Coupling for Markov renewal processes and the rate of convergence in ergodic theorems for processes with semi-Markov switchings

Coupling procedures for Markov renewal processes are described. Applications to ergodic theorems for processes with semi-Markov switchings are considered.This paper was partly prepared with the support of NFR Grant F-UP 10257-300.     

Limits to error correction in quantum chaos

We study the correction of errors that have accumulated in an entangled state of spins as a result of unknown local variations in the Zeeman energy ( B) and spin-spin interaction energy ( J). A nondegenerate code with error rate kappa can recover the original state with high fidelity within a time t(R) approximately Planck's over 2pikappa(1/2)/max(B,J)-independent of the number of encoded qubits. Whether the Hamiltonian is chaotic or not does not affect this time scale, but it does affect the complexity of the error-correcting code.     

Towards an explanation of the mesoscopic double-slit experiment: A new model for charging of a quantum Dot

For a quantum dot (QD) in the intermediate regime between integrable and fully chaotic, the widths of single-particle levels naturally differ by orders of magnitude. In particular, the width of one strongly coupled level may be larger than the spacing between other, very narrow, levels. In this case many consecutive Coulomb blockade peaks are due to occupation of the same broad level. Between the peaks the electron jumps from this level to one of the narrow levels, and the transmission through the dot at the next resonance essentially repeats that at the previous one. This offers a natural explanation to the recently observed behavior of the transmission phase in an interferometer with a QD.     

Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility

Multiscale stochastic volatilities models relax the constant volatility assumption from Black-Scholes option pricing model. Such models can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. Christoffersen et al. Manag Sci 55(2):1914–1932 (2009) presented a model where the underlying price is governed by two volatility components, one changing fast and another changing slowly. Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) transformed Christoffersen’s model and computed an approximate formula for pricing American options. They used Duhamel’s principle to derive an integral form solution of the boundary value problem associated to the option price. Using method of characteristics, Fourier and Laplace transforms, they obtained with good accuracy the American option prices. In a previous research of the authors (Canhanga et al. 2014), a particular case of Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) model is used for pricing of European options. The novelty of this earlier work is to present an asymptotic expansion for the option price. The present paper provides experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013).     

Perturbed Markov Chains with Damping Component

The paper is devoted to studies of regularly and singularly perturbed Markov chains with damping component. In such models, a matrix of transition probabilities is regularised by adding a special damping matrix multiplied by a small damping (perturbation) parameter ε. We perform a detailed perturbation analysis for such Markov chains, particularly, give effective upper bounds for the rate of approximation for stationary distributions of unperturbed Markov chains by stationary distributions of perturbed Markov chains with regularised matrices of transition probabilities, asymptotic expansions for approximating stationary distributions with respect to damping parameter, explicit coupling type upper bounds for the rate of convergence in ergodic theorems for n-step transition probabilities, as well as ergodic theorems in triangular array mode.