DSpace Collection:http://hdl.handle.net/2440/10872017-02-19T23:18:13Z2017-02-19T23:18:13ZA note on differentiability in a Markov chain market using stochastic flowsElliott, R.J.Siu, T.K.http://hdl.handle.net/2440/1033872017-02-05T23:09:11Z2015-01-01T00:00:00ZTitle: A note on differentiability in a Markov chain market using stochastic flows
Author: Elliott, R.J.; Siu, T.K.
Abstract: Using stochastic flows of diffeomorphisms relating to a Markov chain together with the ItÃ´'s differentiation rule, the differentiability of the price of a European-style contingent claim with respect to the underlying state variables is proved in a continuous-time Markov chain market. The differentiability results are also used to calculate the Greeks for hedging2015-01-01T00:00:00ZTopological T-duality for torus bundles with monodromyBaraglia, D.http://hdl.handle.net/2440/1033272017-01-22T23:33:06Z2015-01-01T00:00:00ZTitle: Topological T-duality for torus bundles with monodromy
Author: Baraglia, D.
Abstract: We give a simplified definition of topological T-duality that applies to arbitrary torus bundles. The new definition does not involve Chern classes or spectral sequences, only gerbes and morphisms between them. All the familiar topological conditions for T-duals are shown to follow. We determine necessary and sufficient conditions for existence of a T-dual in the case of affine torus bundles. This is general enough to include all principal torus bundles as well as torus bundles with arbitrary monodromy representations. We show that isomorphisms in twisted cohomology, twisted K-theory and of Courant algebroids persist in this general setting. We also give an example where twisted K-theory groups can be computed by iterating T-duality.2015-01-01T00:00:00ZThe unsteady flow due to an impulsively rotated sphereCalabretto, S.A.W.Levy, B.Denier, J.P.Mattner, T.W.http://hdl.handle.net/2440/1033262017-01-22T23:32:36Z2015-01-01T00:00:00ZTitle: The unsteady flow due to an impulsively rotated sphere
Author: Calabretto, S.A.W.; Levy, B.; Denier, J.P.; Mattner, T.W.
Abstract: We consider the flow induced by a sphere, contained in an otherwise quiescent body of fluid, that is suddenly imparted with angular momentum. This classical problem is known to exhibit a finite-time singularity in the boundary-layer equations, due to the viscous boundary layer, induced by the sudden rotation, colliding at the sphere's equator. We consider this flow from the perspective of the post-collision dynamics, showing that the collision gives rises to a radial jet headed by a swirling toroidal starting vortex pair. The starting vortex propagates away from the sphere and, in doing so, loses angular momentum. The jet, in turn, develops an absolute instability which propagates back towards the sphere's equator. The starting vortex pair detaches from the jet and expands as a coherent (non-swirling) toroidal vortex pair. We also present results of some new experiments which show good qualitative agreement with our computational results.2015-01-01T00:00:00ZOn the nature of Phase-type Poisson distributionsHautphenne, S.Latouche, G.Nguyen, G.T.http://hdl.handle.net/2440/1032972017-01-17T23:12:05Z2014-01-01T00:00:00ZTitle: On the nature of Phase-type Poisson distributions
Author: Hautphenne, S.; Latouche, G.; Nguyen, G.T.
Abstract: Matrix-form Poisson probability distributions were recently introduced as one matrix generalization of Panjer distributions. We show in this paper that under the constraint that their representation is to be nonnegative, they have a physical interpretation as extensions of PH distributions, and we name this restricted family Phase-type Poisson. We use our physical interpretation to construct an EM algorithm-based estimation procedure.2014-01-01T00:00:00Z