Related papers: The Burst Failure Influence on the $H_\infty$ Norm
We study the rate of weak convergence of Markov chains to diffusion processes under suitable but quite general assumptions. We give an example in the financial framework, applying the convergence analysis to a multiple jumps tree…
Adding noise to a sensory signal generally decreases human performance. However noise can improve performance too, due to a process called stochastic resonance (SR). This paradoxical effect may be exploited in psychophysical experiments, to…
The effect of geometrical shape of eroding absolutely rigid particles on the threshold rate of failure has been studied. The Shtaerman-Kilchevsky theory of quasi-static blunt impact, which generalizes Hertz's classical impact theory, is…
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. This model has a natural scaling limit that reconciles a…
Fractal behavior and long-range dependence have been observed in an astonishing number of physical systems. Either phenomenon has been modeled by self-similar random functions, thereby implying a linear relationship between fractal…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
Uncertainties influencing the dynamical systems pose a significant challenge in estimating the achievable performance of a controller aiming to control such uncertain systems. When the uncertainties are of stochastic nature, obtaining hard…
Stochastic comparisons of series and parallel systems are important in many areas of engineering, operations research and reliability analysis. These comparisons allow for the evaluation of the performance and reliability of systems under…
The identifiability analysis of a networked Markov chain model known as the influence model, as described in a recent contribution to Arxiv, is examined. Two errors in the identifiability analysis -- one related to the unidentifiability of…
In recent times we hear increasingly often about cyber attacks on various commercial and strategic sites that manage to escape any defense. In this article, we model such attacks on networks via stochastic processes and predict the time of…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
In stochastic simulation, input uncertainty refers to the propagation of the statistical noise in calibrating input models to impact output accuracy, in addition to the Monte Carlo simulation noise. The vast majority of the input…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated…
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
In this paper, we propose a novel approach to detect heteroskedasticity in regression models with regressors contaminated by measurement error. Specifically, inspired by the integrated conditional moment (ICM) approach, we construct test…
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richardson, Stanton and Whitelaw (2004), Rossello (2008),…
Theoretical frameworks to estimate the tolerance of metabolic networks to various failures are important to evaluate the robustness of biological complex systems in systems biology. In this paper, we focus on a measure for robustness in…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…