Related papers: The Burst Failure Influence on the $H_\infty$ Norm
Inspired by reliability issues in electric transmission networks, we use a probabilistic approach to study the occurrence of large failures in a stylized cascading failure model. In this model, lines have random capacities that initially…
Creep rupture of heterogeneous materials occurring under constant sub-critical external loads is responsible for the collapse of engineering constructions and for natural catastrophes. Acoustic monitoring of crackling bursts provides…
To understand the general properties of creep failure with healing effects, we study a mean-field fiber bundle model with probabilistic rupture and rejoining processes. The dynamics of the model are determined by two factors: bond breaking…
Our primary aim is to find an estimate of the expected shortfall in various situations: (1) Nonparametric situation, when the probability distribution of the incurred loss is unknown, only satisfying some general conditions. Then, following…
Net-baryon, net-charge and net-strangeness number fluctuations in high energy heavy-ion collisions are discussed within the framework of a hadron resonance gas (HRG) model. Ratios of the conserved number susceptibilities calculated in HRG…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
Fiber bundles with statistically distributed thresholds for breakdown of individual fibers are interesting models of the static and dynamics of failures in materials under stress. They can be analyzed to an extent that is not possible for…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
The impact and rupture of water-filled balloons upon a flat, rigid surface is studied experimentally, for which three distinct stages of the flow are observed. Due to the impact, waves are formed on the balloon's surface for which the…
Simulation of the crack network evolution on high strain rate impact experiments performed in brittle materials is very compute-intensive. The cost increases even more if multiple simulations are needed to account for the randomness in…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
The article reports a numerical investigation of the breakdown of a disordered system considering the effect of local stress concentration under the action of an external tensile force. The statistics of the record-breaking magnitudes of…
Probabilistic model-based diagnosis computes the posterior probabilities of failure of components from the prior probabilities of component failure and observations of system behavior. One problem with this method is that such priors are…
Prompt injection evaluations typically treat refusal as a stable, binary indicator of safety. This study challenges that paradigm by modeling refusal as a local decision boundary and examining its stability under structured perturbations.…
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for…
We study the problem of characterizing the expected hitting times for a robust generalization of continuous-time Markov chains. This generalization is based on the theory of imprecise probabilities, and the models with which we work…
In order to investigate the dispersion of the spectral break energy in gamma-ray bursts, we simulate internal shocks, including effects of shell-splitting after shell collisions and the Thomson optical depth due to electron--positron pairs…
An initially planar shock wave propagating into a medium of non-uniform density will be perturbed, leading to the generation of post-shock velocity perturbations. Using numerical simulations we study this phenomenon in the case of…
In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model admits several state variables (e.g. market spread,…
We investigate numerically the failure process when two elastic media, one hard and one soft that have been glued together thus forming a common interface, are pulled apart. We present three main results: (1) The area distribution of…