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0812.3117 | 1 | In this paper we develop an algorithm to calculate prices and Greeks of barrier options driven by a class of additive processes. Additive processes are time-inhomogeneous Levy processes, or equivalently, processes with independent but inhomogeneous increments . We obtain an explicit semi-analytical expression for the ... | In this paper we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters . We obtain an explicit semi-analytical expression for the first-passage probability . The solution rests on a randomization and an explicit matrix Wiener-... | [
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0812.3867 | 1 | We study the statistical properties of a simple genetic regulatory network that provides heterogeneity within a population of cells. This network consists of a binary genetic switch in which stochastic flipping between the two switch states is mediated by a "flipping" enzyme. Feedback between the switch state and the f... | We study the statistical properties of a simple genetic regulatory network that provides heterogeneity within a population of cells. This network consists of a binary genetic switch in which stochastic flipping between the two switch states is mediated by a "flipping" enzyme. Feedback between the switch state and the f... | [
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0812.3933 | 1 | Sorting permutations by reversals and/or transpositions is an important genome rearrangement problem in computational molecular biology. From theoretical point of view, finding efficient algorithms for this problem and its variations are quite challenging. In this paper we consider the problem of sorting unsigned permu... | In this paper we study several variations of thepancake flipping problem, which is also well known as the problem ofsorting by prefix reversals. We consider the variations in the sorting process by adding with prefix reversals other similar operations such as prefix transpositions and prefix transreversals. These type ... | [
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0812.4619 | 1 | The system-level dynamics of biomolecular interactions can be difficult to specify and simulate using methods that involve explicit specification of a chemical reaction network. Here, we present a stochastic simulation method for determining the kinetics of multivalent biomolecular interactions , which has a computatio... | The system-level dynamics of biomolecular interactions can be difficult to simulate using methods that require explicit specification of a chemical reaction network. Here, we present and evaluate a rejection-free stochastic simulation method for determining the kinetics of multivalent biomolecular interactions . The me... | [
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0812.4619 | 3 | The system-level dynamics of biomolecular interactions can be difficult to simulate using methods that require explicit specification of a chemical reaction network. Here, we present and evaluate a rejection-free stochastic simulation method for determining the kinetics of multivalent biomolecular interactions . The m... | The system-level dynamics of multivalent biomolecular interactions can be simulated using a rule-based kinetic Monte Carlo method in which a rejection sampling strategy is used to generate reaction events. This method becomes inefficient when simulating aggregation processes with large biomolecular complexes. Here, we ... | [
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0812.4692 | 1 | RNA polymerase (RNAP) is like a mobile molecular workshop that polymerizes a RNA molecule by adding monomeric subunits one by one, while moving step by step on the DNA template itself. Here we develop a theoretical model by incorporating their steric interactions and mechanochemical cycles which explicitly captures the... | RNA polymerase (RNAP) is a mobile molecular workshop that polymerizes a RNA molecule by adding monomeric subunits one by one, while moving step by step on the DNA template itself. Here we develop a theoretical model by incorporating the steric interactions of the RNAPs and their mechanochemical cycles which explicitly ... | [
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0812.4978 | 1 | In this paper we investigate the problem of optimal dividend distribution in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a drifted Brownian motion modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of t... | We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the... | [
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0812.5087 | 1 | Stochastic networks are a plausible representation of the relational information among entities in dynamic systems such as living cells or social communities. While there is a rich literature in estimating a static or temporally invariant network from observation data, little has been done towards estimating time-varyi... | Stochastic networks are a plausible representation of the relational information among entities in dynamic systems such as living cells or social communities. While there is a rich literature in estimating a static or temporally invariant network from observation data, little has been done toward estimating time-varyin... | [
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0901.0135 | 1 | In a dynamic social or biological environment, the interactions between the underlying actors can undergo large and systematic changes. The latent roles or membership of the actors as determined by these dynamic links will also exhibit rich temporal phenomena, assuming a distinct role at one point while leaning more to... | In a dynamic social or biological environment, the interactions between the actors can undergo large and systematic changes. In this paper we propose a model-based approach to analyze what we will refer to as the dynamic tomography of such time-evolving networks. Our approach offers an intuitive but powerful tool to in... | [
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0901.0287 | 1 | Motivation: Recent advances in experimental techniques have generated large amounts of protein interaction data, producing networks containing large numbers of cellular proteins. Mathematically sound and robust foundations are needed for extensive, context-specific exploration of networks, integrating knowledge from di... | In our previous publication, a framework for information flow in interaction networks based on random walks with damping was formulated with two fundamental modes: emitting and absorbing. While many other network analysis methods based on random walks or equivalent notions have been developed before and after our earli... | [
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0901.0638 | 1 | This article presents differential equations and solution methods for the functions of the form A(z) = F^{-1}(G(z)), where F and G are cumulative distribution functions. Such functions allow the direct recycling of samples from one distribution into samples from another. The method may be developed analytically for ce... | This article Revised working paper V 1.1 presents differential equations and solution methods for the functions of the form A(z) = F^{-1}(G(z)), where F and G are cumulative distribution functions. Such functions allow the direct recycling of samples from one distribution into samples from another. The method may be de... | [
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0901.0638 | 2 | This article Revised working paper V 1.1 presents differential equations and solution methods for the functions of the form A(z) = F^{-1}(G(z)), where F and G are cumulative distribution functions. Such functions allow the direct recycling of samples from one distribution into samples from another. The method may be de... | This article presents differential equations and solution methods for the functions of the form A(z) = F^{-1}(G(z)), where F and G are cumulative distribution functions. Such functions allow the direct recycling of samples from one distribution into samples from another. The method may be developed analytically for cer... | [
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0901.0638 | 3 | This article presents differential equations and solution methods for the functions of the form A(z) = F^{-1}(G(z)), where F and G are cumulative distribution functions. Such functions allow the direct recycling of samples from one distribution into samples from another. The method may be developed analytically for ce... | This article presents differential equations and solution methods for the functions of the form A(z) = F^{-1}(G(z)), where F and G are cumulative distribution functions. Such functions allow the direct recycling of Monte Carlo samples from one distribution into samples from another. The method may be developed analytic... | [
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0901.0638 | 4 | This article presents differential equations and solution methods for the functions of the form A(z ) = F^{-1}(G( z )), where F and G are cumulative distribution functions. Such functions allow the direct recycling of Monte Carlo samples from one distribution into samples from another. The method may be developed analy... | This article presents differential equations and solution methods for the functions of the form Q(x ) = F^{-1}(G( x )), where F and G are cumulative distribution functions. Such functions allow the direct recycling of Monte Carlo samples from one distribution into samples from another. The method may be developed analy... | [
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0901.2080 | 1 | The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a unifying approach with a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long-term rates at ea... | The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long-term rates at earlier dates can dominate ... | [
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0901.2377 | 1 | Credit relationships between commercial banks and quoted firms are studied for the structure and its temporal change from the year 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges correspond to the relationships and weights refer to the amounts of loans. Reduction in ... | We present a new approach to understanding credit relationships between commercial banks and quoted firms and with this approach examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges correspon... | [
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0901.2377 | 2 | We present a new approach to understanding credit relationships between commercial banks and quoted firms and with this approach examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges corresp... | We present a new approach to understanding credit relationships between commercial banks and quoted firms , and with this approach , examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges corre... | [
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0901.3003 | 1 | We formalize a cumulative interest compliant conservation requirement for pure financial products proposed by Wesseling and van den Bergh to make financial issues relating to these products amenable to mathematical analysis. The formalization is given in a timed extension of tuplix calculus and abstracts from the idios... | We develop an algebraic framework for the description and analysis of financial behaviours, that is, behaviours that consist of transferring certain amounts of money at planned times. To a large extent, analysis of financial products amounts to analysis of such behaviours. We formalize the cumulative interest compliant... | [
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0901.4785 | 1 | Inspired by problems in biochemical kinetics, we study statistical properties of an overdamped Langevin processes with the friction coefficient depending on the state of a similar, unobserved, process. Integrating out the latter, we derive the Fokker-Planck equation for the probability distribution of the former. This ... | Inspired by problems in biochemical kinetics, we study statistical properties of an overdamped Langevin processes with the friction coefficient depending on the state of a similar, unobserved, process. Integrating out the latter, we derive the long time behavior of the mean square displacement. Anomalous diffusion is f... | [
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0901.4904 | 1 | A nonlinear model has been posited for the global analysis of data pertaining to the semantic network of a complex operating system (free and open-source software). While the distribution of links in the dependency network of this system is scale-free for the intermediate nodes, the richest nodes deviate from this tre... | A continuum model has been posited for the global analysis of data pertaining to the semantic network of a complex operating system (free and open-source software). While the frequency distributions of links in both the in-directed and out-directed dependency networks of this system follow Zipf's law for the intermedia... | [
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0901.4904 | 3 | A continuum model has been proposed to fit the data pertaining to the directed networks in free and open-source software. While the degree distributions of links in both the in-directed and out-directed dependency networks follow Zipf's law for the intermediate nodes, the most richly linked nodes , as well as the most ... | We propose a continuum model for the degree distribution of directed networks in free and open-source software. The degree distributions of links in both the in-directed and out-directed dependency networks follow Zipf's law for the intermediate nodes, but the heavily linked nodes and the poorly linked nodes deviate fr... | [
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0901.4914 | 1 | In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in the prices of spread options and the put-call symmetry property in view of the well-known duality principle in option pricing. A particular atten... | In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular atten... | [
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0902.0504 | 1 | We consider a simple market where a vendor offers multiple variants of a certain product . Preferences of the vendor and of potential buyers are heterogeneous and often antagonistic. Optimization of the joint benefit of the vendor and the buyers turns the toy market into a combinatorial matching problem. We compare op... | We consider a simple market where a vendor offers multiple variants of a certain product and preferences of both the vendor and potential buyers are heterogeneous and possibly even antagonistic. Optimization of the joint benefit of the vendor and the buyers turns the toy market into a combinatorial matching problem. We... | [
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0902.0782 | 1 | Wireless ad hoc networks are seldom characterized by one single performance metric, yet the current literature lacks a flexible framework to assist in characterizing the design tradeoffs in such networks. In this work, we address this problem by proposing a new modeling framework for routing in ad hoc networks, which u... | Wireless ad hoc networks are seldom characterized by one single performance metric, yet the current literature lacks a flexible framework to assist in characterizing the design tradeoffs in such networks. In this work, we address this problem by proposing a new modeling framework for routing in ad hoc networks, which u... | [
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0902.0878 | 1 | We present a methodology to extract the backbone of complex networks in which the weight and direction of links, as well as non-topological state variables associated with nodesplay a crucial role. This methodology can be applied in general to networks in which mass or energy is flowing along the links. In this paper, ... | We present a methodology to extract the backbone of complex networks based on the weight and direction of links, as well as on nontopological properties of nodes. We show how the methodology can be applied in general to networks in which mass or energy is flowing along the links. In particular, the procedure enables us... | [
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0902.1328 | 1 | We study the class of Azema-Yor (AY) processes defined from a general semimartingale with a continuous running supremum process. We show that they arise as unique strong solutions of the Bachelier stochastic differential equation which we prove is equivalent to the Drawdown equation. Solutions of the latter have the dr... | We study the class of Azema-Yor processes defined from a general semimartingale with a continuous running supremum process. We show that they arise as unique strong solutions of the Bachelier stochastic differential equation which we prove is equivalent to the Drawdown equation. Solutions of the latter have the drawdow... | [
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0902.1394 | 1 | This paper addresses the following foundational question: what is the maximum theoretical delay performance achievable by an overlay peer-to-peer streaming system where the streamed content is subdivided into chunks? As shown in this paper, when posed for chunk-based systems, and as a consequence of the store-and-forwa... | This paper addresses the following foundational question: what is the maximum theoretical delay performance achievable by an overlay peer-to-peer streaming system where the streamed content is subdivided into chunks? As shown in this paper, when posed for chunk-based systems, and as a consequence of the store-and-forwa... | [
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0902.1576 | 1 | Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative which can take an explicit account of distribution of firms' production activities. ... | Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative which can take an explicit account of distribution of firms' production activities. ... | [
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0902.2479 | 1 | The value function of an optimal stopping problem for a process with Levy jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the process is non-degenerate and a mild assumption on the singularity of the Levy measure, this paper shows that the value function is s... | The value function of an optimal stopping problem for a process with L\'{e jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the process is nondegenerate and a mild assumption on the singularity of the L\'{e measure, this paper shows that the value function of ... | [
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0902.2912 | 1 | We have developed URDME, a general software for simulation of stochastic reaction-diffusion processes on unstructured meshes. This allows for a more flexible handling of complicated geometries and curved boundaries compared to simulations on structured, cartesian meshes. The underlying algorithm is the next subvolume m... | We have developed URDME, a general software for simulation of stochastic reaction-diffusion processes on unstructured meshes. This allows for a more flexible handling of complicated geometries and curved boundaries compared to simulations on structured, cartesian meshes. The underlying algorithm is the next subvolume m... | [
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0902.2965 | 1 | In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loos... | In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loos... | [
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0902.3301 | 1 | Molecular motors are biogenic force generators acting in the nanometer range . They convert chemical energy into mechanical work and move along filamentous structures. In this research, we will discuss the velocity of molecular motors, in framework of a mechanochemical network theory. Our network modelis based on the d... | Molecular motors are single macromolecules that generate forces at the piconewton range and nanometer scale . They convert chemical energy into mechanical work by moving along filamentous structures. In this paper, we study the velocity of two-head molecular motors in the framework of a mechanochemical network theory. ... | [
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0902.3413 | 1 | The biogenesis of lipid droplets (LD) in the yeast Saccharomyces cerevisiae was theoretically investigated on basis of a biophysical model. In accordance with the standard model of LD formation, we assumed that neutral lipids oil-out between the membrane leaflets of the endoplasmic reticulum (ER), resulting in LDs that... | The biogenesis of lipid droplets (LD) in the yeast Saccharomyces cerevisiae was theoretically investigated on basis of a biophysical model. In accordance with the prevailing model of LD formation, we assumed that neutral lipids oil-out between the membrane leaflets of the endoplasmic reticulum (ER), resulting in LD tha... | [
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0903.0096 | 1 | We provide a simple and accurate analytical model for infrastructure IEEE 802.11 WLANs. Our model applies if the cell radius, R, is much smaller than the distance , R_{cs} , up to which carrier sensing is effective. The condition R_{cs} >> R is likely to hold in a dense deployment of Access Points (APs) where, for ever... | We provide a simple and accurate analytical model for multi-cell infrastructure IEEE 802.11 WLANs. Our model applies if the cell radius, R, is much smaller than the carrier sensing range , R_{cs} . We argue that, the condition R_{cs} >> R is likely to hold in a dense deployment of Access Points (APs) where, for every c... | [
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0903.0680 | 1 | We propose a new generic framework for option price modelling, using quantum neural computation formalism. Briefly, when we apply a classical nonlinear neural-network learning to a quantum linear Schr\"odinger equation, as a result we get a nonlinear Schr\"odinger equation (NLS), performing as a quantum stochastic filt... | We propose a new cognitive framework for option price modelling, using quantum neural computation formalism. Briefly, when we apply a classical nonlinear neural-network learning to a linear quantum Schr\"odinger equation, as a result we get a nonlinear Schr\"odinger equation (NLS), performing as a quantum stochastic fi... | [
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0903.2243 | 1 | After reviewing the strengthened hypotheses of the Shannon-MacMillan-Breiman Theorem, versus the standard statement of the Noiseless Coding Theorem, we state and prove a similar result for relative information , otherwise known as information gain. If the gain results from receiving a side message, this gain, when aver... | This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger ( 2002 ) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy Coding Theorems, two of the most important results of Shannon's theory, we begi... | [
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0903.2352 | 1 | This paper investigates the limit behavior of Markov Decision Processes (MDPs) made of independent particles evolving in a common environment, when the number of particles goes to infinity. In the finite horizon case or with a discounted cost and an infinite horizon, we show that when the number of particles becomes la... | This paper investigates the limit behavior of Markov Decision Processes (MDPs) made of independent particles evolving in a common environment, when the number of particles goes to infinity. In the finite horizon case or with a discounted cost and an infinite horizon, we show that when the number of particles becomes la... | [
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0903.2608 | 1 | Synthesis of protein molecules in a cell are carried out by ribosomes. A ribosome can be regarded as a molecular motor which utilizes the input chemical energy to move on a messenger RNA (mRNA) track that also serves as a template for the polymerization of the corresponding protein. The forward movement, however, is ch... | Synthesis of protein molecules in a cell are carried out by ribosomes. A ribosome can be regarded as a molecular motor which utilizes the input chemical energy to move on a messenger RNA (mRNA) track that also serves as a template for the polymerization of the corresponding protein. The forward movement, however, is ch... | [
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0903.2608 | 2 | Synthesis of protein molecules in a cell are carried out by ribosomes. A ribosome can be regarded as a molecular motor which utilizes the input chemical energy to move on a messenger RNA (mRNA) track that also serves as a template for the polymerization of the corresponding protein. The forward movement, however, is ch... | Synthesis of protein molecules in a cell are carried out by ribosomes. A ribosome can be regarded as a molecular motor which utilizes the input chemical energy to move on a messenger RNA (mRNA) track that also serves as a template for the polymerization of the corresponding protein. The forward movement, however, is ch... | [
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0903.2883 | 1 | We investigate the distribution of flavonoid , a major category of plant secondary metabolites, across species. Flavonoid is known to show high species specificity, and was once considered as a chemical marker to understand adaptive evolution and characterization of URLanisms. We investigate the distribution among spec... | We investigate the distribution of flavonoids , a major category of plant secondary metabolites, across species. Flavonoids are known to show high species specificity, and were once considered as chemical markers for understanding adaptive evolution and characterization of URLanisms. We investigate the distribution amo... | [
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0903.3736 | 1 | We provide an axiomatic foundation for the representation of numeraire-invariant preferences of agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice rule: the agent prefers one outcome over another if and only if the expected (under the agent... | We provide an axiomatic foundation for the representation of numeraire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice rule: the agent prefers one outcome over another if and only if the expected (under t... | [
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0903.4215 | 1 | Multi-potent stem or progenitor cells undergo a sequential series of binary fate decisions which ultimately generates the diversity of differentiated cell . Efforts to understand cell fate control have focused on simple gene regulatory circuits that predict the presence of multiple stable states, bifurcations and switc... | Multi-potent stem or progenitor cells undergo a sequential series of binary fate decisions , which ultimately generate the diversity of differentiated cells . Efforts to understand cell fate control have focused on simple gene regulatory circuits that predict the presence of multiple stable states, bifurcations and swi... | [
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0903.4542 | 1 | We obtain the Maximum Entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimize a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for our method and compare our... | We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for our method and compare our... | [
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0903.4833 | 1 | It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, i.e. given prices of perpetual American options for different strikes we show how to construct a time-homogeneous model for the ... | It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes , we show how to construct a time-homogeneous stock pri... | [
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0903.4844 | 1 | Here we propose an objective scheme to quantify the precise amount of negative entropy, present in an extremely important biochemical pathway; namely, the TCA cycle. Our approach is based on the computational implementation of two-person non-cooperative finite zero-sum game between positive entropy and negative entropy... | Biological systems possess negative entropy. In them, one form of order produces another, URLanized form of order. We propose a formal scheme to calculate robustness of an entire biological system by quantifying the negative entropy present in it. Our Methodology is based upon a computational implementation of two-pers... | [
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0904.0111 | 1 | The mitotic spindle is an important intermediate structure in eucaryotic cell division, in which each of a pair of duplicated chromosomes is attached through microtubules to centrosomal bodies located close to the two poles of the dividing cell. It is widely believed that the spindle starts forming by the `capture' of ... | The mitotic spindle is an important intermediate structure in eukaryotic cell division, in which each of a pair of duplicated chromosomes is attached through microtubules to centrosomal bodies located close to the two poles of the dividing cell. Several mechanisms are at work towards the formation of the spindle, one o... | [
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0904.0624 | 1 | We provide a new approach to scenario generation for the purpose of risk management in the banking industry. We connect ideas from standard techniques -- like historical and Monte Carlo simulation -- to a hybrid technique that shares the advantages of standard procedures but reduces several of their drawbacks. Instead... | We provide a new dynamic approach to scenario generation for the purposes of risk management in the banking industry. We connect ideas from conventional techniques -- like historical and Monte Carlo simulation -- and we come up with a hybrid method that shares the advantages of standard procedures but eliminates severa... | [
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0904.0947 | 1 | Biochemical reaction networks in living cells usually involve reversible covalent modification of signaling molecules, such as protein phosphorylation. Under the frequent conditions of small molecule numbers, mass action theory becomes insufficient to describe the dynamics of such systems. Instead, the biochemical rea... | Biochemical reaction networks in living cells usually involve reversible covalent modification of signaling molecules, such as protein phosphorylation. Under conditions of small molecule numbers, as is frequently the case in living cells, mass action theory fails to describe the dynamics of such systems. Instead, the b... | [
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0904.0989 | 1 | We systematically investigate the community structure of the yeast protein interaction network . We employ methods that allow us to identify communities in the network at multiple resolutions as, a priori, there is no single scale of interest. We use novel, stringent tests to find strong evidence for a link between top... | Motivation: If biology is modular then clusters, or communities, of proteins derived using only protein-protein interaction network structure might define protein modules with similar biological roles. We investigate the connection between biological modules and network communities in yeast and ask how the functional s... | [
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0904.1078 | 1 | We apply the quadratic hedging scheme developed by F\"ollmer , Schweizer, and Sondermann to European contingent products whose underlying asset is modeled using a GARCH process . The main contributions of this work consist of showing that local risk-minimizing strategies with respect to the physical measure do exist, e... | We apply a quadratic hedging scheme developed by Foellmer , Schweizer, and Sondermann to European contingent products whose underlying asset is modeled using a GARCH process and show that local risk-minimizing strategies with respect to the physical measure do exist, even though an associated minimal martingale measure... | [
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0904.1515 | 1 | We investigate the structural and dynamical properties of the transcriptional regulatory network of the yeast {\it Saccharomyces cerevisiae} and compare them with a previously proposed ensemble of networks generated by mimicking the transcriptional regulation process within the cell. Even though the model ensemble succ... | We investigate the structural and dynamical properties of the transcriptional regulatory network of the yeast {\it Saccharomyces cerevisiae} and compare it with two unbiased ensembles: one obtained by reshuffling the edges and the other generated by mimicking the transcriptional regulation mechanism within the cell. Bo... | [
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0904.1587 | 1 | Biochemical processes typically involve huge numbers of individual steps, each with its own dynamical rate constants. For example, kinetic proofreading processes rely upon numerous sequential reactions in order to guarantee the precise construction of specific macromolecules Hopfield, 1974 . In this work, we study the... | Biochemical processes typically involve huge numbers of individual reversible steps, each with its own dynamical rate constants. For example, kinetic proofreading processes rely upon numerous sequential reactions in order to guarantee the precise construction of specific macromolecules . In this work, we study the tran... | [
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0904.1653 | 1 | The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by another defaulting firm (a domino effect being also possible). The spontaneous defa... | The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by other defaulting firms (a domino effect being also possible). The spontaneous defau... | [
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0904.1798 | 1 | The absence of arbitrages of the first kind, a weakening of the " No Free Lunch with Vanishing Risk " condition, is analyzed in a general semimartingale financial market model. In the spirit of the Fundamental Theorem of Asset Pricing (FTAP) , it is shown that there is absence of arbitrages of the first kind in the ma... | The absence of arbitrages of the first kind, a weakening of the `` No Free Lunch with Vanishing Risk '' condition, is analyzed in a general semimartingale financial market model. In the spirit of the Fundamental Theorem of Asset Pricing , it is shown that there is equivalence between the absence of arbitrages of the fi... | [
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0904.1798 | 2 | The absence of arbitrages of the first kind, a weakening of the ``No Free Lunch with Vanishing Risk'' condition, is analyzed in a general semimartingale financial market model . In the spirit of the Fundamental Theorem of Asset Pricing , it is shown that there is equivalence between the absence of arbitrages of the fir... | In a semimartingale financial market model , it is shown that there is equivalence between absence of arbitrages of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes. | [
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0904.1805 | 1 | To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modelling issues that should be resolved to use the approach in practice. In this paper we review the quantitative meth... | To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modeling issues that should be resolved to use the approach in practice. In this paper we review the quantitative metho... | [
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0904.2913 | 1 | A study of the boundedness in probability of the set of possible wealth outcomes of an economic agent facing constraints, and with limited access to information , is undertaken. The wealth-process set is abstractly structured with reasonable economic properties, instead of the usual practice of taking it to consist of ... | We undertake a study of market viability from the perspective of a financial agent with limited access to information . The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartin... | [
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0904.2913 | 2 | We undertake a study of market viability from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimarting... | We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integ... | [
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0904.4074 | 1 | In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different risk categories as well ... | In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different risk categories as well ... | [
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0904.4099 | 1 | In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adjusted return have significant drawbacks. In particular, they are global indices, that is they do not preserve any %DIFDEL... | In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adjusted return have significant drawbacks. In particular, they are global indices, that is they do not preserve any %DIFDEL... | [
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0904.4155 | 1 | This paper discovers fundamental principles of the backoff process that governs the performance of IEEE 802.11. We first {\it establish} that the so-called mean field technique, which spins off a fixed point equation, is mathematically valid for use in performance analysis of 802.11. On the basis of this, succinct equa... | This paper discovers fundamental principles of the backoff process that governs the performance of IEEE 802.11. We first {\it establish} that the so-called mean field technique, which spins off a fixed point equation, is mathematically valid for use in performance analysis of 802.11. On the basis of this, succinct equa... | [
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0904.4155 | 3 | This paper discovers fundamental principles of the backoff process that governs the performance of IEEE 802.11. We first make a simplistic Palm interpretation of the Bianchi's formula and on the basis of which, succinct equations describing the backoff distribution as a function of the collision probability \gamma are ... | This paper discovers fundamental principles of the backoff process that governs the performance of IEEE 802.11. A simplistic principle founded upon regular variation theory is that the backoff time has a truncated Pareto-type tail distribution with an exponent of (\log \gamma)/\log m (m is the multiplicative factor and... | [
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0904.4430 | 1 | We present a simple model of firm rating evolution and resulting bankruptcies, taking into account two sources of defaults: individual dynamics of economic development and ordering interactions between firms. We show that such a defined model leads to phase transition, which results in collective defaults. Our results ... | We present a simple model of firm rating evolution . We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition, which results in collective defaults. The existence of the collective phase depend... | [
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0905.0129 | 1 | We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, varianc... | We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases, and, at the same time, vari... | [
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0905.1882 | 1 | We consider the problem of option pricing under stochastic volatility models, focusing on the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. We show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we derive the expressions of the chara... | We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we ... | [
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0905.1882 | 2 | We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we ... | We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we ... | [
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0905.2669 | 1 | The questions in the experimental and theoretical research in the field of interaction of weak influences of various fields with biological objects in conditions when an intense of the influence is smalland weak perturbation are analyzed. The type of resonant interactions connected with these processes is considered. T... | The effect of ultralow-frequency or static magnetic and electric fields on biological processes is of huge interest for researchers due to the resonant change of the intensity of biochemical reactions although the energy in such fields is small. A simplified model to study the effect of the weak magnetic and electrical... | [
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0905.3701 | 2 | The stochastic exponential Z_t=\exp\{M_t-M_0-(1/2) <M,M>_t\} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the process Z to be a true martingale in the case where M_t=\int_0^t b(Y_u) dW_u and Y is a one-dimensional diffusion driven by a Bro... | The stochastic exponential Z_t=\exp\{M_t-M_0-(1/2) <M,M>_t\} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the process Z to be a true martingale in the case where M_t=\int_0^t b(Y_u) \, dW_u and Y is a one-dimensional diffusion driven by a B... | [
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0906.0208 | 1 | We prove existence and uniqueness of stochastic equilibria in a representative class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and general random endowments. The incompleteness featured in our sett... | We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and general Markovian random endowments. The incompleteness featured in our setting - ... | [
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0906.0557 | 1 | We present a set of five axioms for fairness measures in resource allocation. A family of fairness measures satisfying the axioms is constructed. Well-known notions such as alpha-fairness, Jain's index and entropy are shown to be special cases. Properties of fairness measures satisfying the axioms are proven, includin... | We present a set of five axioms for fairness measures in resource allocation. A family of fairness measures satisfying the axioms is constructed. Well-known notions such as alpha-fairness, Jain's index , and entropy are shown to be special cases. Properties of fairness measures satisfying the axioms are proven, includi... | [
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0906.2100 | 1 | Consider two insurance companies (or two branches of the same company) that have the same claims and they divide premia in some specified proportions. We model the occurrence of claims according to a Poisson process. The ruin is achieved if the corresponding two-dimensional risk process first leave the positive quadran... | Consider two insurance companies (or two branches of the same company) that have the same claims and they divide premia in some specified proportions. We model the occurrence of claims according to a Poisson process. The ruin is achieved if the corresponding two-dimensional risk process first leave the positive quadran... | [
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0906.2100 | 2 | Consider two insurance companies (or two branches of the same company) that have the same claims and they divide premia in some specified proportions . We model the occurrence of claims according to a Poisson process. The ruin is achieved if the corresponding two-dimensional risk process first leave the positive quadra... | Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal) . We model the occurrence of claims according to a Poisson process. The ruin is achieved w... | [
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0906.2311 | 1 | In this paper we present and study the connectivity problem for wireless networks under the Signal to Interference plus Noise Ratio (SINR) model. Given a set of radio transmitters distributed in some area, we seek to build a directed strongly connected communication graph, and compute an edge coloring of this graph suc... | In this paper we study the connectivity problem for wireless networks under the Signal to Interference plus Noise Ratio (SINR) model. Given a set of radio transmitters distributed in some area, we seek to build a directed strongly connected communication graph, and compute an edge coloring of this graph such that the t... | [
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0906.3178 | 1 | The microtubule cortical array is a structure consisting of highly aligned microtubules , observed in all growing plant cells, which plays a crucial role in the characteristic plant cell growth by uniaxial expansion along the axis perpendicular to the microtubules. To investigate the orientational ordering of microtubu... | The cortical array is a structure consisting of highly aligned microtubules which plays a crucial role in the characteristic uniaxial expansion of all growing plant cells. Recent experiments have shown polymerization-driven collisions between the membrane-bound cortical microtubules, suggesting a possible mechanism for... | [
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0906.3841 | 1 | Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a simple model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large data... | Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database fo... | [
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0906.4861 | 1 | A transition rate model of cargo transportation by N effective molecular motors is proposed. Under the assumption of steady state, the force-velocity curve of multi-motor system can be derived from the force-velocity curve of single motor. Our work shows, in the case of low load, the velocity of multi-motor system can ... | A transition rate model of cargo transport by N molecular motors is proposed. Under the assumption of steady state, the force-velocity curve of multi-motor system can be derived from the force-velocity curve of single motor. Our work shows, in the case of low load, the velocity of multi-motor system can decrease or inc... | [
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0907.0941 | 1 | In this paper we consider a class of BSDE with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward-backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the differentiability of a FBSD... | In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward-backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the differentiability of a FBS... | [
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0907.2926 | 1 | We present a method for constructing new families of solvable one-dimensional diffusions with linear drift and nonlinear diffusion coefficient functions, whose transition densities are obtainable in analytically closed-form. Our approach is based on the so-called diffusion canonical transformation method that allows ... | We present new extensions to a method for constructing several families of solvable one-dimensional time-homogeneous diffusions whose transition densities are obtainable in analytically closed-form. Our approach is based on a dual application of the so-called diffusion canonical transformation method that combines smoo... | [
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0907.3810 | 1 | Diffusive processes describe a large set of phenomena occurring on natural and social systems modeled in terms of complex weighted networks. Here we introduce a general formalism that allows to easily write down mean-field equations for any diffusive dynamics on weighted networks , and to recognize the concept of an a... | Diffusion is a key element of a large set of phenomena occurring on natural and social systems modeled in terms of complex weighted networks. Here , we introduce a general formalism that allows to easily write down mean-field equations for any diffusive dynamics on weighted networks . We also propose the concept of ann... | [
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0908.0348 | 1 | We use a model of proportionate growth to describe the dynamics of international trade flows. We provide an explanation to the fact that the extensive margin of trade account for a large fraction of the greater exports of large economies, as well as for a number of stylized facts described by the literature on trade ne... | We develop a simple theoretical framework for the evolution of weighted network that is consistent with a number of stylized features of real-world data. In our framework, the Barabasi-Albert model of network evolution is extended as recently proposed by Stanley and colleagues in their work on complex system dynamics. ... | [
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0908.0348 | 2 | We develop a simple theoretical framework for the evolution of weighted network that is consistent with a number of stylized features of real-world data. In our framework, the Barabasi-Albert model of network evolution is extended as recently proposed by Stanley and colleagues in their work on complex system dynamics .... | We develop a simple theoretical framework for the evolution of weighted networks that is consistent with a number of stylized features of real-world data. In our framework, the Barabasi-Albert model of network evolution is extended by assuming that link weights evolve according to a geometric Brownian motion . Our mode... | [
{
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153,
320,
391
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0908.0657 | 1 | We study the stochastic dynamics of growth and shrinkage of single actin filaments taking into account insertion, removal, and ATP hydrolysis of subunits either according to the vectorial mechanism or to the random mechanism. In a previous work, we developed a model for a single actin or microtubule filament where hydr... | We study the stochastic dynamics of growth and shrinkage of single actin filaments taking into account insertion, removal, and ATP hydrolysis of subunits either according to the vectorial mechanism or to the random mechanism. In a previous work, we developed a model for a single actin or microtubule filament where hydr... | [
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225,
465,
665,
756
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0908.1082 | 1 | We develop a new theory for pricing call type American options in complete markets which do not necessarily admit an equivalent local martingale measure. This resolve an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009]. | We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009]. | [
{
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0908.1199 | 1 | We study a model of microtubule assembly/disassembly in which GTP bound to tubulins within the microtubule undergoes stochastic hydrolysis. In contrast to models that only consider a cap of GTP-bound tubulin, stochastic hydrolysis allows GTP-bound tubulin remnants to exist within the microtubule. We find that these bu... | We study a one-dimensional model of microtubule assembly/disassembly in which GTP bound to tubulins within the microtubule undergoes stochastic hydrolysis. In contrast to models that only consider a cap of GTP-bound tubulin, stochastic hydrolysis allows GTP-bound tubulin remnants to exist within the microtubule. We fin... | [
{
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{
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{
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140,
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0908.1209 | 1 | It has been suggested that microtubules and other cytoskeletal filaments may act as electrical transmission lines. An electrical circuit model of the microtubule is constructed incorporating features of its cylindrical structure with nanopores in its walls and is used to test whether such features might contribute to t... | It has been suggested that microtubules and other cytoskeletal filaments may act as electrical transmission lines. An electrical circuit model of the microtubule is constructed incorporating features of its cylindrical structure with nanopores in its walls . This model is used to study how ionic conductance along the l... | [
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{
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"before": "test whether such features might contribute to the proposed role of the microtubule as a mediator in intracellular signaling",
"after": "study how ioni... | [
0,
114,
562,
818
] |
0908.1555 | 1 | We build a very simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called 'value investing' , i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed... | We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing" , i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are normally distributed and ... | [
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762,
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1354,
1483
] |
0908.1879 | 1 | We study the topological properties of the multi-network of commodity-specific trade relations among world countries over the 1992-2003 period, comparing them with those of the aggregate-trade network, known in the literature as the international trade network (ITN). We show that link-weight distributions of commodity-... | We study the topological properties of the multinetwork of commodity-specific trade relations among world countries over the 1992-2003 period, comparing them with those of the aggregate-trade network, known in the literature as the international-trade network (ITN). We show that link-weight distributions of commodity-s... | [
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{
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},
{
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1041
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0908.3574 | 1 | Bloom filters are well-known space-efficient data structures that answer set membership queries with some probability of false positives. In an attempt to solve many of the limitations of current inter-networking architectures, some recent proposals rely on including small Bloom filters in packet headers for routing, s... | The Bloom filter (BF) is a well-known space-efficient data structure that answers set membership queries with some probability of false positives. In an attempt to solve many of the limitations of current inter-networking architectures, some recent proposals rely on including small BFs in packet headers for routing, se... | [
{
"type": "R",
"before": "Bloom filters are",
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{
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"before": "structures that answer",
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0,
137,
419,
492,
701
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0909.0065 | 1 | We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stability of the capital distribution. Ergodic properties and rankings of processes are examined with reference to the theory of reflected Brownian motions in polyhedral domains. In the c... | We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties and rankings of processes are examined with reference to the theory of reflected Brownian motions in polyhedral domains. In the context of ... | [
{
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0909.1411 | 1 | We study the stochastic oscillations in protein number dynamics of the three-component negative feedback transcription regulatory system called the repressilator . We quantify the degree of fluctuations in oscillation periods and amplitudes, as well as the noise propagation along the regulatory cascade using the exac... | We study the noise characteristics of stochastic oscillations in protein number dynamics of simple genetic oscillatory systems. Using the three-component negative feedback transcription regulatory system called the repressilator as a prototypical example, we quantify the degree of fluctuations in oscillation periods an... | [
{
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"after": "noise characteristics of",
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{
"type": "A",
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"after": "simple genetic oscillatory systems. Using",
"start_char_pos": 68,
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{
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165,
409,
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