Related papers: Spectral term structure models
The purpose of this Note is twofold: First, we introduce the general formalism of evolutionary genetics dynamics involving fitnesses, under both the deterministic and stochastic setups, and chiefly in discrete-time. In the process, we…
The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of…
This article is concerned with a mutualism ecological model with stochastic perturbations. the local existence and uniqueness of a positive solution are obtained with positive initial value, and the asymptotic behavior to the problem is…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…
We present a general formalism which allows us to derive the evolution equations describing one-dimensional (1D) and isotropic 2D interfacelike systems, that is based on symmetries, conservation laws, multiple scale arguments, and exploits…
Many growth processes lead to intriguing stochastic patterns and complex fractal structures which exhibit local scale invariance properties. Such structures can often be described effectively by space-time trajectories of interacting…
In this note, we investigate a mixture of combinatorial spectra and stratified simplicial sets, which would be thought of as a model of the spectrum objects of $(\infty, \infty)$-categories.
We consider a stochastic differential equation in a Hilbert space with time-dependent coefficients for which no general existence and uniqueness results are known. We prove, under suitable assumptions, existence and uniqueness of a measure…
We study constrained versions of the Ingleton inequality in the entropic setting and quantify its stability under small violations of conditional independence. Although the classical Ingleton inequality fails for general entropy profiles,…
In this work we study the unitary time-evolutions of quantum systems defined on infinite-dimensional separable time-dependent Hilbert spaces. Two possible cases are considered: a quantum system defined on a stochastic interval and another…
Many complex systems have been shown to share universal properties of organization, such as scale independence, modularity and self-similarity. We borrow tools from statistical physics in order to study structural preferential attachment…
Inflationary spatially homogeneous cosmological models within an Einstein-Aether gravitational framework are investigated. The matter source is assumed to be a scalar field which is coupled to the aether field expansion and shear scalars…
The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in different contexts. Here we propose a generative model to capture the essential dynamics of survival analysis,…
Population structure can have a significant effect on evolution. For some systems with sufficient symmetry, analytic results can be derived within the mathematical framework of evolutionary graph theory which relate to the outcome of the…
A probability model is presented for the dynamics of mutation-selection balance in a haploid infinite-population infinite-sites setting sufficiently general to cover mutation-driven changes in full age-specific demographic schedules. The…
Spatial evolutionary games model individuals who are distributed in a spatial domain and update their strategies upon playing a normal form game with their neighbors. We derive integro-differential equations as deterministic approximations…
An approach to stochastic evolution equations based on a simple generalization of known embedding theorems is presented. It allows for the inclusion of problems which have nonlinear non monotone operators. This is used to discuss the…
In this paper, we describe a representation for spatial information, called the stochastic map, and associated procedures for building it, reading information from it, and revising it incrementally as new information is obtained. The map…
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability…
This work proposes to model the space environment as a stochastic dynamic network where each node is a group of objects of a given class, or species, and their relationship is represented by stochastic links. A set of stochastic dynamic…