相关论文: Phase Transitions in Operational Risk

Metastability is a physical phenomenon ubiquitous in first order phase transitions. A fruitful mathematical way to approach this phenomenon is the study of rare transitions Markov chains. For Metropolis chains associated with Statistical…

The phenomenon of phase transitions in one-dimensional systems is discussed. Equilibrium systems are reviewed and some properties of an energy function which may allow phase transitions and phase ordering in one dimension are identified. We…

We consider sudden quenches across quantum phase transitions in the $S=1$ XXZ model starting from the Haldane phase. We demonstrate that dynamical phase transitions may occur during these quenches that are identified by nonanalyticities in…

We analyze phase transitions in the conditional entropy of a sequence caused by a change in the conditional variables. Such transitions happen, for example, when training to learn the parameters of a system, since the transition from the…

Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, risk functionals constitute a fundamental building block in…

We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…

We present a simple model of communication in networks with hierarchical branching. We analyze the behavior of the model from the viewpoint of critical systems under different situations. For certain values of the parameters, a continuous…

We present a theory for self-driven fluids, such as motorized cytoskeletal extracts or bacterial suspensions, that takes into account the underlying periodic duty cycle carried by the active particles of which the system is composed. We…

In this article, we review the analytical and numerical approaches for computing the phase space structures in two degrees-of-freedom Hamiltonian systems that arise in chemical reactions. In particular, these phase space structures are the…

First-order nonequilibrium phase transitions observed in active matter, fluid dynamics, biology, climate science, and other systems with irreversible dynamics are challenging to analyze because they cannot be inferred from a simple free…

We present a stochastic dynamics model of coupled evolution for the binary states of nodes and links in a complex network. In the context of opinion formation node states represent two possible opinions and link states a positive or…

Distribution grid is the medium and low voltage part of a large power system. Structurally, the majority of distribution networks operate radially, such that energized lines form a collection of trees, i.e. forest, with a substation being…

We investigate the dynamics of a gas of non-interacting particle-like soliton waves, demonstrating that phase transitions originate from their collective behavior. This is predicted by solving exactly the nonlinear equations and by…

Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the…

During contagion phenomena, individuals perceiving a risk of infection commonly adapt their behavior and reduce their exposure. The effects of such adaptive mechanisms have been studied for processes in which pairwise interactions drive…

Group-based reinforcement can induce discontinuous transitions from inactive to active phases in higher-order contagion models. However, these results are typically obtained on static interaction structures or within mean-field…

One possible framework to interpret the irreversibility transition observed in periodically driven colloidal suspensions is that of a non-equilibrium phase transition towards an absorbing reversible state at low amplitude of the driving…

To use control charts in practice, the in-control state usually has to be estimated. This estimation has a detrimental effect on the performance of control charts, which is often measured for example by the false alarm probability or the…

We give an introduction to phase transitions in the steady states of systems that evolve stochastically with equilibrium and nonequilibrium dynamics, the latter defined as those that do not possess a time-reversal symmetry. We try as much…

We present the results of analytical and numerical studies of a one-dimensional nonlocal and nonlinear diffusion equation describing non-equilibrium processes ranging from aggregation phenomena to cooperation of individuals. We study a…