Search results for "stochastic"

Dynamical twisted mass fermions with light quarks: simulation and analysis details

2008

In a recent paper [hep-lat/0701012] we presented precise lattice QCD results of our European Twisted Mass Collaboration (ETMC). They were obtained by employing two mass-degenerate flavours of twisted mass fermions at maximal twist. In the present paper we give details on our simulations and the computation of physical observables. In particular, we discuss the problem of tuning to maximal twist, the techniques we have used to compute correlators and error estimates. In addition, we provide more information on the algorithm used, the autocorrelation times and scale determination, the evaluation of disconnected contributions and the description of our data by means of chiral perturbation theo…

Markov Chain and Stationary Distribution

2019

MC has been a valuable tool for analyzing the performance of complex stochastic systems since it was introduced by the Russian mathematician A. A. Markov (1856–1922) in the early 1900s. More and more system analyses have been carried out by using MC, including the analysis on CA and CF. In this chapter, we will briefly review the essential ingredients of MC that are necessary for the performance analysis presented in this book. A more comprehensive introduction of MC and its applications can be found in Nelson (2013, Probability, stochastic processes, and queueing theory: the mathematics of computer performance modeling).

Including Covariates in the ETAS Model Triggered Seismicity

2020

The paper proposes a stochastic process that improves the assessment of seismic events in space and time, considering a contagion model (branching process) within a regression-like framework to take covariates into account. The proposed approach develops the Forward Likelihood for prediction (FLP) method for estimating the ETAS model, including covariates in the model specification of the epidemic component. A simulation study is carried out for analysing the misspecification model effect under several scenarios. Also an application to the Italian catalogue is reported, together with the reference to the developed R package.

Closed form for two-photon free–free transition matrix elements

2000

Abstract Two-photon free–free transitions happen in the multiphoton ionization with more than one excess photon and in bremsstralung. Up to now, the configuration space free–free transition amplitudes have not been written in closed form. We propose a modified Coulomb Green’s function (CGF) Sturmian expansion which allows one to obtain expressions for two-photon radial transition matrix elements in the closed form which are easy to continue analytically to calculate free–free transitions in H.

Analysis of the railway network operations safety, with of different obstacles along the route, by the study of Buffon-Laplace type problems: the cas…

2016

In this paper we use an approach based on a Buffon-Laplace type problem for an irregular hexagonal lattice and obstacles to study some problems about analysis of the railway network operations safety in the presence of different obstacles on the route.

Analysis of random walks on a hexagonal lattice

2019

We consider a discrete-time random walk on the nodes of an unbounded hexagonal lattice. We determine the probability generating functions, the transition probabilities and the relevant moments. The convergence of the stochastic process to a 2-dimensional Brownian motion is also discussed. Furthermore, we obtain some results on its asymptotic behavior making use of large deviation theory. Finally, we investigate the first-passage-time problem of the random walk through a vertical straight-line. Under suitable symmetry assumptions we are able to determine the first-passage-time probabilities in a closed form, which deserve interest in applied fields.

Aggregation of preferences for skewed asset returns

2014

This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this tracking error contributes to risk premiums through kurtosis and pentosis risk if and only …

On fractional smoothness and Lp-approximation on the Wiener space

2015

Interpolation and approximation in L2(γ)

AbstractAssume a standard Brownian motion W=(Wt)t∈[0,1], a Borel function f:R→R such that f(W1)∈L2, and the standard Gaussian measure γ on the real line. We characterize that f belongs to the Besov space B2,qθ(γ)≔(L2(γ),D1,2(γ))θ,q, obtained via the real interpolation method, by the behavior of aX(f(X1);τ)≔∥f(W1)-PXτf(W1)∥L2, where τ=(ti)i=0n is a deterministic time net and PXτ:L2→L2 the orthogonal projection onto a subspace of ‘discrete’ stochastic integrals x0+∑i=1nvi-1(Xti-Xti-1) with X being the Brownian motion or the geometric Brownian motion. By using Hermite polynomial expansions the problem is reduced to a deterministic one. The approximation numbers aX(f(X1);τ) can be used to descr…

Pricing Reinsurance Contracts

2011

Pricing and hedging insurance contracts is hard to perform if we subscribe to the hypotheses of the celebrated Black and Scholes model. Incomplete market models allow for the relaxation of hypotheses that are unrealistic for insurance and reinsurance contracts. One such assumption is the tradeability of the underlying asset. To overcome this drawback, we propose in this chapter a stochastic programming model leading to a superhedging portfolio whose final value is at least equal to the insurance final liability. A simple model extension, furthermore, is shown to be sufficient to determine an optimal reinsurance protection for the insurer: we propose a conditional value at risk (VaR) model p…