Related papers: Dynamics of multivariate default system in random …
There has been a growing interest, both in physics and psychology, in understanding contextuality in experimentally observed quantities. Different approaches have been proposed to deal with contextual systems, and a promising one is…
Environmental variation can play an important role in ecological competition by influencing the relative advantage between competing species. Here, we consider such effects by extending a classical, competitive Moran model to incorporate an…
Assessing the systemic effects of uncertainty that arises from agents' partial observation of the true states of the world is critical for understanding a wide range of scenarios. Yet, previous modeling work on agent learning and…
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…
Based on the heuristics that maintaining presumptions can be beneficial in uncertain environments, we propose a set of basic axioms for learning systems to incorporate the concept of prejudice. The simplest, memoryless model of a…
Complete positivity is a ubiquitous assumption in the study of quantum systems interacting with the environment, despite repeated efforts to point out that the assumption is not empirically justified. It will be shown that Hamiltonian…
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied…
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…
We present general principles underlying analysis of the dependence of random variables (outputs) on deterministic conditions (inputs). Random outputs recorded under mutually exclusive input values are labeled by these values and considered…
Physiological stress fundamentally alters disease susceptibility in aquatic environments. In this paper, we develop a stress-structured epidemiological model where host vulnerability is dynamically driven by water quality. Analytically, we…
Environmental science almost invariably proposes problems of extreme complexity, typically characterized by strongly nonlinear evolution dynamics. The systems under investigation have many degrees of freedom - which makes them complicated -…
We consider a competing risks model, in which system failures are due to one out of two mutually exclusive causes, formulated within the framework of shock models driven by bivariate Poisson process. We obtain the failure densities and the…
The problem of domain generalization concerns learning predictive models that are robust to distribution shifts when deployed in new, previously unseen environments. Existing methods typically require labeled data from multiple training…
Data taken from observations of the natural world or laboratory measurements often depend on parameters which can vary in unexpected ways. In this paper we demonstrate how machine learning can be leveraged to detect changes in global…
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
Biological evolution of a population is governed by the fitness landscape, which is a map from genotype to fitness. However, a fitness landscape depends on the organisms environment, and evolution in changing environments is still poorly…
A broad range of natural and social systems from human microbiome to financial markets can go through critical transitions, where the system suddenly collapses to another stable configuration. Critical transitions can be unexpected, with…