Explicit Solution of a Non-Linear Filtering Problem for Lévy Processes with Application to Finance

In this paper we explicitly solve a non-linear filtering problem with mixed observations, modelled by a Brownian motion and a generalized Cox process, whose jump intensity is given in terms of a Lévy measure. Motivated by empirical observations of R. Cont and P. Tankov we propose a model for financial assets, which captures the phenomenon of time inhomogeneity of the jump size density. We apply the explicit formula to obtain the optimal filter for the corresponding filtering problem.     

On the Continuity of Pathwise Solutions to Langevin Equations in Infinite Dimensions

We fix a rich probability space (,F,P). Let (H,) be a separable Hilbert space and let be the canonical cylindrical Gaussian measure on H. Given any abstract Wiener space (H,B,) over H, and for every Hilbert–Schmidt operator T: HBH which is (|{}|,)-continuous, where |{}| stands for the (Gross-measurable) norm on B, we construct an Ornstein–Uhlenbeck process : (,F,P)×[0,1](B,|{}|) as a pathwise solution of the following infinite-dimensional Langevin equation d _t =db _t +T( _t )dt with the initial data ₀=0, where b is a B-valued Brownian motion based on the abstract Wiener space (H,B,). The richness of the probability space (,F,P) then implies the following consequences: the probability space is independent of the abstract Wiener space (H,B,) (in the sense that (,F,P) does not depend on the choice of the Gross-measurable norm |{}|) and the space C _B consisting of all continuous B-valued functions on [0,1] is identical with the set of all paths of . Finally, we present a way to obtain pathwise continuous solutions :d _t =

The loss of tightness of time distributions for homeomorphisms of the circle

For a minimal circle homeomorphism we study convergence in law of rescaled hitting time point process of an interval of length 0$">. Although the point process in the natural time scale never converges in law, we study all possible limits under a subsequence. The new feature is the fact that, for rotation numbers of unbounded type, there is a sequence going to zero exhibiting coexistence of two non-trivial asymptotic limit point processes depending on the choice of time scales used when rescaling the point process. The phenomenon of loss of tightness of the first hitting time distribution is an indication of this coexistence behaviour. Moreover, tightness occurs if and only if the rotation number is of bounded type. Therefore tightness of time distributions is an intrinsic property of badly approximable irrational rotation numbers.

     

Uncorrelatedness and orthogonality for vector-valued processes

For a square integrable vector-valued process on the Loeb product space, it is shown that vector orthogonality is almost equivalent to componentwise scalar orthogonality. Various characterizations of almost sure uncorrelatedness for are presented. The process is also related to multilinear forms on the target Hilbert space. Finally, a general structure result for involving the biorthogonal representation for the conditional expectation of with respect to the usual product -algebra is presented.

     

Temperature Dependence of the Gibbs State in the Random Energy Model

We consider the problem of temperature dependence of the Gibbs states in two spin-glass models: Derrida's Random Energy Model and its analogue, where the random variables in the Hamiltonian are replaced by independent standard Brownian motions. For both of them we compute in the thermodynamic limit the overlap distribution ^N _{i=1 i i} /N[–1,1] of two spin configurations , under the product of two Gibbs measures, which are taken at temperatures T,T respectively. If TT are fixed, then at low temperature phase the results are different for these models: for the first one this distribution is D _{0 0}+D _{1 1}, with random weights D ₀, D ₁, while for the second one it is ₀. We compute consequently the overlap distribution for the second model whenever T–T0 at different speeds as N.     

Measuring a colloidal particle's interaction with a flat surface under nonequilibrium conditions

A new and general approach is proposed to analyze the dynamics of a colloidal particle interacting with a nearby wall. This analysis can be used to determine the acting forces even when the system is non-stationary. As an illustration, we use total internal reflection microscopy to investigate the forces acting on a polystyrene sulfate latex particle as it is receding from a charged glass surface. Received 10 October 2002 Published online: 16 April 2003 RID="a" ID="a"Present address: Department of Polymer Physics, BASF Aktiengesellschaft, 67056 Ludwigshafen, Germany RID="b" ID="b"Present address: Arryx. Inc., Chicago, IL 60601, USA     

Efficient Hopfield pattern recognition on a scale-free neural network

Neural networks are supposed to recognise blurred images (or patterns) of N pixels (bits) each. Application of the network to an initial blurred version of one of P pre-assigned patterns should converge to the correct pattern. In the “standard" Hopfield model, the N “neurons” are connected to each other via N² bonds which contain the information on the stored patterns. Thus computer time and memory in general grow with N². The Hebb rule assigns synaptic coupling strengths proportional to the overlap of the stored patterns at the two coupled neurons. Here we simulate the Hopfield model on the Barabási-Albert scale-free network, in which each newly added neuron is connected to only m other neurons, and at the end the number of neurons with q neighbours decays as 1/q ³. Although the quality of retrieval decreases for small m, we find good associative memory for 1 ≪ m ≪ N. Hence, these networks gain a factor N/m ≫ 1 in the computer memory and time. Received 12 January 2003 Published online 11 April 2003 RID="a" ID="a"e-mail: stauffer@thp.uni-koeln.de     

Exactly solvable models through the generalized empty interval method,for multi-species interactions

Multi-species reaction-diffusion systems, with nearest-neighbor interaction on a one-dimensional lattice are considered. Necessary and sufficient constraints on the interaction rates are obtained, that guarantee the closedness of the time evolution equation for E _n(t)'s, the expectation value of the product of certain linear combination of the number operators on n consecutive sites at time t. The constraints are solved for the single-species left-right-symmetric systems. Also, examples of multi-species system for which the evolution equations of E _n(t)'s are closed, are given. Received 25 September 2002 / Received in final form 3 December 2002 Published online 14 February 2003 RID="a" ID="a"e-mail: mamwad@iasbs.ac.ir     

Non-adiabatic quantum molecular dynamics: General formalism and case study H<Subscript>2</Subscript><Superscript>+</Superscript> in strong laser fields

In Rydberg atoms subject to static and harmonic collinear electric fields, intrashell transition can be induced by the first order perturbation from a small perpendicular electric or magnetic field, or by effects of the second order in the major fields. Both mechanisms lead to resonances that are suppressed under certain conditions, and high-frequency interference oscillations in case of non-adiabatic field switching. Recent measurements of microwave ionization signals show very rich and fascinating structures similar to the ones predicted for intrashell mixing. We show that the observed ionization structures may be explained by diabatic electric-field ionization and the consistent use of perturbation theory for intrashell mixing. In particular, the dominant oscillation frequency is successfully interpreted in terms of interference between first and second order transition amplitudes. New predictions are provided. The present approach gives a comprehensive picture of intrashell transitions, which may be tested in future experiments designed to observe such transitions directly. Received 2 May 2002 / Received in final form 23 September 2002 Published online 21 January 2003 RID="a" ID="a"e-mail: Valentin.Ostrovsky@pobox.spbu.ru RID="b" ID="b"e-mail: horsdal@ifa.au.dk