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A recently proposed statistical model for the effects of decoherence on electron transport manifests a decoherence-driven transition from quantum-coherent localized to ohmic behavior when applied to the one-dimensional Anderson model. Here…
We develop a finite-horizon model in which liquid-asset returns exhibit Levy-stable scaling on a data-driven window [tau_UV, tau_IR] and aggregate into a finite-variance regime outside. The window and the tail index alpha are identified…
We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…
We will show the central limit theorem for the general one-dimensional lattice where the space of symbols is a compact metric space. We consider the CLT for Lipschitz-Gibbs probabilities and in the proof we use several properties of the…
We consider a class of unbounded self-adjoint operators including the Hamiltonian of the Jaynes-Cummings model without the rotating-wave approximation (RWA). The corresponding operators are defined by infinite Jacobi matrices with discrete…
We study some properties of the American option price in the stochastic volatility Heston model. We first prove that, if the payoff function is convex and satisfies some regularity assumptions, then the option value function is increasing…
The well-posedness of a generalized Coleman--Gurtin equation equipped with dynamic boundary conditions with memory was recently established by the author with C.G. Gal. In this article we report advances concerning the asymptotic behavior…
There exist multiple regression applications in engineering, industry and medicine where the outcomes follow an adaptive experimental design in which the next measurement depends on the previous observations, so that the observations are…
The paper concerns the $d$-dimensional stochastic approximation recursion, $$ \theta_{n+1}= \theta_n + \alpha_{n + 1} f(\theta_n, \Phi_{n+1}) $$ where $ \{ \Phi_n \}$ is a stochastic process on a general state space, satisfying a…
In this work we study the asymptotic behavior of a class of damped second-order gradient systems $$ \ddot{u}(t) + a\dot{u}(t) + \nabla W(u(t)) = 0, $$ under assumptions ensuring local convexity of the potential near equilibrium and…
For a continuous-time random walk $X=\{X_t,t\ge 0\}$ (in general non-Markov), we study the asymptotic behavior, as $t\rightarrow \infty$, of the normalized additive functional $c_t\int_0^{t} f(X_s)ds$, $t\ge 0$. Similarly to the Markov…
The eigenstates of d-dimensional quasicrystalline models with a separable Hamiltonian are studied within the tight-binding model. The approach is based on mathematical sequences, constructed by an inflation rule P = {w -> s, s -> sws^(b-1)}…
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the…
In a dissipative system, there exists the (global) attractor which has finite fractal dimensions. The flow on the attractor can be parametrized by a finite number of parameters (Temmam 1987). Using machine learning we demonstrate how to…
In this work we are concerned with the design of efficient mechanisms while eliciting limited information from the agents. First, we study the performance of sampling approximations in facility location games. Our key result is to show that…
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…
We prove an asymptotic coupling theorem for the $2$-dimensional Allen--Cahn equation perturbed by a small space-time white noise. We show that with overwhelming probability two profiles that start close to the minimisers of the potential of…
We characterize decreasing impatience, a common behavioral phenomenon in intertemporal choice. Discount factors that display decreasing impatience are characterized through a convexit y axiom for investments at fixed interest rates. Then we…
In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.
We are interested in the asymptotic behavior of orthogonal polynomials of the generalized Jacobi type as their degree $n$ goes to $\infty$. These are defined on the interval $[-1,1]$ with weight function…