Related papers: Consistency conditions for affine term structure m…
We perform a von Neumann stability analysis on a common discretization of the Einstein equations. The analysis is performed on two formulations of the Einstein equations, namely, the standard ADM formulation and the conformal-traceless (CT)…
This lecture notes are intended for the students taking courses in mathematical control theory. They are concerned with the attainability problem with constraints. The exposition is oriented to the linear control problems with the impulse…
A fermion ground state energy functional is set up in terms of particle density, relative pair density, and kinetic energy tensor density. It satisfies a minimum principle if constrained by a complete set of compatibility conditions. A…
We aim at proving existence of weak solutions to the stationary compressible Navier-Stokes system coupled with the Allen-Cahn equation. The model is studied in a bounded three dimensional domain with slip boundary conditions for the…
This paper deals with the numerical approximation of normalizing constants produced by particle methods, in the general framework of Feynman-Kac sequences of measures. It is well-known that the corresponding estimates satisfy a central…
The quotient of random variables with normal distributions is examined and proven to have have power law decay, with density $f\left( x\right) \simeq f_{0}x^{-2}$, with the coefficient depending on the means and variances of the numerator…
This paper discusses a general and useful stability principle which, roughly speaking, says that given a uniformly continuous function defined on an arbitrary metric space, if the function is bounded on the constraint set and we slightly…
We model two bosons in an optical lattice near a Feshbach or photoassociation resonance, focusing on the Bose-Hubbard model in one dimension. Whereas the usual atoms-only theory with a tunable scattering length yields one bound state for a…
Mathematical inequalities, combined with atomic-physics sum rules, enable one to derive lower and upper bounds for the Rosseland and/or Planck mean opacities. The resulting constraints must be satisfied, either for pure elements or…
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at…
We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions…
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes…
A necessary and suffcient condition for Pitman's asymptotic relative effciency (ARE) of the Kendall and Spearman correlation statistics for the independence test to be 1 is given, in terms of certain smoothness and nondegeneracy properties…
It is well-known since the work of Pardoux and Peng [12] that Backward Stochastic Differential Equations provide probabilistic formulae for the solution of (systems of) second order elliptic and parabolic equations, thus providing an…
A credit rating of AAA asserts near-certainty of repayment. This paper asks whether the pre-crisis information environment could have supported that assertion for structured products. Bayes' theorem implies that any reliability target…
We explain the ubiquity and extremely slow evolution of non gaussian out-of-equilibrium distributions for the Hamiltonian Mean-Field model, by means of traditional kinetic theory. Deriving the Fokker-Planck equation for a test particle, one…
Sufficient conditions are established for sampled-data feedback global asymptotic stabilization for nonlinear autonomous systems. One of our main results is an extension of the well known Artstein-Sontag theorem on feedback stabilization…
We address diffusion processes in a bounded domain, while focusing on somewhat unexplored affinities between the presence of absorbing and/or inaccessible boundaries. For the Brownian motion (L\'{e}vy-stable cases are briefly mentioned)…
Accurate models of precipitation kinetics are essential to control and design structural materials. These models are highly sensitive to the thermodynamic description of precipitates. We use atomistic simulations of a model Fe-Cr system to…
The Shapley-Folkman theorem shows that Minkowski averages of uniformly bounded sets tend to be convex when the number of terms in the sum becomes much larger than the ambient dimension. In optimization, Aubin and Ekeland [1976] show that…