Related papers: Construction of multi-default models with full via…
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
The development of consistent and stable quasicontinuum models for multi-dimensional crystalline solids remains a challenge. For example, proving stability of the force-based quasicontinuum (QCF) model remains an open problem. In 1D and 2D,…
A statistical mechanics argument relating partition functions to martingales is used to get a condition under which random geometric processes can describe interfaces in 2d statistical mechanics at criticality. Requiring multiple SLEs to…
This paper reviews recent advances in Bayesian nonparametric techniques for constructing and performing inference in infinite hidden Markov models. We focus on variants of Bayesian nonparametric hidden Markov models that enhance a…
By using the conjugate distribution technique of Cram\'er, we obtain some expansions of large deviation probabilities for martingales with differences satisfying the conditional Bernstein's condition. The expansions are of the same order as…
We study structures of derivation modules of Coxeter multiarrangements with quasi-constant multiplicities by using the primitive derivation. As an application, we show that the characteristic polynomial of a Coxeter multiarrangement with…
The applicability of computational and dynamical systems models to organisms is scrutinized, using examples from developmental biology and cognition. Developmental morphogenesis is dependent on the inherent material properties of developing…
In the present paper, a systematic study is made of quantitative semicontinuity (a.k.a. Lipschitzian) properties of certain multifunctions, which are defined as a solution map associated to a family of parameterized ``split" feasibility…
The purpose of this paper is to clarify the relationship between various conditions implying essential undecidability: our main result is that there exists a theory $T$ in which all partially recursive functions are representable, yet $T$…
In this article we relate the set of structure preserving equivalent martingale measures $(\mathcal{M})$ for financial models driven by semimartingales with conditionally independent increments to a set of measurable and integrable…
We consider the problem of rationalizing choice data by a preference satisfying an arbitrary collection of invariance axioms. Examples of such axioms include quasilinearity, homotheticity, independence-type axioms for mixture spaces,…
Completeness and transitivity are standard rationality conditions in economics. However, under ambiguity, decision makers sometimes violate these requirements because of the difficulty of forming accurate predictions about ambiguous events.…
Mixture models have been widely used in modeling of continuous observations. For the possibility to estimate the parameters of a mixture model consistently on the basis of observations from the mixture, identifiability is a necessary…
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic…
High-dimensional dynamical systems projected onto a reduced-order model cease to be deterministic and are best described by probability distributions in state space. Their equations of motion map onto an evolution operator with a…
We construct a Wach module for the absolutely semi-stable representations the filtered $(\varphi, N)$-module of which satisfies the Griffiths transversality, which happens in particular for ordinary representations. This construction…
Similar evolutionary variational inequalities appear as convenient formulations for continuous quasistationary models for sandpile growth, formation of a network of lakes and rivers, magnetization of type-II superconductors, and…
Similar evolutionary variational inequalities appear as convenient formulations for continuous models for sandpile growth, magnetization of type-II superconductors, and evolution of some other dissipative systems characterized by the…
McFadden's random-utility model of multinomial choice has long been the workhorse of applied research. We establish shape-restrictions under which multinomial choice-probability functions can be rationalized via random-utility models with…
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…