Graduate School of Applied Mathematics

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Recent Submissions

Energy dissipation preserving physics informed neural network for Allen–Cahn equations Kütük, Mustafa; Yücel, Hamdullah (2025-05-01) This paper investigates a numerical solution of Allen–Cahn equation with constant and degenerate mobility, with polynomial and logarithmic energy functionals, with deterministic and random initial functions, and with advec...
Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes Palmowski, Zbigniew; Şimşek, Meral; Papaioannou, Apostolos D. (2025-03-01) In this paper, we solve exit problems for a level-dependent Lévy process which is exponentially killed with a killing intensity that depends on the present state of the process. Moreover, we analyse the respective resolven...
Stochastic Non-Life Reserve Estimation and Risk Adjustments under IFRS 17 Akarsu Şengöz, Gülçin; Kestel, Sevtap Ayşe; Kestel, Sevtap Ayşe; Department of Financial Mathematics (2025-1-10) Claim reserving is always a critical concept in the insurance sector. Various approaches, both stochastic and deterministic, are developed and extensively discussed in the literature; deterministic approaches, such as the ...
QUANTUM MAXIMUM DISTANCE SEPERABLE CODES KIRCALI, MUSTAFA; Özkaya, Buket; Özbudak, Ferruh; Department of Cryptography (2025-1-10) Quantum error-correcting codes (QECCs) are a cornerstone of fault-tolerant quantum computing, providing an essential means to protect delicate quantum information from the inevitable errors introduced by decoherence, noise...
Hitting Probabilities of Constrained Simple Random Walks in Three Dimensions Aktepe İlter, Cansu; Sezer, Ali Devin; Department of Financial Mathematics (2025-1-7) We study the constrained simple random walk in three dimensions modeling the state of a queueing system with three nodes working in parallel. The process is assumed to be stable, i.e., the service rate at each node is grea...
Inventory process dynamics of a market making model with regime switch Alkan, Nazlan Belemir; Sezer, Ali Devin; Başoğlu Kabran, Fatma; Department of Financial Mathematics (2025-1-07) We study a version of the Avellaneda Stoikov (AS) market-making model, which optimizes the bid and ask spread of the market maker, with regime switch as proposed in the preprint ``Short Term Market Changes and Market Maki...
STOCK PRICE MODELLING OF INDONESIAN BANKS: FORECASTING MODELLING Simarmata, Justin Eduardo; Weber, Gerhard Wilhelm; Baldemor, Milagros R.; Chrisinta, Debora (2025-01-01) Stock of banks in Indonesia are targeted for investors to invest in order to benefit from the distribution of dividends and capital gains. Proper observation is needed in selecting stocks as an investment place to avoid th...
Multi-objective sustainable inventory model with shortages and radio frequency identification under uncertain environment Mukherjee, Alay Kumar; Maity, Gurupada; Jablonsky, Josef; Roy, Sankar Kumar; Weber, Gerhard Wilhelm (2025-01-01) This study analyses the multi-objective inventory optimisation, where demand is influenced by both selling price and marketing efforts. In traditional inventory problem, profit or cost is optimised through single objective...
Weak Enforcement of Boundary Conditions for Maxwell’s Problem Using the Linked Lagrange Multiplier Method Codina, Ramon; Türk, Önder (2025-01-01) In this study, we propose a finite element approximation of Maxwell’s problem with the prescription of essential boundary conditions in a weak way that is based on a linked Lagrange multiplier approach. We consider an augm...
A GAME THEORY PERSPECTIVE ON STRATEGIC PROFIT DISTRIBUTION IN COMPLEX IT PROJECTS Özcan, İsmail; Śledziński, Jacek Dominik; ALPARSLAN GÖK, Sırma Zeynep; Meca, Ana; Weber, Gerhard Wilhelm; Butlewski, Marcin; Kocadag, Esmanur (2025-01-01) In this article, we examine the process of evaluating an Information Technology (IT) project undertaken by three capital-linked companies. Herewith we address one of the main branches and drivers of our modern economies. T...
Distributed Verifiable Random Function with Compact Proof Ağırtaş, Ahmet Ramazan; Özer, Arda Buğra; Saygı, Zülfükar; Yayla, Oğuz (2025-01-01) Verifiable Random Functions (VRFs) are cryptographic primitives that generate unpredictable randomness along with proofs that are verifiable, a critical requirement for blockchain applications in decentralized finance, onl...
Families of sequences with good family complexity and cross-correlation measure Doğan, Kenan; ŞAHİN, MURAT; Yayla, Oğuz (2025-01-01) In this paper, we examine the pseudorandomness of a family of sequences with respect to two key measures: family complexity (f-complexity) and cross-correlation measure of order ℓ. Our study encompasses sequences over both...
GAUSSIAN TYPE-2 FUZZY COOPERATIVE GAME BASED ON REDUCTION METHOD: AN APPLICATION TO MULTI-DRUG RESISTANCE PROBLEM Maiti, Sumit Kumar; Roy, Sankar Kumar; Weber, Gerhard Wilhelm (2025-01-01) Many developments of fuzzy sets have been suggested to accomplish uncertain information in real-world problems. But, in the greatest cases, fuzzy sets in two- dimensions or type-1 fuzzy sets are measured. Incomplete inform...
Compartment-Based and Hierarchical Threshold Delegated Verifiable Accountable Subgroup Multi-signatures Ağırtaş, Ahmet Ramazan; Yayla, Oğuz (2025-01-01) In this paper, we study the compartment-based and hierarchical delegation of signing power of the verifiable accountable subgroup multi-signature (vASM). ASM is a multi-signature in which the participants are accountable f...
Modelling Natural Gas Future Prices via Hybrid Stochastic Diffusion Processes Mert, Özenç Murat; Koç, Oğuz; Kestel, Sevtap Ayşe (Springer, 2025-01-01)
The QLBS Model Within the Presence of Feedback Loops Through the Impacts of a Large Trader Özsoy, Ahmet Umur; Uğur, Ömür (2025-01-01) We extend the QLBS model by considering a large trader whose transactions leave a permanent impact on the exchange rate process and therefore affect the price of contingent claims on such processes. Through a hypothetical ...
A novel coalition game on management of electronic health records in blockchain technology Hamidoğlu, Ali; Altiti, Mustafa; Jana, Chiranjibe; Weber, Gerhard Wilhelm (2025-01-01) The collection and integration of health data through electronic health records (EHRs) has improved the overall quality of healthcare. By centralizing all healthcare institutions’ operations in a single record and making i...
Efficient Batch Post-quantum Signatures with Crystals Dilithium Türe, Nazlı Deniz; Cenk, Murat (2025-01-01) Digital signatures ensure authenticity and secure communication. They are used to verify the integrity and authenticity of signed documents and are widely utilized in various fields such as information technologies, financ...
Optimal liquidation with conditions on minimum price Aksu, Mervan; Popier, Alexandre; Sezer, Ali Devin (2025-01-01) The classical optimal trading problem is the closure of an initial position in a financial asset over a fixed time interval; the trader tries to maximize an expected utility under the constraint that the position is fully ...
Cushion option on CPPI strategy for defined-contribution pension plans Gulveren, Anil; Temoçin, Büşra Zeynep; Kestel, Sevtap Ayşe (2025-01-01) This paper investigates a well-known downside protection strategy called the constant proportion portfolio insurance (CPPI) in defined contribution (DC) pension fund modeling. Under discrete time trading CPPI, an investor ...

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