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51.
D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》1998,3(1):125-137
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of
a string. We derive the general condition that the partial differential equations governing the motion of such string must
obey in order to account for the condition of absence of arbitrage opportunities. This condition takes a form similar to a
fluctuation-dissipation theorem, albeit on the same quantity (the forward rate), linking the bias to the covariance of variation
fluctuations. We provide the general structure of the models that obey this constraint in the framework of stochastic partial
(possibly non-linear) differential equations. We derive the general solution for the pricing and hedging of interest rate
derivatives within this framework, albeit for the linear case (we also provide in the appendix a simple and intuitive derivation
of the standard European option problem). We also show how the “string” formulation simplifies into a standard N-factor model under a Galerkin approximation.
Received: 30 January 1998 / Revised: 12 February 1998 / Accepted: 16 February 1998 相似文献
52.
T. González-Lezana G. Delgado-Barrio P. Villarreal F.X. Gadéa 《The European Physical Journal D - Atomic, Molecular, Optical and Plasma Physics》2002,20(2):227-232
The stabilization method is applied to the case of interacting resonances in the photo-dissociation of van der Waals clusters
composed by a rare gas atom bound to a dihalogen molecule. The study of an illustrative two-dimensional model consisting in
a T-shaped NeI2 molecule shows the adequacy of the method whenever the projection of the stabilization wave functions on the assumed prepared
initial state is accounted for. The agreement of the fragmentation cross-sections with some previous results using the effective
resolvent method and accurate close-coupling calculations is excellent. The method reveals its utility as a complementary
tool since allows, through the analysis of the stabilization wave function in terms of zero-order levels, a precise characterization
of the resonant states involved.
Received 5 April 2002 / Received in final form 24 May 2002 Published online 19 July 2002 相似文献
53.
Torbjörn Kolsrud 《Journal of Theoretical Probability》1989,2(4):399-418
We derive explicit isomorphism formulas between weighted Dirichlet integrals for harmonic functions and boundary Dirichlet forms. Applications yield results on traces of Markov processes and convergence quasieverywhere of harmonic functions. 相似文献
54.
Validation and verification of social processes within agent-based computational organization models 总被引:1,自引:0,他引:1
Levent Yilmaz 《Computational & Mathematical Organization Theory》2006,12(4):283-312
The use of simulation modeling in computational analysis of organizations is becoming a prominent approach in social science
research. However, relying on simulations to gain intuition about social phenomena has significant implications. While simulations
may give rise to interesting macro-level phenomena, and sometimes even mimic empirical data, the underlying micro and macro
level processes may be far from realistic. Yet, this realism may be important to infer results that are relevant to existing
theories of social systems and to policy making. Therefore, it is important to assess not only predictive capability but also
explanation accuracy of formal models in terms of the degree of realism reflected by the embedded processes. This paper presents
a process-centric perspective for the validation and verification (V&V) of agent-based computational organization models.
Following an overview of the role of V&V within the life cycle of a simulation study, emergent issues in agent-based organization
model V&V are outlined. The notion of social contract that facilitates capturing micro level processes among agents is introduced
to enable reasoning about the integrity and consistency of agent-based organization designs. Social contracts are shown to
enable modular compositional verification of interaction dynamics among peer agents. Two types of consistency are introduced:
horizontal and vertical consistency. It is argued that such local consistency analysis is necessary, but insufficient to validate
emergent macro processes within multi-agent organizations. As such, new formal validation metrics are introduced to substantiate
the operational validity of emergent macro-level behavior.
Levent Yilmaz is Assistant Professor of Computer Science and Engineering in the College of Engineering at Auburn University and co-founder
of the Auburn Modeling and Simulation Laboratory of the M&SNet. Dr. Yilmaz received his Ph.D. and M.S. degrees from Virginia
Polytechnic Institute and State University (Virginia Tech). His research interests are on advancing the theory and methodology
of simulation modeling, agent-directed simulation (to explore dynamics of socio-technical systems, organizations, and human/team
behavior), and education in simulation modeling. Dr. Yilmaz is a member of ACM, IEEE Computer Society, Society for Computer
Simulation International, and Upsilon Pi Epsilon. URL: http://www.eng.auburn.edu/~yilmaz 相似文献
55.
Matthew D. Bailey Steven M. Shechter Andrew J. Schaefer 《Operations Research Letters》2006,34(3):307-315
We consider a general adversarial stochastic optimization model. Our model involves the design of a system that an adversary may subsequently attempt to destroy or degrade. We introduce SPAR, which utilizes mixed-integer programming for the design decision and a Markov decision process (MDP) for the modeling of our adversarial phase. 相似文献
56.
Q. Cui 《Theoretical chemistry accounts》2006,116(1-3):51-59
Efficient vectorial processes such as the transduction of bioenergy and signals are characteristics that strikingly distinguish living systems from inanimate materials. Recent developments in biophysical and biochemical techniques have provided new information about the structure, dynamics and interaction of biomolecules involved in vectorial life processes at multiple length and temporal scales. This wealth of data makes it possible to carry out theoretical and computational studied of key mechanistic questions associated with complex life processes at an unprecedented level. Using two “vectorial biomolecular machines”, myosin and cytochrome c oxidase, as examples, we discuss the identification of interesting and biologically relevant questions that require thorough theoretical analysis. Technical challenges and recent progress related to these theoretical investigations are briefly summarized 相似文献
57.
Our purpose is to characterize the multiparameter Gaussian processes, that is Gaussian sheets, that are equivalent in law
to the Brownian sheet and to the fractional Brownian sheet. We survey multiparameter analogues of the Hitsuda, Girsanov and
Shepp representations. As an application, we study a special type of stochastic equation with linear noise.
相似文献
58.
Peter Friz Nicolas Victoir 《Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques》2007,43(6):775-785
We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hölder- or modulus topology, appears as special case. 相似文献
59.
We revealed the changes in the γ-luminescence spectra under the influence of a thermal radiation field on high-purity alkali-silicate
glasses (I) and those with addition of Fe3+ ions (II). We explain the obtained results within the framework of the L-model of edge absorption and electron-hole recombination
processes.
Samarkand State University, 15, Universitetskii Bul., Samarkand, 703004, Republic of Uzbekistan. Translated from Zhurnal Prikladnoi
Spektroskopii, Vol. 65, No. 3, pp. 453–455, May–June, 1998. 相似文献
60.
强场作用下二能级原子双光子过程中辐射场的压缩效应 总被引:4,自引:2,他引:2
本文采用数值计算方法研究了强场作用下二能级原子双光子过程中辐射场的压缩效应.结果表明:辐射场主要处于压缩态,并周期性地出现短时的非压缩效应,随着值的不断增大,场与原子的非线性耦合越来越强,压缩的最大深度不断加深. 相似文献