Related papers: Coherent Chaos Interest Rate Models
In this paper we study the emergence of coherence in collective motion described by a system of interacting motiles endowed with an inner, adaptative, steering mechanism. By means of a nonlinear parametric coupling, the system elements are…
The problem investigated in this paper is einselection, i. e. the selection of mutually exclusive quantum states with definite probabilities through decoherence. Its study is based on a theory of decoherence resulting from the projection…
To make research of chaos more friendly with discrete equations, we introduce the concept of an unpredictable sequence as a specific unpredictable function on the set of integers. It is convenient to be verified as a solution of a discrete…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
The chaos expansion of a general non-linear function of a Gaussian stationary increment process conditioned on its past realizations is derived. This work combines Wiener chaos expansion approach to study the dynamics of a stochastic system…
Quantum coherence -- an indispensable resource for quantum technologies -- is known to be distillable from a noisy form using operations that cannot create it. However, distillation exacts a hidden coherent measurement cost, which has not…
Inspired by recent work of Alberts, Khanin and Quastel, we formulate general conditions ensuring that a sequence of multi-linear polynomials of independent random variables (called polynomial chaos expansions) converges to a limiting random…
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…
A deterministic coalescing dynamics with constant rate for a particle system in a finite volume with a fixed initial number of particles is considered. It is shown that, in the thermodynamic limit, with the constraint of fixed density, the…
Chaos-based potentials are defined and implemented in the one-dimensional tight-binding model as a way of simulating disorder-controlled crystalline lattices. In this setting, disorder is handled with the aid of the chaoticity parameter.…
This paper presents several results on performance analysis for a class of uncertain linear quantum systems subject to either quadratic or non-quadratic perturbations in the system Hamiltonian. Also, coherent guaranteed cost controllers are…
We establish an operational theory of coherence (or of superposition) in quantum systems, by focusing on the optimal rate of performance of certain tasks. Namely, we introduce the two basic concepts - "coherence distillation" and "coherence…
This paper introduces a problem of coherent-classical estimation for a class of linear quantum systems. In this problem, the estimator is a mixed quantum-classical system which produces a classical estimate of a system variable. The…
Coherence and correlations represent two related properties of a compound system. The system can be, for instance, the polarization of a photon, which forms part of a polarization-entangled two-photon state, or the spatial shape of a…
A new theory of coherent structure in wall turbulence is presented. The theory is the first to predict packets of hairpin vortices and other structure in turbulence, and their dynamics, based on an analysis of the Navier-Stokes equations,…
We present several new phenomena about almost sure convergence on homogeneous chaoses that include Gaussian Wiener chaos and homogeneous sums in independent random variables. Concretely, we establish the fact that almost sure convergence on…
This paper offers a new class of models of the term structure of interest rates. We allow each instantaneous forward rate to be driven by a different stochastic shock, constrained in such a way as to keep the forward rate curve continuous.…
Chaotic behavior of quantum systems can be characterized by the adherence of the expectation values of given probes to moments of the Haar distribution. In this work, we analyze the behavior of several probes of chaos using a technique…
This paper deals with applications of coherent risk measures to pricing in incomplete markets. Namely, we study the No Good Deals pricing technique based on coherent risk. Two forms of this technique are presented: one defines a good deal…
It was recently conjectured that 1/f noise is a fundamental characteristic of spectral fluctuations in chaotic quantum systems. This conjecture is based on the behavior of the power spectrum of the excitation energy fluctuations, which is…