Search results for "60J20"
showing 3 items of 3 documents
Uncertainty quantification on a spatial Markov-chain model for the progression of skin cancer
2019
AbstractA spatial Markov-chain model is formulated for the progression of skin cancer. The model is based on the division of the computational domain into nodal points, that can be in a binary state: either in ‘cancer state’ or in ‘non-cancer state’. The model assigns probabilities for the non-reversible transition from ‘non-cancer’ state to the ‘cancer state’ that depend on the states of the neighbouring nodes. The likelihood of transition further depends on the life burden intensity of the UV-rays that the skin is exposed to. The probabilistic nature of the process and the uncertainty in the input data is assessed by the use of Monte Carlo simulations. A good fit between experiments on mi…
Modeling the coupled return-spread high frequency dynamics of large tick assets
2015
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalo…
A PHASE TRANSITION FOR LARGE VALUES OF BIFURCATING AUTOREGRESSIVE MODELS
2019
We describe the asymptotic behavior of the number $$Z_n[a_n,\infty )$$ of individuals with a large value in a stable bifurcating autoregressive process, where $$a_n\rightarrow \infty $$ . The study of the associated first moment is equivalent to the annealed large deviation problem of an autoregressive process in a random environment. The trajectorial behavior of $$Z_n[a_n,\infty )$$ is obtained by the study of the ancestral paths corresponding to the large deviation event together with the environment of the process. This study of large deviations of autoregressive processes in random environment is of independent interest and achieved first. The estimates for bifurcating autoregressive pr…