Related papers: Forward transition rates
A method yielding simple relationships among bilateral birth-and-death processes is outlined. This allows one to relate birth and death rates of two processes in such a way that their transition probabilities, first-passage-time densities…
A new test of a wide class of interest rate models is proposed and applied to a recently developed quantum field theoretic model and the industry standard Heath-Jarrow-Morton model. This test is independent of the volatility function unlike…
Transition rates in continuously driven steady states were derived in [Evans R M L, 2005 J. Phys. A: Math. Gen. 38, 293] by demanding that no information other than the microscopic laws of motion and the macroscopic observables of the…
Soliton rate equations are based on non-Kolmogorovian models of probability and naturally include autocatalytic processes. The formalism is not widely known but has great unexplored potential for applications to systems interacting with…
Transfer learning assumes classifiers of similar tasks share certain parameter structures. Unfortunately, modern classifiers uses sophisticated feature representations with huge parameter spaces which lead to costly transfer. Under the…
When modelling driven steady states of matter, it is common practice either to choose transition rates arbitrarily, or to assume that the principle of detailed balance remains valid away from equilibrium. Neither of those practices is…
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the following frameworks: classical LIBOR market models, forward price models and Markov-functional models. We close…
This paper presents an approach to modeling progressive event-history data when the overall objective is prediction based on time-dependent covariates. This approach does not model the hazard function directly. Instead, it models the…
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends…
A general semiclassical theory for the calculation of reaction rate constants is developed. The theory can be understood as a formal framework that encompasses existing semiclassical methods: instanton theory and semiclassical transition…
The current definition of rate-induced tipping is tied to the idea of a pullback attractor limiting in forward and backward time to a stable quasi-static equilibrium. Here we propose a new definition that encompasses the standard definition…
In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions can…
We provide a detailed description of the structure of the transition probabilities and of the hitting distributions of boundary components of a manifold with corners for a degenerate strong Markov process arising in population genetics. The…
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
For many stochastic dynamic systems, the Mean First Passage Time (MFPT) is a useful concept, which gives expected time before a state of interest. This work is an extension of MFPT in several ways. (1) We show that for some systems the…
The position of propagating population fronts fluctuates because of the discreteness of the individuals and stochastic character of processes of birth, death and migration. Here we consider a Markov model of a population front propagating…
The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink…
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…
We introduce a fractional generalization of the Erlang Queues $M/E_k/1$. Such process is obtained through a time-change via inverse stable subordinator of the classical queue process. We first exploit the (fractional) Kolmogorov forward…