applications to pricing American options.

The extreme points of Vandermonde determinants when optimized on surfaces like spheres and cubes have various applications in random matrix theory, electrostatics and financial mathematics. In this study, we apply the extreme points Vandermonde determinant when optimized on various surfaces to risk minimization in financial mathematics. We illustrate this by constructing the efficient frontiers represented by spheres, cubes and other general surfaces as applies to portfolio theory. The extreme points of Vandermonde determinant lying on such surfaces as efficient frontier would be used to determine the set of assets with minimum risk and maximum returns. This technique can also be applied in optimal portfolio selection and asset pricing.

InMuhumuza, Asaph Keikara Lundengård, Karl Malyarenko, Anatoliy Silvestrov, Sergei Mango, John Magero Kakuba, Godwin this paper we discuss the extension of the Wishart probability distributions in higher dimension based on the boundary points of the symmetric cones in Jordan algebras. The symmetric cones form a basis for the construction of the degenerate and non-degenerate Wishart distributions in the field of Herm (m,ℂ) , Herm (m,ℍ) , Herm (3,𝕆) that denotes respectively the Jordan algebra of all Hermitian matrices of size m× m with complex entries, the skew field ℍ of quaternions, and the algebra 𝕆 of octonions. This density is characterised by the Vandermonde determinant structure and the exponential weight that is dependent on the trace of the given matrix.

The paper considers mean-square continuous, wide-sense homogeneous, and isotropic random fields taking values in a linear space of polyadics. We find a set of such fields whose values are symmetric and positive-definite dyadics, and outline a strategy for their simulation.

The paper investigates random fields in the ball. It studies three types of such fields: restrictions of scalar random fields in the ball to the sphere, spin, and vector random fields. The review of the existing results and new spectral theory for each of these classes of random fields are given. Examples of applications to classical and new models of these three types are presented. In particular, the Matérn model is used for illustrative examples. The derived spectral representations can be utilised to further study theoretical properties of such fields and to simulate their realisations. The obtained results can also find various applications for modelling and investigating ball data in cosmology, geosciences and embryology.

The Dagum family of isotropic covariance functions has two parameters that allow for decoupling of the fractal dimension and Hurst effect for Gaussian random fields that are stationary and isotropic over Euclidean spaces. Sufficient conditions that allow for positive definiteness in Rd of the Dagum family have been proposed on the basis of the fact that the Dagum family allows for complete monotonicity under some parameter restrictions. The spectral properties of the Dagum family have been inspected to a very limited extent only, and this paper gives insight into this direction. Specifically, we study finite and asymptotic properties of the isotropic spectral density (intended as the Hankel transform) of the Dagum model. Also, we establish some closed forms expressions for the Dagum spectral density in terms of the FoxWright functions. Finally, we provide asymptotic properties for such a class of spectral densities.