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0909.2454 | 1 | The evolution of genetic systems has been studied through the use of modifier gene models, in which a selectively neutral gene controls genetic transmission of other genes under selection. Analytical studies to obtain a general understanding of the dynamics have faced tradeoffs between different features for tractabili... | A model of mutation rate evolution for multiple loci under arbitrary selection is analyzed. Results are obtained using techniques from Karlin (1982) that overcome the weak selection constraints needed for tractability in prior studies of multilocus event models. A multivariate form of the reduction principle is found: ... | [
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0909.2517 | 1 | In this paper we have defined one function that have been used to construct different fractals having fractal dimensions between 1.58 and 2. Also, we tried to calculate the amount of increment of fractal dimension in accordance with the base of the number systems. And in switching of fractals from one base to another, ... | In this paper we have defined one function that has been used to construct different fractals having fractal dimensions between 1.58 and 2. Also, we tried to calculate the amount of increment of fractal dimension in accordance with the base of the number systems. Further, interestingly enough, these very fractals could... | [
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0909.3219 | 1 | This paper studies a contingent claim pricing problem in incomplete markets , based on the risk indifference principle . The seller's dynamic risk indifference price is the payment that makes the risk involved for the seller of a contract equal, at any time, to the risk involved if the contract is not sold and no payme... | This paper studies a contingent claim pricing problem in markets where the underlying traded assets are illiquid. Based on the risk indifference principle , an explicit formula for the dynamic risk indifference price is given as the difference between the solutions of two one-dimensional BSDEs with stochastic Lipschitz... | [
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0909.3219 | 2 | This paper studies a contingent claim pricing problem in markets where the underlying traded assets are illiquid. Based on the risk indifference principle, an explicit formula for the dynamic risk indifference price is given as the difference between the solutions of two one-dimensional BSDEs with stochastic Lipschitz ... | In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are bounded from below and above by the dynamic lower and upper hedging prices, resp... | [
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0909.3244 | 1 | Financial data give an opportunity to uncover the non-stationarity which may be hidden in many single time-series. Five years of daily Euro/ Dollar trading records in the about three hours following the New York opening session are shown to give an accurate ensemble representation of the self-similar , non-Markovian st... | A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such a model must be compared with the data of a single process realization in our re... | [
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0909.3441 | 1 | In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred from the single-stock option markets and combined via a Gaussian copula, for examp... | In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred from the single-stock option markets and combined via a Gaussian copula, for examp... | [
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0909.4440 | 1 | We propose a realistic mechanism accounting for the existence of sub-micrometric protein domains in cell membranes. At the biological level, such membrane domains have been demonstrated to be specialized, in that sense that they congregate one or a few protein species amongst the hundreds of different species that a ce... | We discuss a realistic scenario, accounting for the existence of sub-micrometric protein domains in cell membranes. At the biological level, such membrane domains have been shown to be specialized, in order to perform a determined biological task, in the sense that they gather one or a few protein species out of the hu... | [
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0909.4765 | 1 | We derive probabilistic representations for the probability density function of the arbitrage price of a financial asset and the price of European call and put options in a linear stochastic volatility model with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of linea... | In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of linearity being the volatility process. This class contains among others Black-Scholes model, a log-normal stochastic volatility model and H... | [
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0910.0509 | 1 | Boolean networks are discrete dynamical systems in which the state (zero or one) of each network node at time t is updated to a state determined by the states at time t-1 of those nodes that have links to it. Boolean networks with ` canalizing' update rules have been of great interestin the modeling of genetic control ... | Boolean networks are discrete dynamical systems in which the state (zero or one) of each node is updated at each time t to a state determined by the states at time t-1 of those nodes that have links to it. When these systems are used to model genetic control, the case of ' canalizing' update rules is of particular inte... | [
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0910.1416 | 1 | Human olfactory receptor , OR1D2, binds to Bourgeonal , a chemical constituent of the mythical flower, Lily of the valley or Our Lady's tears (1) . OR1D2, OR1D4 and OR1D5 are three full length olfactory receptors present in an olfactory locus in human genome. These receptors are more than 80\% identical in DNA sequence... | Ligands for only two human olfactory receptors are known. One of them , OR1D2, binds to Bourgeonal Malnic B, Godfrey P-A, Buck L-B (2004) The human olfactory receptor gene family. Proc. Natl. Acad. Sci U. S. A. 101: 2584-2589 and Erratum in: Proc Natl Acad Sci U. S. A. (2004) 101: 7205 . OR1D2, OR1D4 and OR1D5 are thre... | [
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0910.2309 | 1 | We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method re- cently developed in [ 7, 8, 10 ] for short time asymptotic expansions of heat kernels, and obtain a family of general explici... | We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we have recently developed in [ 5, 6, 8 ] for short-time asymptotic expansions of heat kernels, and obtain a family of gener... | [
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0910.2465 | 1 | Arrow's theorem implies that a social choice function satisfying Transitivity, the Pareto Principle (Unanimity) and Independence of Irrelevant Alternatives (IIA) must be dictatorial. When non-strict preferences are allowed, a dictatorial social choice function is defined as a function for which there exists a single vo... | Arrow's theorem implies that a social choice function satisfying Transitivity, the Pareto Principle (Unanimity) and Independence of Irrelevant Alternatives (IIA) must be dictatorial. When non-strict preferences are allowed, a dictatorial social choice function is defined as a function for which there exists a single vo... | [
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0910.3936 | 1 | The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last twenty years. We... | The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last twenty years. We... | [
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0910.5819 | 1 | We investigate bisimulation equivalence on Petri nets under durational semantics. Our motivation was to verify the conjecture that in durational setting, the bisimulation equivalence checking problem becomes more tractable (which is the case, e.g., over communication-free nets). We disprove this conjecture in three of... | We investigate bisimulation equivalence on Petri nets under durational semantics. Our motivation was to verify the conjecture that in durational setting, the bisimulation equivalence checking problem becomes more tractable than in ordinary setting (which is the case, e.g., over communication-free nets). We disprove thi... | [
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0911.0113 | 1 | Families of exact solutions are found for a nonlinear modification of the Black-Scholes equation. This risk-adjusted pricing methodology model (RAPM) incorporates both transaction costs and the risk from a volatile portfolio. Using the Lie group analysis we obtain the Lie algebra admitted by the RAPM equation. It gives... | Families of exact solutions are found to a nonlinear modification of the Black-Scholes equation. This risk-adjusted pricing methodology model (RAPM) incorporates both transaction costs and the risk from a volatile portfolio. Using the Lie group analysis we obtain the Lie algebra admitted by the RAPM equation. It gives ... | [
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0911.0454 | 1 | This is the first delivery of the Financial Bubble Experiment that our group has recently launched within the Financial Crisis Observatory (FCO) at ETH Zurich URL | On 2 November 2009, the Financial Bubble Experiment was launched within the Financial Crisis Observatory (FCO) at ETH Zurich URL In that initial report, we diagnosed and announced three bubbles on three different assets. In this latest release of 23 December 2009 in this ongoing experiment, we add a diagnostic of a new... | [
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0911.0562 | 1 | We give a rigorous proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we fix the problem of a circular definition in the original derivation of Gatheral, who introduced this implied volatility representation in his book 'The Vo... | We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the question of existence of 'forward implied variance' in the original derivation of Gatheral, who introduced this representation in his book 'The Vol... | [
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0911.3117 | 1 | An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is filtered from a combination of price observations and the privileged information, fusing a partial information scenario with enlargement o... | This paper has been withdrawn by the authors pending corrections . | [
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0911.3802 | 1 | We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likelihood estimation using a large set of historical ratings. Given the parameters the model can be used to simulate scenarios for joint rating changes of a ... | We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach using historical rating transitions and heurist... | [
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0911.4871 | 1 | There is little objective insight about various statistical aspects regarding the nature of occurrences of 3-10 and Pi-helices. Comprehensive set of reasons behind the existence of 3-10 and Pi-helices can only be obtained if the occurrence profile of these on the primary structure is unambiguously described from the pe... | Considering all available non-redundant protein structures across different structural classes, present study identified the probabilistic characteristics that describe several facets of the occurrence of 3(10) and Pi-helices in proteins. Occurrence profile of 3(10) and Pi-helices revealed that, their presence follows ... | [
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0911.5117 | 1 | We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time t_d during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic func... | We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time t_d during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic func... | [
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0912.0122 | 1 | We study the evolution of quantum entanglement during exciton energy transfer (EET) in a network model of the Fenna-Matthews-Olson (FMO) complex, a biological pigment-protein complex involved in the early steps of photosynthesis in sulphur bacteria. The influence of Markovian, as well as spatially and temporally correl... | We study the evolution of quantum entanglement during exciton energy transfer (EET) in a network model of the Fenna-Matthews-Olson (FMO) complex, a biological pigment-protein complex involved in the early steps of photosynthesis in sulphur bacteria. The influence of Markovian, as well as spatially and temporally correl... | [
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0912.0161 | 1 | Network communities help the URLanization and evolution of complex networks. However, the development of a method, which is both fast and accurate, provides modular overlaps and partitions of a heterogeneous network, was rather difficult. Here we introduce the novel concept of community landscapes and ModuLand, an in... | Background: Network communities help the URLanization and evolution of complex networks. However, the development of a method, which is both fast and accurate, provides modular overlaps and partitions of a heterogeneous network, has proven to be rather difficult. Methodology/Principal Findings: Here we introduce the no... | [
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0912.0857 | 1 | We explore what causes business cycles by analyzing the Japanese industrial production data. The methods are spectral analysis and factor analysis. Using the random matrix theory, we show that two largest eigenvalues are significant , and identify the first dominant factor as the aggregate demand, and the second factor... | We explore what causes business cycles by analyzing the Japanese industrial production data. The methods are spectral analysis and factor analysis. Using the random matrix theory, we show that two largest eigenvalues are significant . Taking advantage of the information revealed by disaggregated data, we identify the f... | [
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0912.1396 | 1 | Decision making in the presence of randomness is an important problem, particularly in finance. Often, decision makers base their choices on the values of `risk measures' or `nonlinear expectations'; it is important to understand how these decisions evolve through time. In this paper, we consider how these decisions ar... | We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treatment of time consistency which is independent of Bellman's equations, we show that there is a new sense in which these d... | [
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0912.1548 | 1 | Apoptosis is a highly regulated cell death mechanism involved in many physiological processes. One of the key components of extrinsically activated apoptosis is the death receptor Fas, which, on binding to its cognate ligand , oligomerize to form the death-inducing signaling complex , a pivotal trigger of apoptosis . ... | Apoptosis is a highly regulated cell death mechanism involved in many physiological processes. A key component of extrinsically activated apoptosis is the death receptor Fas, which, on binding to its cognate ligand FasL , oligomerize to form the death-inducing signaling complex . Motivated by recent experimental data ,... | [
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0912.1985 | 1 | The fluctuation-dissipation theory is invoked to shed light on input-output industrial correlations at a macroscopic level ; it is applied to the IIP (indices of industrial production) data in Japan. The random matrix theory is adopted to eliminate statistical noises out of the original data. The genuine correlation ma... | In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise arising from finiteness of the time series data is carefully removed by making use of... | [
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0912.2595 | 1 | In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by a stochastic volatility model with jumps. In this paper we consider a dense subclass of such models and develop analytically tractable formulae for the prices of a range of first-generation exotic deriva... | In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically tractable formulae for the prices of a range of first-generation exotic derivat... | [
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0912.3595 | 1 | The problem of DNA-DNA interaction mediated by divalent counterions is studied using computer simulation. We show that if DNA configurational entropy is restricted, divalent counterions can cause DNA reentrant condensation similar to that caused by tri- or tetra-valent counterions. DNA-DNA interaction is strongly repul... | The problem of DNA-DNA interaction mediated by divalent counterions is studied using computer simulation. Although divalent counterions cannot condense free DNA molecules in solution, we show that if DNA configurational entropy is restricted, divalent counterions can cause DNA reentrant condensation similar to that cau... | [
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0912.4312 | 1 | We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in some standard market filtrations, default times are totally inaccessible stoppi... | We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in some standard market filtrations, default times are totally inaccessible stoppi... | [
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0912.4465 | 1 | Post-translational modifications of the histone proteins in the chromosomes are an important factor in epigenetic control as specific regions of DNA in the chromatin are expressed , depending on the particular modification states of the histone proteins. We study the stochastic dynamics of histone protein states, takin... | Post-translational modifications of histone proteins are an important factor in epigenetic control that serve to regulate transcription , depending on the particular modification states of the histone proteins. We study the stochastic dynamics of histone protein states, taking into account a feedback mechanism where mo... | [
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0912.4533 | 1 | In the paper "On Truncated Variation of Brownian Motion with Drift" (Bull. Pol. Acad. Sci. Math. 56 (2008), no.4, 267 - 281) we defined truncated variation of Brownian motion with drift, W_t = B_t + \mu t, t\geq 0, where (B_t) is a standard Brownian motion. For positive c we define two related quantities - upward trunc... | In the paper "On Truncated Variation of Brownian Motion with Drift" (Bull. Pol. Acad. Sci. Math. 56 (2008), no.4, 267 - 281) we defined truncated variation of Brownian motion with drift, W_t = B_t + \mu t, t\geq 0, where (B_t) is a standard Brownian motion. Truncated variation differs from regular variation by neglecti... | [
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0912.4710 | 1 | Biochemical computing is an emerging field of unconventional computing that attempts to process information with biomolecules and biological objects using Boolean logic. In this work electrode-immobilized glucose-6-phosphate dehydrogenase enzyme catalyzed a reaction which carries out the Boolean AND logic gate. We repo... | Biochemical computing is an emerging field of unconventional computing that attempts to process information with biomolecules and biological objects using digital logic. In this work we survey filtering in general, in biochemical computing, and summarize the experimental realization of an AND logic gate with sigmoid re... | [
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0912.4723 | 1 | Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real-trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution to the building of a set of styliz... | Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution to the building of a set of styliz... | [
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0912.4898 | 1 | We study probability distributions of money, income, and energy consumption per capita for ensembles of economic agents. Following the principle of entropy maximization for partitioning of a limited resource , we find exponential distributions for the investigated variables. We also discuss fluxes of money and populat... | Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the investigated variables. A non-equilibrium difference of money temperatures betw... | [
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1001.1379 | 1 | In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatility and investment constraints. In this case, the HJB equation is a PIDE.By combining viscosity solutions with a change ... | This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensit... | [
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1001.1902 | 1 | Recently, hybrid architectures using accelerators like GPGPUs or the Cell processor have gained much interest in the HPC community. The RapidMind Multi-Core Development Platform is a programming environment that allows generating code which is able to seamlessly run on hardware accelerators like GPUs or the Cell proces... | Recently, hybrid architectures using accelerators like GPGPUs or the Cell processor have gained much interest in the HPC community. The RapidMind Multi-Core Development Platform is a programming environment that allows generating code which is able to seamlessly run on hardware accelerators like GPUs or the Cell proces... | [
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1001.1944 | 1 | The stability properties of two different classes of metabolic cycles are investigated using a combination of analytical and computational techniques . Using principles from structural kinetic modeling (SKM), it is shown that the stability of well-ordered metabolic networks can be studied using exclusively analytical t... | We investigate the stability properties of two different classes of metabolic cycles using a combination of analytical and computational methods . Using principles from structural kinetic modeling (SKM), we show that the stability of metabolic networks with certain structural regularities can be studied using exclusive... | [
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1001.1944 | 2 | We investigate the stability properties of two different classes of metabolic cycles using a combination of analytical and computational methods. Using principles from structural kinetic modeling (SKM), we show that the stability of metabolic networks with certain structural regularities can be studied using exclusivel... | We investigate the stability properties of two different classes of metabolic cycles using a combination of analytical and computational methods. Using principles from structural kinetic modeling (SKM), we show that the stability of metabolic networks with certain structural regularities can be studied using a combinat... | [
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1001.2678 | 1 | Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance swap, e. g. a vanilla variance swap or a corridor variance swap. The question we ask is: Do the traded prices admit an a... | We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce t... | [
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1001.2831 | 1 | We present the quantum model of Bertrand duopoly and study the entanglement behaviour on the profit functions of the firms. Using the concept of optimal response of each firm to the price of the opponent, we found four Nash equilibria for maximally entangled initial state. We have shown that only one point among the fo... | We present the quantum model of Bertrand duopoly and study the entanglement behavior on the profit functions of the firms. Using the concept of optimal response of each firm to the price of the opponent, we found only one Nash equilibirum point for maximally entangled initial state. The very presence of quantum entangl... | [
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1001.3355 | 1 | Modern Internet services, such as those at Google, Yahoo!, and Amazon, handle billions of requests per day on clusters of thousands of computers. Because these services operate under strict performance requirements, a statistical understanding of their performance is of great practical interest. Such services are model... | Modern Internet services, such as those at Google, Yahoo!, and Amazon, handle billions of requests per day on clusters of thousands of computers. Because these services operate under strict performance requirements, a statistical understanding of their performance is of great practical interest. Such services are model... | [
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1001.4401 | 1 | The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, \alpha^+, where T_{\alpha} =1/\alpha^+ is the average waiting time for observing the level \alpha again. We estimate the probability P(K, \alpha), which provides us the probability of ... | The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, \alpha^+, where T_{\alpha} =1/\alpha^+ is the average waiting time for observing the level \alpha again. We estimate the probability P(K, \alpha), which provides us the probability of ... | [
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1001.4401 | 2 | The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, \alpha^+, where T_{\alpha} =1/\alpha^+ is the average waiting time for observing the level \alpha again. We estimate the probability P(K, \alpha), which provides us the probability of... | The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, \alpha^+, where T_{\alpha} =1/\alpha^+ is the average waiting time for observing the level \alpha again. We estimate the probability P(K, \alpha), which provides... | [
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1001.5258 | 1 | The development of systemic approaches in biology has put emphasis on identifying genetic modules whose behavior can be modeled accurately so as to gain insight into their structure and function. However most gene circuits in a cell are under control of external signals and thus quantitative agreement between experimen... | The development of systemic approaches in biology has put emphasis on identifying genetic modules whose behavior can be modeled accurately so as to gain insight into their structure and function. However most gene circuits in a cell are under control of external signals and thus quantitative agreement between experimen... | [
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1002.0377 | 1 | This is a short essay I wrote for an online publication affiliated with the business school at the University of Technology, Sydney. I discuss how the methods used in physics can apply to economics in general and financial markets specifically. | This is a short commentary piece that discusses how the methods used in the natural sciences can apply to economics in general and financial markets specifically. | [
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1002.0668 | 1 | We introduce a method to convert an ensemble of sequences of symbols into a weighted directed network whose nodes are motifs, while the directed links and their weights are defined from statistically significant co-occurences of two motifs in the same sequence. The method is shown to be able to correlate sequences with... | We introduce a method to convert an ensemble of sequences of symbols into a weighted directed network whose nodes are motifs, while the directed links and their weights are defined from statistically significant co-occurences of two motifs in the same sequence. The analysis of communities of networks of motifs is shown... | [
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1002.1054 | 1 | Switching and bistability has been recognized as an important feature of dynamical systems originating in Systems Biology. In the majority of cases bistability of the dynamical system is established numerically. However, parameter uncertainty is a predominant issue in Systems Biology : the dynamical systems consist of ... | Many biochemical processes can successfully be described by dynamical systems allowing some form of switching when, depending on their initial conditions, solutions of the dynamical system end up in different regions of state space (associated with different biochemical functions). Switching is often realized by a bist... | [
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1002.1070 | 1 | Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit worthiness of all financial institutions in the economic network. In our stylized desc... | Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit worthiness of all financial institutions in the economic network. In our stylized desc... | [
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1002.1826 | 1 | The constraints imposed by nano- and microscale confinement on the conformational degrees of freedom of thermally fluctuating biopolymers is utilized in contemporary nano-devices to specifically elongate and manipulate single chains. A thorough theoretical understanding and quantification of the statistical conformatio... | The constraints imposed by nano- and microscale confinement on the conformational degrees of freedom of thermally fluctuating biopolymers are utilized in contemporary nano-devices to specifically elongate and manipulate single chains. A thorough theoretical understanding and quantification of the statistical conformati... | [
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1002.2169 | 1 | We emphasize that assuming the ] existence of an elongated, hybridized form of DNA ('S-DNA') does not immediately imply DNA overstretching to consist of the complete or near-complete conversion of the molecule from B- to S-form. Instead, this assumption implies in general a more complex dynamic coexistence of hybridiz... | Recent experiments J. van Mameren et al. PNAS 106, 18231 (2009)] provide a detailed spatial picture of overstretched DNA, showing that under certain conditions the two strands of the double helix separate at about 65 pN. It was proposed that this observation rules out the existence of an elongated, hybridized form of D... | [
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1002.2604 | 1 | The impact of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo simulation, it becomes impractical for two or ... | The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo simulation, it becomes imp... | [
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1002.2909 | 1 | We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firms ability to avoid default even if companys liabilities momentarily exceeding its assets. Diffusion in a linear potential with the radiation boundary condition is used to mimic a company... | We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentarily exceeding its assets. Diffusion in a linear potential with the radiation boundary condition is used to mimic a compa... | [
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1002.3493 | 1 | Typical protocols for peer-to-peer file sharing over the Internet divide files to be shared into pieces. New peers strive to obtain a complete collection of pieces from other peers and from a seed. In this paper we identify a problem that can occur if the seeding rate is not large enough. The problem is that, even if t... | Typical protocols for peer-to-peer file sharing over the Internet divide files to be shared into pieces. New peers strive to obtain a complete collection of pieces from other peers and from a seed. In this paper we investigate a problem that can occur if the seeding rate is not large enough. The problem is that, even i... | [
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1002.3747 | 1 | We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, and the exponents p_\pm usually vary with the strength of the large volatilities... | We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, and the exponents p_\pm usually vary with the strength of the large vola... | [
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1002.3809 | 1 | Gene expression is an inherently noisy process capable of displaying phenotypic variation despite constant environmental conditions. This stochastic behavior results from fluctuations in the transcription and translation of genes between identical cells . DNA looping, which is a common means of regulating transcription... | Living cells provide a fluctuating, out-of-equilibrium environment in which genes must coordinate cellular function . DNA looping, which is a common means of regulating transcription, is very much a stochastic process; the loops arise from the thermal motion of the DNA and other fluctuations of the cellular environment... | [
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1002.4744 | 1 | We observe the performances of three strategy evaluation schemes, which are the history-dependent wealth game, the trend-opposing minority game, and the trend-following majority game in a stock market where the price is exogenously determined. The price is either directly adopted from the real stock market indices or... | Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes adopted by agents affect their performance in conjunction with the market circumstan... | [
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1002.5046 | 1 | A simple kinematic model for the trajectories of Listeria monocytogenes is generalized to a dynamical system rich enough to exhibit the resonant Hopf bifurcation structure of excitable media and simple enough to be studied geometrically. It is shown how the effectiveness of the L. monocytogenes model is an instance of ... | A simple kinematic model for the trajectories of Listeria monocytogenes is generalized to a dynamical system rich enough to exhibit the resonant Hopf bifurcation structure of excitable media and simple enough to be studied geometrically. It is shown how L. monocytogenes trajectories and meandering spiral waves URLanize... | [
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1003.2539 | 1 | We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal characteristics, with some of the companies showing deviations at small and large scale... | We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal characteristics, with some of the companies showing deviations at small and large scale... | [
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1003.2791 | 1 | Many membrane channels and receptors exhibit adaptive, or desensitized, response to a strong sustained input stimulus, often supported by protein activity-dependent inactivation. Adaptive response is thought to be related to various cellular functions such as homeostasis and enlargement of dynamic range by background c... | Many membrane channels and receptors exhibit adaptive, or desensitized, response to a strong sustained input stimulus, often supported by protein activity-dependent inactivation. Adaptive response is thought to be related to various cellular functions such as homeostasis and enlargement of dynamic range by background c... | [
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1003.2811 | 1 | Proteins interact with other proteins within biological pathways, forming connected subgraphs in the protein-protein interactome (PPI). However, proteins are often involved in multiple biological pathways which complicates inference about interactions between proteins. Gene expression data is informative here since gen... | Proteins interact with other proteins within biological pathways, forming connected subgraphs in the protein-protein interactome (PPI). Proteins are often involved in multiple biological pathways which complicates interpretation of interactions between proteins. Gene expression data can assist our inference since genes... | [
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1003.3093 | 1 | A relationship between the preexponent of the rate constant and the distribution over activation barrier energies for enzymatic/protein reactions is revealed. We consider an enzyme solution is an ensemble of individual molecules with different values of the activation barrier energy described by the distribution. From ... | A relationship between the preexponent of the rate constant and the distribution over activation barrier energies for enzymatic/protein reactions is revealed. We consider an enzyme solution as an ensemble of individual molecules with different values of the activation barrier energy described by the distribution. From ... | [
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1003.3114 | 1 | We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a URLanized model of cascade spreading based on a probabilistic response of the system 's elements to stress conditions. This model is solvabl... | We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a URLanized model of cascade spreading based on a probabilistic response of the system elements to stress conditions. This model is solvable u... | [
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1003.4299 | 1 | In this paper we analyze the so-called Parisian ruin probability that happens when the surplus process stays below zero longer than fixed amount of time \zeta>0. We focus on general spectrally negative L\'{e}vy insurance risk process. For this class of processes we identify the expression for the ruin probability in te... | In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time \zeta>0. We focus on general spectrally negative L\'{e}vy insurance risk process. For this class of processes we identify expression for ruin probability in terms of some othe... | [
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1003.4406 | 1 | A general procedure to compute the output distribution D for certain nonlinear operators S (so called erosion-dilation cascades) is given. A refinement of the procedure yields D for some important LULU-operators S. Properties of D can also be used to characterize smoothing properties of a nonlinear operator S. | Two procedures to compute the output distribution phi_S of certain stack filters S (so called erosion-dilation cascades) are given. One rests on the disjunctive normal form of S and also yields the rank selection probabilities. The other is based on inclusion-exclusion and e.g. yields phi_S for some important LULU-oper... | [
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1003.5514 | 1 | We consider the pricing of derivatives written on the discrete realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of the underlying log-price. Here, we characterize the short-time limits of call options on b... | We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of the underlying log-price. Here, we characterize the small-time limits of options... | [
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1003.5650 | 1 | In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We explore a method of imposing diversity on market models by a type of antitrust regulation that is compatible with EMMs. T... | In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We explore a method of imposing diversity on market models by a type of antitrust regulation that is compatible with EMMs. T... | [
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1004.0336 | 1 | MicroRNAs are endogenous non coding RNAs which negatively regulate the expression of protein-coding genes in plants and animals. They are known to play an important role in several biological processes and, together with transcription factors, form a complex and highly interconnected regulatory network. Looking at the ... | MicroRNAs are endogenous non-coding RNAs which negatively regulate the expression of protein-coding genes in plants and animals. They are known to play an important role in several biological processes and, together with transcription factors, form a complex and highly interconnected regulatory network. Looking at the ... | [
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1004.0395 | 1 | Peer-to-peer swarming is one of the de facto solutions for distributed content dissemination in today's Internet. By leveraging resources provided by clients, swarming systems reduce the load on and costs to publishers. However, there is a limit to how much cost savings can be gained from swarming; for example, for unp... | Peer-to-peer swarming is one of the de facto solutions for distributed content dissemination in today's Internet. By leveraging resources provided by clients, swarming systems reduce the load on and costs to publishers. However, there is a limit to how much cost savings can be gained from swarming; for example, for unp... | [
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1004.0534 | 1 | We present an analytical framework for modeling a priority-based load balancing scheme in cellular networks based on a modified version of the direct retry algorithm. The model differs in many respects from previous works on load balancing, in particular by incorporating the call admission process, through random acces... | We present an analytical framework for modeling a priority-based load balancing scheme in cellular networks based on a modified version of the direct retry algorithm. The model differs in many respects from previous works on load balancing, in particular by incorporating the call admission process, through random acces... | [
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1004.0534 | 2 | We present an analytical framework for modeling a priority-based load balancing scheme in cellular networks based on a modified version of the direct retry algorithm . The model differs in many respects from previous works on load balancing , in particular by incorporating the call admission process, through random acc... | We present an analytical framework for modeling a priority-based load balancing scheme in cellular networks based on a new algorithm called direct retry with truncated offloading channel resource pool (DR_{K . The model differs in many respects from previous works on load balancing . Foremost, it incorporates the call ... | [
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1004.0534 | 3 | We present an analytical framework for modeling a priority-based load balancing scheme in cellular networks based on a new algorithm called direct retry with truncated offloading channel resource pool (DR_{K}). The model differs in many respects from previous works on load balancing. Foremost, it incorporates the call... | We present an analytical framework for modeling a priority-based load balancing scheme in cellular networks based on a new algorithm called direct retry with truncated offloading channel resource pool (DR_{K}). The model , developed for a baseline case of two cell network, differs in many respects from previous works o... | [
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1004.0595 | 1 | Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns ... | Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns ... | [
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1004.0685 | 1 | The model is aimed to discriminate the %DIFDELCMD < {\guillemotleft}%%% good%DIFDELCMD < {\guillemotright} %%% and the%DIFDELCMD < {\guillemotleft}%%% bad%DIFDELCMD < {\guillemotright} %%% companies in Russian corporate sector based on their financial statements data (Russian Standards). The data sample consists of 1... | The model is aimed to discriminate the %DIFDELCMD < {\guillemotleft}%%% %DIFDELCMD < {\guillemotright} %%% %DIFDELCMD < {\guillemotleft}%%% %DIFDELCMD < {\guillemotright} %%% 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data (Russian Accounting Standards). The data samp... | [
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1004.0685 | 2 | The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data ( Russian Accounting Standards ) . The data sample consists of 126 Russian public companies- issuers of Ruble bonds which represent about 36\% of total number of corporate bonds iss... | The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data based on Russian Accounting Standards . The data sample consists of 126 Russian public companies- issuers of Ruble bonds which represent about 36\% of total number of corporate bond... | [
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1004.0965 | 2 | The Wako-Sait{\^o}-Mu\~noz-Eaton (WSME) model, initially introduced in the theory of protein folding, has also been used in modeling the RNA folding and some epitaxial phenomena. The advantage of this model is that it admits exact solution in the general inhomogeneous case (Bruscolini and Pelizzola, 2002) which facilit... | The Wako-Sait{\^o}-Mu\~noz-Eaton (WSME) model, initially introduced in the theory of protein folding, has also been used in modeling the RNA folding and some epitaxial phenomena. The advantage of this model is that it admits exact solution in the general inhomogeneous case (Bruscolini and Pelizzola, 2002) which facilit... | [
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1004.1138 | 1 | We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the \alpha re-scaled FTSE100 daily index positive returns r(t) ^\alpha and negative returns (-r(t)) ^\alpha that we call... | We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the alpha re-scaled FTSE100 daily index positive returns r(t) ^alpha and negative returns (-r(t)) ^alpha that we call, a... | [
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1004.1210 | 1 | We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the \alpha re-scaled AEX daily index positive returns r(t) ^{\alpha and negative returns (-r(t)) ^{\alpha that we call, aft... | We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the \alpha re-scaled AEX daily index positive returns r(t) ^\alpha and negative returns (-r(t)) ^\alpha that we call, after... | [
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1004.2652 | 1 | We show two universal, Boolean, deterministic logic schemes based on binary noise timefunctions that can be realized without time averaging units. The first scheme is based on a new bipolar random telegraph wave scheme and the second one makes use of the recent noise-based logic which is conjectured to be the brain's m... | We show two universal, Boolean, deterministic logic schemes based on binary noise timefunctions that can be realized without time-averaging units. The first scheme is based on a new bipolar random telegraph wave scheme and the second one makes use of the recent noise-based logic which is conjectured to be the brain's m... | [
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1004.3299 | 1 | We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models . The standard Feynman-Kac theorem cannot be directly applied because the diffusion coefficients may degenerate on the boundaries of the state space and grow faster than linearly .... | We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the standard Feynman-Kac theorem cannot be directly applied because the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state spac... | [
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1004.3299 | 2 | We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the standard Feynman-Kac theorem cannot be directly applied because the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state spac... | We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the standard Feynman-Kac theorem cannot be directly applied because the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state sp... | [
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1004.3299 | 3 | We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the standard Feynman-Kac theorem cannot be directly applied because the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state sp... | We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model behavior: the volatility pr... | [
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1004.3525 | 1 | We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in a sense of utility maximization. Finally, we study change-point exponential Levy models, namely we give the conditions f... | We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point model and we give the conditions for the existence of f-minimal equivalent marting... | [
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1004.3525 | 2 | We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point model and we give the conditions for the existence of f-minimal equivalent marting... | We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point model and we give the conditions for the existence of f-divergence minimal equival... | [
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1004.4128 | 1 | One-ports named "f-circuits", composed of similar conductors described by a monotonic polynomial, or quasi-polynomial (i.e. with positive but not necessarily integer, powers) characteristic i = f(v) are studied, focusing on the algebraic map f --> F. Here F(.) is the input conductivity characteristic; i.e., iin = F(vin... | One-ports named "f-circuits", composed of similar conductors described by a monotonic polynomial, or quasi-polynomial (i.e. with positive but not necessarily integer, powers) characteristic i = f(v) are studied, focusing on the algebraic map f --> F. Here F(.) is the input conductivity characteristic; i.e., iin = F(vin... | [
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1004.4153 | 1 | We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of [0,1]^2, or the value of a functional of the copula, monotone with respect to the concordance order. These results are then used to compute model-free bound... | Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset of [0,1]^2, or the value of a functional of the copula, monotone with respect to the concordance order. These results are then used to compute model-free boun... | [
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1004.4327 | 1 | KIF1A, a processive single headed kinesin superfamily motor, hydrolyzes Adenosine triphosphate (ATP) to move along a filamentous track called microtubule. The stochastic movement of KIF1A on the track is characterized by an alternating sequence of pause and translocation. The sum of the durations of pause and the follo... | KIF1A, a processive single headed kinesin superfamily motor, hydrolyzes Adenosine triphosphate (ATP) to move along a filamentous track called microtubule. The stochastic movement of KIF1A on the track is characterized by an alternating sequence of pause and translocation. The sum of the durations of pause and the follo... | [
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1004.4327 | 2 | KIF1A, a processive single headed kinesin superfamily motor, hydrolyzes Adenosine triphosphate (ATP) to move along a filamentous track called microtubule. The stochastic movement of KIF1A on the track is characterized by an alternating sequence of pause and translocation. The sum of the durations of pause and the follo... | KIF1A, a processive single headed kinesin superfamily motor, hydrolyzes Adenosine triphosphate (ATP) to move along a filamentous track called microtubule. The stochastic movement of KIF1A on the track is characterized by an alternating sequence of pause and translocation. The sum of the durations of pause and the follo... | [
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1004.4428 | 1 | This is the second part, after [1], of the research devoted to analysis of 1-ports composed of similar conductors ("f-circuits") described by the characteristic i = f(v) of a polynomial type. This analysis is performed by means of the power-law "alfa" -circuit " introduced in [2], for which f(v) ~ v^"alfa". The f-circu... | This is the second part, after [1], of the research devoted to analysis of 1-ports composed of similar conductors ("f-circuits") described by the characteristic i = f(v) of a polynomial type. This analysis is performed by means of the power-law "alfa" -circuits " introduced in [2], for which f(v) ~ v^"alfa". The f-circ... | [
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1004.4431 | 1 | Exploiting the performance of today's processors requires , apart from an intimate knowledge of the microarchitecture , taking into account the influence of an ever-growing complexity in thread and cache topology. LIKWID is a collection of small command line applications that support inexperienced as well as seasoned p... | Exploiting the performance of today's processors requires intimate knowledge of the microarchitecture as well as an awareness of the ever-growing complexity in thread and cache topology. LIKWID is a set of command-line utilities that addresses four key problems: Probing the thread and cache topology of a shared-memory ... | [
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1004.4709 | 1 | In this paper, we address the problem of content placement in peer-to-peer systems, with the objective of maximizing the utilization of peers' uplink bandwidth resources. We consider system performance under a many-user asymptotic. We identify optimal content placement strategies in a particular scenario of limited con... | In this paper, we address the problem of content placement in peer-to-peer systems, with the objective of maximizing the utilization of peers' uplink bandwidth resources. We consider system performance under a many-user asymptotic. We distinguish two scenarios, namely "Distributed Server Networks" (DSN) for which reque... | [
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1004.5048 | 1 | We predict that multi-scale correlations of amino acid positions within protein sequences generically enhance protein propensity for promiscuous binding. We show that the enhanced sequence correlations are evolutionary selected URLanismal proteomes. We predict analytically the robustness of this biophysical effect with... | We predict that diagonal correlations of amino acid positions within protein sequences statistically enhance protein propensity for promiscuous binding. Diagonal correlations represent statistically significant repeats of sequence patterns where amino acids of the same type are clustered together. The predicted effect ... | [
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1004.5048 | 2 | We predict that diagonal correlations of amino acid positions within protein sequences statistically enhance protein propensity for promiscuous binding. Diagonal correlations represent statistically significant repeats of sequence patterns where amino acids of the same type are clustered together. The predicted effect... | We predict analytically that diagonal correlations of amino acid positions within protein sequences statistically enhance protein propensity for nonspecific binding. We use the term 'promiscuity' to describe such nonspecific binding. Diagonal correlations represent statistically significant repeats of sequence patterns... | [
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1004.5524 | 1 | The framework of this paper is that of uncertainty, that is when no reference probability measure is given. To every convex regular risk measure \rho on {\cal C}_b(\Omega), we associate a canonical c_{\rho of probability measures . Furthermore{\cal the convex risk measure admits a dual representation in terms of a we... | The framework of this paper is that of risk measuring under uncertainty, which is when no reference probability measure is given. To every regular convex risk measure on {\cal C}_b(\Omega), we associate a unique equivalence class of probability measures on Borel sets, characterizing the riskless non positive elements o... | [
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1005.0182 | 1 | In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The model follows a "zero intelligence" approach where the actions of the traders are re... | In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The agents follow a noise decision making process where their actions are related to a s... | [
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1005.0496 | 1 | We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Taking a Bayesian approach to the reserving problem, we derive the process of the conditional distribution of the ultimat... | We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an information-based approach to the reserving problem, we derive the process of the condition... | [
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1005.0877 | 1 | Detrending moving average (DMA) is a widely used method to quantify the correlation of non-stationary signals. We generalize DMA to multifractal detrending moving average (MFDMA) , and then extend one-dimensional MFDMA to two-dimensional version. In the paper, we elaborate one-dimensional and two-dimensional MFDMA the... | The detrending moving average (DMA) algorithm is a widely used technique to quantify the long-term correlations of non-stationary time series and the long-range correlations of fractal surfaces, which contains a parameter \theta determining the position of the detrending window. We develop multifractal detrending movin... | [
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1005.1356 | 1 | Based on a point of view that solvency and security are first, this paper considers optimal control and financial valuation problems of a large insurance company facing positive transaction cost asked by reinsurer . The company controls proportional reinsurance and dividend pay-out policy to maximize the expected pres... | Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint . The company controls proportional reinsurance and dividend pay-out policy t... | [
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{
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1005.1356 | 2 | Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to... | Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to... | [
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