KAM theory in configuration space

A new approach to the Kolmogorov-Arnold-Moser theory concerning the existence of invariant tori having prescribed frequencies is presented. It is based on the Lagrangian formalism in configuration space instead of the Hamiltonian formalism in phase space used in earlier approaches. In particular, the construction of the invariant tori avoids the composition of infinitely many coordinate transformations. The regularity results obtained are applied to invariant curves of monotone twist maps. The Lagrangian approach has been prompted by a recent study of minimal foliations for variational problems on a torus by J. Moser. This research has been supported by the Nuffields Foundation under grant SCI/180/173/G and by the Stiftung Volkswagenwerk.     

Estimation of rating classes and default probabilities in credit risk models with dependencies

Let Y = m(X) + ε be a regression model with a dichotomous output Y and a one‐step regression function m . In the literature, estimators for the three parameters of m , that is, the breakpoint θ and the levels a and b , are proposed for independent and identically distributed (i.i.d.) observations. We show that these standard estimators also work in a non‐i.i.d. framework, that is, that they are strongly consistent under mild conditions. For that purpose, we use a linear one‐factor model for the input X and a Bernoulli mixture model for the output Y . The estimators for the split point and the risk levels are applied to a problem arising in credit rating systems. In particular, we divide the range of individuals' creditworthiness into two groups. The first group has a higher probability of default and the second group has a lower one. We also stress connections between the standard estimator for the cutoff θ and concepts prevalent in credit risk modeling, for example, receiver operating characteristic. Copyright © 2014 John Wiley & Sons, Ltd.     

Numerical approximation for a Baer-Nunziato model of two-phase flows

We present a well-balanced numerical scheme for approximating the solution of the Baer-Nunziato model of two-phase flows by balancing the source terms and discretizing the compaction dynamics equation. First, the system is transformed into a new one of three subsystems: the first subsystem consists of the balance laws in the gas phase, the second subsystem consists of the conservation law of the mass in the solid phase and the conservation law of the momentum of the mixture, and the compaction dynamic equation is considered as the third subsystem. In the first subsystem, stationary waves are used to build up a well-balanced scheme which can capture equilibrium states. The second subsystem is of conservative form and thus can be numerically treated in a standard way. For the third subsystem, the fact that the solid velocity is constant across the solid contact suggests us to compose the technique of the Engquist-Osher scheme. We show that our scheme is capable of capturing exactly equilibrium states. Moreover, numerical tests show the convergence of approximate solutions to the exact solution.     

Constructing banking networks under decreasing costs of link formation

The structure of networks plays a central role in the behavior of financial systems and their response to policy. Real-world networks, however, are rarely directly observable: banks’ assets and liabilities are typically known, but not who is lending how much and to whom. This paper adds to the existing literature in two ways. First, it shows how to simulate realistic networks that are based on balance-sheet information. To do so, we introduce a model where links cause fixed-costs, independent of contract size; but the costs per link decrease the more connected a bank is (scale economies). Second, to approach the optimization problem, we develop a new algorithm inspired by the transportation planning literature and research in stochastic search heuristics. Computational experiments find that the resulting networks are not only consistent with the balance sheets, but also resemble real-world financial networks in their density (which is sparse but not minimally dense) and in their core-periphery and disassortative structure.

     

Convergence of higher order upwind finite volume schemes on unstructured grids for scalar conservation laws in several space dimensions

Summary. We prove convergence of a class of higher order upwind finite volume schemes on unstructured grids for scalar conservation laws in several space dimensions. The result is applied to the discontinuous Galerkin method due to Cockburn, Hou and Shu. Received April 15, 1993 / Revised version received March 13, 1995