Search results for "probability"
showing 10 items of 3417 documents
Disorder relevance for the random walk pinning model in dimension 3
2011
We study the continuous time version of the random walk pinning model, where conditioned on a continuous time random walk Y on Z^d with jump rate \rho>0, which plays the role of disorder, the law up to time t of a second independent random walk X with jump rate 1 is Gibbs transformed with weight e^{\beta L_t(X,Y)}, where L_t(X,Y) is the collision local time between X and Y up to time t. As the inverse temperature \beta varies, the model undergoes a localization-delocalization transition at some critical \beta_c>=0. A natural question is whether or not there is disorder relevance, namely whether or not \beta_c differs from the critical point \beta_c^{ann} for the annealed model. In Birkner a…
Statistics of nonlinear stochastic dynamical systems under Lévy noises by a convolution quadrature approach
2010
This paper describes a novel numerical approach to find the statistics of the non-stationary response of scalar non-linear systems excited by L\'evy white noises. The proposed numerical procedure relies on the introduction of an integral transform of Wiener-Hopf type into the equation governing the characteristic function. Once this equation is rewritten as partial integro-differential equation, it is then solved by applying the method of convolution quadrature originally proposed by Lubich, here extended to deal with this particular integral transform. The proposed approach is relevant for two reasons: 1) Statistics of systems with several different drift terms can be handled in an efficie…
Random walks in dynamic random environments and ancestry under local population regulation
2015
We consider random walks in dynamic random environments, with an environment generated by the time-reversal of a Markov process from the oriented percolation universality class. If the influence of the random medium on the walk is small in space-time regions where the medium is typical, we obtain a law of large numbers and an averaged central limit theorem for the walk via a regeneration construction under suitable coarse-graining. Such random walks occur naturally as spatial embeddings of ancestral lineages in spatial population models with local regulation. We verify that our assumptions hold for logistic branching random walks when the population density is sufficiently high.
CROSSMAPPER: estimating cross-mapping rates and optimizing experimental design in multi-species sequencing studies
2020
Motivation Numerous sequencing studies, including transcriptomics of host-pathogen systems, sequencing of hybrid genomes, xenografts, mixed species systems, metagenomics and meta-transcriptomics, involve samples containing genetic material from divergent organisms. A crucial step in these studies is identifying from which organism each sequencing read originated, and the experimental design should be directed to minimize biases caused by cross-mapping of reads to incorrect source genomes. Additionally, pooling of sufficiently different genetic material into a single sequencing library could significantly reduce experimental costs but requires careful planning and assessment of the impact of…
Jump-diffusion models of German stock returns
1991
This paper discusses the statistical properties of jump-diffusion processes and reports on parameter estimates for the DAX stock index and 48 German stocks with traded options. It is found that a Poisson-type jump-diffusion process can explain the high levels of kurtosis and skewness of observed return distributions of German stocks. Furthermore, we demonstrate that the return dynamics of the DAX include a statistically significant jump component except for a few sample subperiods. This finding is seen to be inconsistent with asset pricing models assuming that the jump component of the stock's return is unsystematic and diversifiable in the market portfolio.
The Risk Premium and the Esscher Transform in Power Markets
2012
In power markets one frequently encounters a risk premium being positive in the short end of the forward curve, and negative in the long end. Economically it has been argued that the positive premium is reflecting retailers aversion for spike risk, wheras in the long end of the forward curve the hedging pressure kicks in as in other commodity markets. Mathematically, forward prices are expressed as risk-neutral expectations of the spot at delivery. We apply the Esscher transform on power spot models based on mean-reverting processes driven by independent increment (time-inhomogeneous Levy) processes. It is shown that the Esscher transform is yielding a change of mean-reversion level. Moreov…
The geography of Spanish bank branches
2014
This article analyzes the determinants of bank branch location in Spain taking the role of geography explicitly into account. After a long period of intense territorial expansion, especially by savings banks, many of these firms are now involved in merger processes triggered off by the financial crisis, most of which entail the closing of many branches. However, given the contributions of this type of banks to limit financial exclusion, this process might exacerbate the consequences of the crisis for some disadvantaged social groups. Related problems such as new banking regulation initiatives (Basel III), or the current excess capacity in the sector add further relevance to this problem. We…
Detection of spatial disease clusters with LISA functions.
2011
Detection of disease clusters is an important tool in epidemiology that can help to identify risk factors associated with the disease and in understanding its etiology. In this article we propose a method for the detection of spatial clusters where the locations of a set of cases and a set of controls are available. The method is based on local indicators of spatial association functions (LISA functions), particularly on the development of a local version of the product density, which is a second-order characteristic of spatial point processes. The behavior of the method is evaluated and compared with Kulldorff's spatial scan statistic by means of a simulation study. It is shown that the LI…
A network agent-based model of ethnocentrism and intergroup cooperation
2019
We present a network agent-based model of ethnocentrism and intergroup cooperation in which agents from two groups (majority and minority) change their communality (feeling of group solidarity), cooperation strategy and social ties, depending on a barrier of “likeness” (affinity). Our purpose was to study the model’s capability for describing how the mechanisms of preexisting markers (or “tags”) that can work as cues for inducing in-group bias, imitation, and reaction to non-cooperating agents, lead to ethnocentrism or intergroup cooperation and influence the formation of the network of mixed ties between agents of different groups. We explored the model’s behavior via four experiments in w…
Wronskian and Casorati determinant representations for Darboux–Pöschl–Teller potentials and their difference extensions
2009
We consider some special reductions of generic Darboux?Crum dressing formulae and of their difference versions. As a matter of fact, we obtain some new formulae for Darboux?P?schl?Teller (DPT) potentials by means of Wronskian determinants. For their difference deformations (called DDPT-I and DDPT-II potentials) and the related eigenfunctions, we obtain new formulae described by the ratios of Casorati determinants given by the functional difference generalization of the Darboux?Crum dressing formula.