Search results for "Mathematica"
showing 10 items of 7971 documents
Recent Probes of Standard and Non-standard Neutrino Physics With Nuclei
2019
We review standard and non-standard neutrino physics probes that are based on nuclear measurements. We pay special attention on the discussion of prospects to extract new physics at prominent rare event measurements looking for neutrino-nucleus scattering, such as the coherent elastic neutrino-nucleus scattering (CE$\nu$NS) that may involve lepton flavor violation (LFV) in neutral-currents (NC). For the latter processes several appreciably sensitive experiments are currently pursued or have been planed to operate in the near future, like the COHERENT, CONUS, CONNIE, MINER, TEXONO, RED100, vGEN, Ricochet, NUCLEUS etc. We provide a thorough discussion on phenomenological and theoretical studi…
Robust linear quadratic mean-field games in crowd-seeking social networks.
2013
We consider a social network where opinions evolve following a stochastic averaging process under the influence of adversarial disturbances. We provide a robust mean-field game model in the spirit of H∞-optimal control, establish existence of a mean-field equilibrium, and analyze its stochastic stability.
Stochastic acceleration in generalized squared Bessel processes
2015
We analyze the time behavior of generalized squared Bessel processes, which are useful for modeling the relevant scales of stochastic acceleration problems. These nonstationary stochastic processes obey a Langevin equation with a non-Gaussian multiplicative noise. We obtain the long-time asymptotic behavior of the probability density function for non-Gaussian white and colored noise sources. We find that the functional form of the probability density functions is independent of the statistics of the noise source considered. Theoretical results are in good agreement with those obtained by numerical simulations of the Langevin equation with pulse noise sources.
A Fokker–Planck control framework for multidimensional stochastic processes
2013
AbstractAn efficient framework for the optimal control of probability density functions (PDFs) of multidimensional stochastic processes is presented. This framework is based on the Fokker–Planck equation that governs the time evolution of the PDF of stochastic processes and on tracking objectives of terminal configuration of the desired PDF. The corresponding optimization problems are formulated as a sequence of open-loop optimality systems in a receding-horizon control strategy. Many theoretical results concerning the forward and the optimal control problem are provided. In particular, it is shown that under appropriate assumptions the open-loop bilinear control function is unique. The res…
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
2003
Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …
A class of stochastic differential equations with non-Lipschitzian coefficients: pathwise uniqueness and no explosion
2003
Abstract A new result for the pathwise uniqueness of solutions of stochastic differential equations with non-Lipschitzian coefficients is established. Furthermore, we prove that the solution has no explosion under the growth ξlogξ. To cite this article: S. Fang, T. Zhang, C. R. Acad. Sci. Paris, Ser. I 337 (2003).
Ito and Stratonovich integrals for delta-correlated processes
1993
Abstract In this paper the generalization of the Itd and Stratonovich integrals for the case of non-linear systems excited by parametric delta-correlated processes is presented. This generalization gives a new light on the corrective coefficients in the stochastic differential equations driven by parametric delta-correlated processes. The full significance of these corrective terms is evidenced by means of some examples.
Stability under influence of noise with regulated periodicity
2009
A very simple stochastic differential equation with quasi‐periodical multiplicative noise is investigated analytically. For fixed noise intensity the system can be stable at high noise periodicity and unstable at low noise periodicity.
A stochastic method for robustness analysis in sorting problems
2009
ELECTRE TRI is a multiple criteria decision aiding sorting method with a history of successful real-life applications. In ELECTRE TRI, values for certain parameters have to be provided. We propose a new method, SMAA-TRI, that is based on stochastic multicriteria acceptability analysis (SMAA), for analyzing the stability of such parameters. The stability analysis can be used for deriving robust conclusions. SMAA-TRI allows ELECTRE TRI to be used with uncertain, arbitrarily distributed values for weights, the lambda cutting level, and profiles. The method consists of analyzing finite spaces of arbitrarily distributed parameter values. Monte Carlo simulation is applied in this in order to desc…
Mean-field games and two-point boundary value problems
2014
A large population of agents seeking to regulate their state to values characterized by a low density is considered. The problem is posed as a mean-field game, for which solutions depend on two partial differential equations, namely the Hamilton-Jacobi-Bellman equation and the Fokker-Plank-Kolmogorov equation. The case in which the distribution of agents is a sum of polynomials and the value function is quadratic is considered. It is shown that a set of ordinary differential equations, with two-point boundary value conditions, can be solved in place of the more complicated partial differential equations associated with the problem. The theory is illustrated by a numerical example.