Related papers: Calculating particle pair potentials from fluid-st…
We conduct a preliminary analysis of a pairs trading strategy using the Ornstein-Uhlenbeck (OU) process to model stock price spreads. We compare this approach to a naive pairs trading strategy that uses a rolling window to calculate mean…
An efficient real space method is derived for the evaluation of the Madelung's potential of ionic crystals. The proposed method is an extension of the Evjen's method. It takes advantage of a general analysis for the potential convergence in…
We present a simple modification of the direct-forcing immersed boundary method (IBM) proposed by Uhlmann [J. Comput. Phys, 2005] in order to enable it to be applied to particulate flows with solid-to-fluid density ratios around unity. The…
This paper presents a probabilistic perspective on iterative methods for approximating the solution $\mathbf{x}_* \in \mathbb{R}^d$ of a nonsingular linear system $\mathbf{A} \mathbf{x}_* = \mathbf{b}$. In the approach a standard iterative…
We present a novel approach to Gaussian Berezin correlation functions. A formula well known in the literature expresses these quantities in terms of submatrices of the inverse matrix appearing in the Gaussian action. By using a recently…
A recent model for the stock market calculates future price distributions of a stock as a wave function of a quantum particle confined in an infinite potential well. In such a model the question arose as to how to estimate the classical…
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by…
Particle filters are a widely used Monte Carlo based data assimilation technique that estimates the probability distribution of a system's state conditioned on observations through a collection of weights and particles. A known problem for…
A binary-pairing Monte Carlo collision method is presented here for screened Coulomb collisions in plasmas that is valid in the weakly and moderately coupled regimes. The method models the Fokker-Planck collision operator with first order…
Semiclassical instanton theory is a form of quantum transition-state theory which can be applied to computing thermal reaction rates for complex molecular systems including quantum tunneling effects. There have been a number of attempts to…
We present a new method for analyzing directed and elliptic flow in heavy ion collisions. Unlike standard methods, it separates the contribution of flow to azimuthal correlations from contributions due to other effects. The separation…
The heat capacity of iron isotopes is calculated within the interacting shell model using the complete $(pf+0g_{9/2})$-shell. We identify a signature of the pairing transition in the heat capacity that is correlated with the suppression of…
An iterative method we previously proposed to compute nuclear strength functions is developed to allow it to accurately calculate properties of individual nuclear states. The approach is based on the quasi-particle-random-phase…
Computing the Wasserstein barycenter of a set of probability measures under the optimal transport metric can quickly become prohibitive for traditional second-order algorithms, such as interior-point methods, as the support size of the…
The Mean Field Variational Bayes (MFVB) method is one of the most computationally efficient techniques for Bayesian inference. However, its use has been restricted to models with conjugate priors or those that require analytical…
This manuscript focus on an extensive survey with new techniques on the problem of solving the Boltzmann flow by bringing a unified approach to the Cauchy problem to homogeneous kinetic equations with Boltzmann-like collision operators…
A novel dielectric scheme is proposed for strongly coupled electron liquids that handles quantum mechanical effects beyond the random phase approximation level and treats electronic correlations within the integral equation theory of…
In this paper, we focus on computational aspects of the Wasserstein barycenter problem. We propose two algorithms to compute Wasserstein barycenters of $m$ discrete measures of size $n$ with accuracy $\e$. The first algorithm, based on…
A new computational method for finite-temperature properties of strongly correlated electrons is proposed by extending the variational Monte Carlo method originally developed for the ground state. The method is based on the path integral in…
A set of interatomic pair potentials is developed for CdS and ZnS crystals. We show that a simple energy function, which has been used to describe the properties of CdSe [J. Chem. Phys. 116, 258 (2002)], can be parametrized to accurately…