Related papers: Correlators of Polynomial Processes
Generating functions, which are widely used in combinatorics and probability theory, encode function values into the coefficients of a polynomial. In this paper, we explore their use as a tractable probabilistic model, and propose…
Low-dimensional periodic arrays of scatterers with a moving point particle are ideal models for studying deterministic diffusion. For such systems the diffusion coefficient is typically an irregular function under variation of a control…
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…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
A simple method is proposed to estimate the instantaneous correlations between state variables in a hybrid system from the empirical correlations between observable market quantities such as spot rate, stock price and implied volatility.…
Stochastic models of point patterns in space and time are widely used to issue forecasts or assess risk, and often they affect societally relevant decisions. We adapt the concept of consistent scoring functions and proper scoring rules,…
Stochastic dynamical systems often contain nonlinearities which make it hard to compute probability density functions or statistical moments of these systems. For the moment computations, nonlinearities in the dynamics lead to unclosed…
The pair contact process with diffusion is studied by means of multispin Monte Carlo simulations and density matrix renormalization group calculations. Effective critical exponents are found to behave nonmonotonically as functions of time…
In this and subsequent paper arXiv:1011.5185 we develop a recursive approach for calculating the short-time expansion of the propagator for a general quantum system in a time-dependent potential to orders that have not yet been accessible…
Many processes of spreading and diffusion take place on temporal networks, and their outcomes are influenced by correlations in the times of contact. These correlations have a particularly strong influence on processes where the spreading…
We study the problem of computing the matrix exponential of a block triangular matrix in a peculiar way: Block column by block column, from left to right. The need for such an evaluation scheme arises naturally in the context of option…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
We analyze a method to produce pairs of non independent Poisson processes $M(t),N(t)$ from positively correlated, self-decomposable, exponential renewals. In particular the present paper provides the family of copulas pairing the renewals,…
We propose an exact flow equation for composite operators and their correlation functions. This can be used for a scale-dependent partial bosonization or "flowing bosonization" of fermionic interactions, or for an effective change of…
Correlation functions, such as static and dynamic structure factors, offer a versatile approach to analyzing atomic-scale structure and dynamics. By having access to the full dynamics from atomistic simulations, they serve as valuable tools…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
Polynomial ensembles are determinantal point processes associated with (non necessarily orthogonal) projections onto polynomial subspaces. The aim of this survey article is to put forward the use of recurrence coefficients to obtain the…
The formulation of combinatorial differential forms, proposed by Forman for analysis of topological properties of discrete complexes, is extended by defining the operators required for analysis of physical processes dependent on scalar…
The paper presents linear integral predictors for continuous time high-frequency signals with a a finite spectrum gap. The predictors are based on approximation of a complex valued periodic exponential (complex sinusoid) by rational…
Mathematical psychology has a long tradition of modeling probabilistic choice via distribution-free random utility models and associated random preference models. For such models, the predicted choice probabilities often form a bounded and…