“String” formulation of the dynamics of the forward interest rate curve

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     

Application of the stabilization method to interacting resonances

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     

Traces of harmonic functions,capacities, and traces of symmetric Markov processes

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.     

Validation and verification of social processes within agent-based computational organization models

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     

大非线性相移下光学非线性Z扫描特性的研究

采用高斯分解法(GD)对大非线性相移下的Z扫描特性进行了分析，通过对数值算法的优化，将GD推广到对脉冲入射激光下大非线性相移下的Z扫描理论分析.对不同条件下大非线性相移Z扫描曲线峰谷结构的比较，发现在大非线性相移的情况下，Z扫描曲线的峰和谷随透过光阑或入射光强变化表现出某些新的特性.随着透过光阑孔径的增加，Z扫描曲线峰的变化要明显快于谷的变化，而且在谷明显存在的情况下，峰很快消失.采用皮秒脉冲激光下的纯二硫化碳实验对理论结果加以验证，实验结果和理论分析相一致.我们的分析结果对大非线性相移下Z扫描测量有一定的指导性意义，避免在大非线性相移下对Z扫描结果产生错误的分析. 关键词： 大非线性相移 高斯分解法 Z扫描     

SPAR: stochastic programming with adversarial recourse

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.     

Polynomial expansion of basis sets: Alternatives to fully optimized exponents

Alternatives based on polynomial expansions of gaussian basis set exponents are introduced and evaluated. The formulas presented here outperform methods based upon the even-tempered formula or combinations of it. They closely match the performance of other methods based upon larger polynomial expansions of the logarithm of the exponents using the same or one less parameter per orbital angular symmetry.     

Theoretical and computational studies of vectorial processes in biomolecular systems

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     

On the Equivalence of Multiparameter Gaussian Processes

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.      

Large deviation principle for enhanced Gaussian processes

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.