Lp solutions of backward stochastic differential equations with jumps

Given $p\in (1,2)$, we study ${\mathbb{L}}^p$ solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in $(y,z)$-variables. We show that such a BSDEJ with $p$-integrable terminal data admits a unique ${\mathbb{L}}^p$ solution by approximating the monotonic generator by a sequence of Lipschitz generators via convolution with mollifiers and using a stability result.     

Applications of ‐invariant distributions

In this sequel to the article 17 , a criterion for the regularity of fundamental solutions of differential operators with positive symbol is proved in analogy to Hörmander's criteria, see 9 , 12 . It implies that the temperate fundamental solution of the operator is not regular. Furthermore, a formula for the convolution of two ‐invariant distributions is presented, and, finally, L. Schwartz' question on the surjectivity of linear partial differential operators with constant coefficients on the space is completely answered in the case of ‐invariant differential operators.     

Estimating Precision in Functional Images

Abstract

Functional imaging of biologic parameters like in vivo tissue metabolism is made possible by Positron Emission Tomography (PET). Many techniques have been suggested for extracting such images from dynamic time-course sequences of reconstructed PET scans. Quantitating the precision of these estimates is important for drawing inferences on the biologic parameters. Analytic variance formulas are not immediate owing to the nonlinear methods used in extraction. The usual resampling approach is infeasible because each image reconstruction in PET is a computationally demanding solution to a high-dimensional linear inverse problem. We suggest an alternative simulation approach that approximates the distribution of reconstructed PET scans and performs a parametric bootstrap in the imaging domain. Results on a simplified model chosen to match the characteristics of PET reconstruction are very encouraging. Mixture analysis is used to estimate functional images; however, the suggested approach is general enough to extend to other techniques or imaging methods.     

On log-normal convolutions: An analytical–numerical method with applications to economic capital determination

We put forward an efficient algorithm for approximating the sums of independent and log-normally distributed random variables. Namely, by combining tools from probability theory and numerical analysis, we are able to compute the cumulative distribution functions of the just-mentioned sums to a high precision and in a relatively short computing time. We illustrate the effectiveness of the new method in the contexts of the individual and collective risk models, aggregate economic capital determination, and economic capital allocation.     

Valuation formulae for window barrier options

In this paper we study window barrier options, where a single constant continuously-monitored barrier prevails for a period that commences strictly after the start date of the option and terminates strictly before expiry. We determine valuation formulae within a limited deterministic term-structure in terms of trivariate normal distribution functions. These formulae offer a generalization of the valuation formulae for partial barrier options given by Heynan and Kat.     

A fitting algorithm for real coefficient polynomial rooting

A new algorithm for computing all roots of polynomials with real coefficients is introduced. The principle behind the new algorithm is a fitting of the convolution of two subsequences onto a given polynomial coefficient sequence. This concept is used in the initial stage of the algorithm for a recursive slicing of a given polynomial into degree-2 subpolynomials from which initial root estimates are computed in closed form. This concept is further used in a post-fitting stage where the initial root estimates are refined to high numerical accuracy. A reduction of absolute root errors by a factor of 100 compared to the famous Companion matrix eigenvalue method based on the unsymmetric QR algorithm is not uncommon. Detailed computer experiments validate our claims.     

Computing the distribution of the Robinson-Foulds distance

With the exponential growth of genome databases, the importance of phylogenetics has increased dramatically over the past years. Studying phylogenetic trees enables us not only to understand how genes, genomes, and species evolve, but also helps us predict how they might change in future. One of the crucial aspects of phylogenetics is the comparison of two or more phylogenetic trees. There are different metrics for computing the dissimilarity between a pair of trees. The Robinson-Foulds (RF) distance is one of the widely used metrics on the space of labeled trees. The distribution of the RF distance from a given tree has been studied before, but the fastest known algorithm for computing this distribution is a slow, albeit polynomial-time, O(l⁵) algorithm. In this paper, we modify the dynamic programming algorithm for computing the distribution of this distance for a given tree by leveraging the number-theoretic transform (NTT), and improve the running time from O(l⁵) to O(l³ log l), where l is the number of tips of the tree. In addition to its practical usefulness, our method represents a theoretical novelty, as it is, to our knowledge, one of the rare applications of the number-theoretic transform for solving a computational biology problem.     

An algebraic approach to tempered distributions

A space of pseudoquotients is introduced that is shown to be isomorphic to the space of tempered distributions on RN. The Fourier transform is defined as a map from the space of pseudoquotients to the space of tempered distributions and as a transformation on pseudoquotients.