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1005.1357 | 1 | This paper works out fair values of stock loan model with automatic termination clause . This stock loan is treated as a generalized perpetual American option with an automatic termination clause and possibly negative interest rate . Since it helps a bank to control the risk, banks should charge less service fees com... | This paper works out fair values of stock loan model with automatic termination clause , cap and margin . This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints . Since it helps a bank to control the risk, the banks charge less service fees compar... | [
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1005.1360 | 1 | This paper considers optimal control problem of a large insurance company under higher standard of solvency . The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at descr... | This paper considers optimal control problem of a large insurance company under a fixed insolvency probability . The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at de... | [
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1005.1361 | 1 | This paper considers nonlinear optimal stochastic control of insurance company with proportional reinsurance policy under small bankrupt probability constraints . The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividends until the time of bankruptcy. H... | This paper considers nonlinear regular-singular stochastic optimal control of large insurance company . The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. However, if the optimal dividend barrier is too low ... | [
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1005.1361 | 2 | This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. However, if the optimal dividend barrier is too low t... | This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. However, if the optimal dividend barrier is too low t... | [
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1005.1476 | 1 | We study global and local robustness properties of several estimators for shape and scale in a generalized Pareto model. The estimators considered in this paper cover maximum likelihood estimators, skipped maximum likelihood estimators, Cram\'er-von-Mises Minimum Distance estimators, and , as a special case of quantile... | We study robustness properties of several procedures for joint estimation of shape and scale in a generalized Pareto model. The estimators we primarily focus on, MBRE and OMSE, are one-step estimators distinguished as optimally-robust in the shrinking neighborhood setting, i.e.; they minimize the maximal bias, respecti... | [
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1005.1476 | 2 | We study robustness properties of several procedures for joint estimation of shape and scale in a generalized Pareto model. The estimators we primarily focus on, MBRE and OMSE, are one-step estimators distinguished as optimally-robust in the shrinking neighborhood setting, i. e.; they minimize the maximal bias, respect... | This paper deals with optimally-robust parameter estimation in generalized Pareto distributions (GPDs). These arise naturally in many situations where one is interested in the behavior of extreme events as motivated by the Pickands-Balkema-de Haan extreme value theorem (PBHT). The application we have in mind is calcula... | [
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1005.1862 | 1 | We consider the estimation of integrated covariance matrices of high dimensional diffusion processes by using high frequency data . We start by studying the most commonly used estimator, the realized covariance matrix {\it (RCV) . We show that in the high dimensional case when the dimension p and the observation fre... | We consider the estimation of integrated covariance (ICV) matrices of high dimensional diffusion processes based on high frequency observations . We start by studying the most commonly used estimator, the {\it realized covariance (RCV) matrix . We show that in the high dimensional case when the dimension p and the obse... | [
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1005.1862 | 3 | We consider the estimation of integrated covariance (ICV) matrices of high dimensional diffusion processes based on high frequency observations. We start by studying the most commonly used estimator, the %DIFDELCMD < {\it %%% realized covariance (RCV) matrix. We show that in the high dimensional case when the dimension... | We consider the estimation of integrated covariance (ICV) matrices of high dimensional diffusion processes based on high frequency observations. We start by studying the most commonly used estimator, the %DIFDELCMD < {\it %%% realized covariance (RCV) matrix. We show that in the high dimensional case when the dimension... | [
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1005.2581 | 1 | CUDA and OpenCL offer two different interfaces for programming GPUs . OpenCL is an open standard that can be used to program CPUs, GPUs, and other devices from different vendors, while CUDA is specific to NVIDIA GPUs. Although OpenCL promises a portable language for GPU programming, its generality may entail a performa... | CUDA and OpenCL are two different frameworks for GPU programming . OpenCL is an open standard that can be used to program CPUs, GPUs, and other devices from different vendors, while CUDA is specific to NVIDIA GPUs. Although OpenCL promises a portable language for GPU programming, its generality may entail a performance... | [
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1005.3454 | 1 | This paper addresses the question of how to invest in an extremely robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principle eigenfunction for an elliptic second-order dif... | This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential o... | [
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1005.3454 | 2 | This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential o... | This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential o... | [
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1005.3565 | 1 | In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator f has quadratic growth in the z variable . In particular, we obtain existence, comparison, and stability results. Moreover, we study the l... | In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator f has quadratic growth in the z-variable . In particular, we obtain existence, comparison, and stability results. Moreover, we study the l... | [
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1005.3565 | 2 | In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator f has quadratic growth in the z-variable. In particular, we obtain existence, comparison, and stability results . Moreover, we study the l... | In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator f has quadratic growth in the z-variable. In particular, we obtain existence, comparison, and stability results , and consider the optimal... | [
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1005.3610 | 1 | We present a Monte Carlo algorithm that allows efficient and unbiased sampling of polymer melts consisting of two chains of equal length that jointly visit all the sites of a cubic lattice . Using this algorithm , we show that in the limit of a large lattice the two chains phase separate , in contradiction with the i... | We present a Monte Carlo algorithm that provides efficient and unbiased sampling of polymer melts consisting of two chains of equal length that jointly visit all the sites of a cubic lattice with rod geometry L x L x rL and non-periodic (hard wall) boundary conditions . Using this algorithm for chains of length up to 4... | [
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1005.4417 | 1 | In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. We show that many pricing and hedging problems concerning structured products, participating products or variable annuities can be handled by this equations. Time-delayed BS... | In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a strategy and a portfolio which should replicate the liability whose pay-off depends on the applied investment strategy or... | [
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1005.4417 | 2 | In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a strategy and a portfolio which should replicate the liability whose pay-off depends on the applied investment strategy o... | In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending... | [
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1006.0155 | 1 | We propose a simple stochastic model for time series which is analytically tractable, easy to simulate and which captures some relevant stylized facts of financial indexes , including scaling properties. We show that the model fits the Dow Jones Industrial Average timeseries in the period 1935-2009 with a remarkable a... | We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets , including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a G... | [
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1006.0271 | 1 | The second law of thermodynamics implies that no macroscopic system may oscillate indefinitely without consuming energy. This letter places bounds on the degree and quality of such oscillations when the system in question is homogeneous and has discrete states. In a closed system, the maximum number of oscillations is ... | The second law of thermodynamics implies that no macroscopic system may oscillate indefinitely without consuming energy. The question of the number of possible oscillations and the coherent quality of those oscillations remain unanswered. This paper proves the upper-bounds on the number and quality of such oscillations... | [
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1006.0271 | 2 | The second law of thermodynamics implies that no macroscopic system may oscillate indefinitely without consuming energy. The questions of the number of possible oscillations and the coherent quality of those oscillations remain unanswered. This paper proves the upper-bounds on the number and quality of such oscillation... | The second law of thermodynamics implies that no macroscopic system may oscillate indefinitely without consuming energy. The question of the number of possible oscillations and the coherent quality of these oscillations remain unanswered. This paper proves the upper-bounds on the number and quality of such oscillations... | [
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1006.0611 | 1 | Ribosome is a molecular machine that moves on a mRNA track while, simultaneously, polymerizing a protein using the mRNA also as the corresponding template. We introduce quantitative measures of its performance which characterize, for example, the speed and fidelity of the template-dictated polymerization. We also defin... | Ribosome is a molecular machine that moves on a mRNA track while, simultaneously, polymerizing a protein using the mRNA also as the corresponding template. We define, and analytically calculate, two different measures of the efficiency of this machine . However, we arugue that its performance is evaluated better in ter... | [
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1006.0727 | 1 | Nature uses combinatorial control strategies that are different from those used by present pharmacological approaches for controlling disease. Function and differentiation of cells URLanisms are naturally regulated by control networks that are bipartite, i.e. contain two different types of nodes: controllers and target... | Cells are regulated by networks of controllers having many targets, and targets affected by many controllers , but these " many-to-many " combinatorial control systems are poorly understood. Here we analyze distinct cellular networks ( transcription factors, microRNAs , and protein kinases ) and a drug-target network. ... | [
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1006.1350 | 1 | We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility (GCPV), to predict the latent standard deviations of a sequence of random varia... | We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility (GCPV), to predict the latent standard deviations of a sequence of random varia... | [
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1006.2012 | 1 | This paper considers a top-down approach for CDO valuation and proposes a market model. We extend previous research on this topic in two directions: on the one side, we use as driving process for the interest rate dynamics a time-inhomogeneous L\'evy process, and on the other side, we do not assume that all maturities ... | The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence of arbitrage , explicit examples, an affine setup which includes contagion and pr... | [
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1006.2273 | 1 | We consider option pricing in a regime-switching market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal bounds idea to obtain ranges for the price of a derivative. As an illustration, we calculate the good-deal pricing bounds for a European call option . We examine the ... | We consider option pricing in a regime-switching diffusion market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal pricing bounds idea to obtain ranges for the price of a derivative. As an illustration, we calculate the good-deal pricing bounds for a European call option a... | [
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1006.2313 | 1 | In this paper, flow models of networks without congestion control are considered. We suppose that users transmit data in the network at their maximum throughput and some erasure codes make the transmission robust to packet loss . We study the stability of the resulting stochastic processes in two particular cases: lin... | In this paper, flow models of networks without congestion control are considered. Users generate data transfers according to some Poisson processes and transmit corresponding packet at a fixed rate equal to their access rate until the entire document is received at the destination; some erasure codes are used to make t... | [
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1006.2327 | 1 | The quite recent technological rise in molecular biology allowed single molecule manipulation experiments, where molecule stretching plays a primary role. In order to understand the experimental data, it is felt the urge of some physical and mathematical models to quantitatively express the mechanical properties of the... | The quite recent technological rise in molecular biology allowed single molecule manipulation experiments, where molecule stretching plays a primary role. In order to understand the experimental data, it is felt the urge of some physical and mathematical models to quantitatively express the mechanical properties of the... | [
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1006.2489 | 1 | Properties of arbitrary truncated Levy flight are investigated by method of cumulant approach . The set of cumulants that characterized an arbitrary truncated Levy distribution is found and their shape of truncation dependence is defined . The influence of truncation shape on the properties of Gaussian and Levy regime... | The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved . The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found . The influence of truncation shape on the truncated Levy flight properties in the Gau... | [
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1006.2634 | 1 | The notion of autocatalysis actually covers a large variety of mechanistic realisations of chemical systems . From the most general definition of autocatalysis, that is a process in which a chemical compound is able to catalyze its own formation, several different systems can be described. We detail the different categ... | Autocatalysis is a fundamental concept, used in a wide range of domains . From the most general definition of autocatalysis, that is a process in which a chemical compound is able to catalyze its own formation, several different systems can be described. We detail the different categories of autocatalyses, and compare ... | [
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1006.2761 | 1 | The evolution of protein-protein interactions over time has led to a complex network whose character is modular in the cellular function and highly correlated in its connectivity. The question of the characterization and emergence of modularity following principles of evolution remains an important challenge as there i... | Cellular functions are based on the complex interplay of proteins, therefore the structure and dynamics of these protein-protein interaction (PPI) networks are the key to the functional understanding of cells. In the last years, large-scale PPI networks of several URLanisms were investigated. Methodological improvement... | [
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1006.3224 | 1 | Our goal is to resolve a problem proposed by Karatzas and Fernholz (2008) : Characterizing the minimum amount of initial capital that would guarantee the investor to beat the market portfolio with a certain probability as a function of the market configuration and time to maturity. We show that this value function i... | Our goal is to resolve a problem proposed by Fernholz and Karatzas On optimal arbitrage (2008) Columbia Univ. : to characterize the minimum amount of initial capital with which an investor can beat the market portfolio with a certain probability , as a function of the market configuration and time to maturity. We show ... | [
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1006.3627 | 1 | It is a common expectation in chemistry that a chemical transformation which takes place in the presence of a catalyst must also take place in its absence , though perhaps at a much slower rate. We say a reaction network is " saturated " if it satisfies such an expectation. We prove that the associated dynamical system... | A "critical siphon" is a subset of the species in a chemical reaction network whose absence is forward invariant and stoichiometrically compatible with a positive point. We define "catalytic networks" as networks with an essentially catalytic reaction pathway: one which is " on " in the presence of certain catalysts an... | [
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1006.4111 | 1 | We have combined and integrated our previously developed library-based Growth and Monte Carlo simulation techniques in order to allow for both thorough sampling and free energy measurements of all-atom peptides. The integrated growth and relaxation technique makes use of pre-calculated Boltzmann distributed statistical... | Pre-calculated libraries of molecular fragment configurations have previously been used as a basis for both equilibrium sampling (via " library-based Monte Carlo") and for obtaining absolute free energies using a polymer-growth formalism. Here, we combine the two approaches to extend the size of systems for which free ... | [
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1007.0026 | 1 | A novel dynamical model for the study of operational risk in banks is proposed. The equation of motion takes into account the interactions among different bank's processes, the spontaneous generation of losses via a noise term and the efforts made by the banks to avoid their occurrence. A scheme for the estimation of ... | A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions among different bank's processes, the spontaneous generation of losses via a noise term and the efforts made by the bank ... | [
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1007.2513 | 1 | Site-specific recombination is an important cellular process that yields a variety of knotted and catenated DNA products on supercoiled circular DNA . Twist knots are some of the most common conformations of these products . They are also one of the simplest families of knots and catenanes. Yet, our systematic unders... | Site-specific recombination on supercoiled circular DNA molecules can yield a variety of knots and catenanes . Twist knots are some of the most common conformations of these products and they can act as substrates for further rounds of site-specific recombination . They are also one of the simplest families of knots an... | [
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1007.2668 | 1 | How do living cells achieve sufficient abundances of functional protein complexes while minimizing promiscuous non-functional interactions between their proteins ? Here we study this problem using a first-principle model of the cell whose phenotypic traits are directly determined from its genome through biophysical pro... | How do living cells achieve sufficient abundances of functional protein complexes while minimizing promiscuous non-functional interactions ? Here we study this problem using a first-principle model of the cell whose phenotypic traits are directly determined from its genome through biophysical properties of protein stru... | [
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1007.2968 | 1 | This cautious note aims to point at the potential risks for the financial system caused by various increasingly popular volatility derivatives including variance swaps on futures of equity indices. It investigates the pricing of variance swaps under the 3/2 volatility model. Carr with Itkin and Sun have discussed the ... | This paper investigates the pricing and hedging of variance swaps under a 3/2 volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the num\'{eraire portfolio. The growth optimal portfolio is the num\'{e}raire portfolio ... | [
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1007.4106 | 1 | Vehicular Ad hoc NETworks (VANETs) have emerged as a platform to support intelligent inter-vehicle communication and improve traffic safety and performance. The road-constrained and high mobility of vehicles, their unbounded power source, and the emergence of roadside wireless infrastructures make VANETs a challenging ... | Vehicular Ad hoc NETworks (VANETs) have emerged as a platform to support intelligent inter-vehicle communication and improve traffic safety and performance. The road-constrained , high mobility of vehicles, their unbounded power source, and the emergence of roadside wireless infrastructures make VANETs a challenging re... | [
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1007.5080 | 1 | We present an analytical model that enables a comparison of multiple design options of Opportunistic Spectrum Orthogonal Frequency Division Multiple Access (OS-OFDMA) . The model considers continuous and non-continuous subchannel allocation algorithms, as well as different ways to bond separate non-continuous frequency... | We present an analytical model that enables throughput evaluation of Opportunistic Spectrum Orthogonal Frequency Division Multiple Access (OS-OFDMA) networks. The core feature of the model, based on a discrete time Markov chain, is the consideration of different channel and subchannel allocation strategies under differ... | [
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1007.5376 | 1 | This paper considers an optimal control of a large company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business policies from an available set of control policies with different expected profits and risks, ... | This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business policies from an available set of control policies with different expected profits and... | [
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1008.0237 | 1 | The protein folding is regarded as a quantum transition between torsion states on polypeptide chain. The deduction of the folding rate formula in our previous studies is reviewed. The rate formula is generalized to the case of frequency variation in folding. Then the following problems about the application of the rate... | The protein folding is regarded as a quantum transition between torsion states on polypeptide chain. The deduction of the folding rate formula in our previous studies is reviewed. The rate formula is generalized to the case of frequency variation in folding. Then the following problems about the application of the rate... | [
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1008.0298 | 1 | Ribosome is a molecular machine that polymerizes a protein where the sequence of the amino acid subunits of the protein is dictated by the sequence of codons (triplets of nucleotide subunits) on a messenger RNA (mRNA) that serves as the template. The ribosome is a molecular motor that utilizes the template mRNA strand ... | Ribosome is a molecular machine that polymerizes a protein where the sequence of the amino acid subunits of the protein is dictated by the sequence of codons (triplets of nucleotide subunits) on a messenger RNA (mRNA) that serves as the template. The ribosome is a molecular motor that utilizes the template mRNA strand ... | [
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1008.0298 | 2 | Ribosome is a molecular machine that polymerizes a protein where the sequence of the amino acid subunits of the protein is dictated by the sequence of codons (triplets of nucleotide subunits ) on a messenger RNA (mRNA) that serves as the template. The ribosome is a molecular motor that utilizes the template mRNA stran... | Ribosome is a molecular machine that polymerizes a protein where the sequence of the amino acid residues, the monomers of the protein , is dictated by the sequence of codons (triplets of nucleotides ) on a messenger RNA (mRNA) that serves as the template. The ribosome is a molecular motor that utilizes the template mRN... | [
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1008.0431 | 1 | Posttranslational modification of proteins is key in transmission of signals in cells. Many signaling pathways contain several layers of modification cycles that mediate and change the signal through the pathway. Here, we study a simple signaling cascade consisting of n layers of modification cycles, such that the modi... | Posttranslational modification of proteins is key in transmission of signals in cells. Many signaling pathways contain several layers of modification cycles that mediate and change the signal through the pathway. Here, we study a simple signaling cascade consisting of n layers of modification cycles, such that the modi... | [
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1008.1628 | 1 | A Markovian model is proposed in this paper to study the performance of 1-persistent CSMA / CA protocols, from which we obtain stable regions with respect to the throughput and bounded delay of Geometric Retransmission and Exponential Backoff scheduling algorithms . Our results show that the throughput of Geometric Re... | A Markovian model of 1-persistent CSMA/CA protocols with K-Exponential Backoff scheduling algorithms is proposed in this paper . The input buffer of each access node is modeled as a Geo / G/1 queue, and the service time distribution of each individual head-of-line packet is derived from the Markov chain of underlying s... | [
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1008.1628 | 2 | A Markovian model of 1-persistent CSMA/CA protocols with K-Exponential Backoff scheduling algorithms is proposed in this paper . The input buffer of each access node is modeled as a Geo/G/1 queue, and the service time distribution of each individual head-of-line packet is derived from the Markov chain of underlying sc... | This paper proposes a Markovian model of 1-persistent CSMA/CA protocols with K-Exponential Backoff scheduling algorithms . The input buffer of each access node is modeled as a Geo/G/1 queue, and the service time distribution of each individual head-of-line packet is derived from the Markov chain of the underlying sched... | [
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1008.3276 | 1 | Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), introduced by \mbox{%DIFAUXCMD ras09 markets, a... | Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by Rasonyi for finite-dimen... | [
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1008.3650 | 1 | We study the timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the investor and the market value the options by risk-neutral expectations but under different eq... | We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the investor and the market value the options by risk-neutral expectations but under diffe... | [
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1008.3722 | 1 | In this paper we consider a new class of dynamic pricing principles and recursive utilities. We start with the interpretation of the generator of a backward stochastic differential equation as an infinitesimal pricing rule or an instantaneous utility. With this interpretation the generator has an economic meaning and d... | In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical and well-known framework with linear generators depending on (Y(t),Z(t)) is extended and we investigate linear generators depending on (\frac{1{t}\int_0^tY(s)ds, 1{t}\int_0^tZ(s)ds).... | [
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1008.3722 | 2 | In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical and well-known framework with linear generators depending on (Y(t),Z(t)) is extended and we investigate linear generators depending on (1{t}\int_0^tY(s)ds, 1{t}\int_0^tZ(s)ds). This ... | In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on (Y(t),Z(t)) is extended and we investigate linear generators depending on (1{t}\int_0^tY(s)ds, 1{t}\int_0^tZ(s)ds). We derive explicit s... | [
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1008.4006 | 1 | Understanding protein structure is of crucial importance in science, medicine and biotechnology. For about two decades, knowledge based potentials based on pairwise distances -- so-called `` potentials of mean force '' (PMFs) -- have been at the central stage in the prediction and design of protein structure and the si... | Understanding protein structure is of crucial importance in science, medicine and biotechnology. For about two decades, knowledge based potentials based on pairwise distances -- so-called " potentials of mean force " (PMFs) -- have been center stage in the prediction and design of protein structure and the simulation o... | [
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1008.4597 | 1 | Quantum effects are mainly used for the determination of molecular shapes in molecular biology, but quantum information theory may be a more useful tool to understand the physics of life. Molecular biology assumes that function is explained by structure, the complementary geometries of molecules and weak intermolecular... | Quantum effects are mainly used for the determination of molecular shapes in molecular biology, but quantum information theory may be a more useful tool to understand the physics of life. Organic molecules and quantum circuits/protocols can be considered as hardware and software of living systems that are co-optimized ... | [
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1008.4841 | 1 | In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action whose potential term is an exponential function , i. e. the Liouville Hamiltonian, wh... | In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function . This path integral... | [
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1008.5359 | 1 | We extend the groupoid formalism of coupled cell networks as developed by Golubitsky, Stewart and their collaborators by recasting it in a categorical language . In particular we develop a combinatorial models for the categories of modular continuous time dynamical systems on manifolds . | We develop a new framework for the study of complex continuous time dynamical systems based on viewing them as collections of interacting control modules. This framework is inspired by and builds upon the groupoid formalism of Golubitsky, Stewart and their collaborators . Our approach uses the tools and --- more import... | [
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1008.5373 | 1 | In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first show that a class of matrix optimization problems can be solved as lower dimensional vector optimization problems. As a consequence, we establish that a class of rank minimization probl... | In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first establish that a class of special rank minimization problems has closed-form solutions. Using this result, we then propose penalty decomposition methods for general rank minimization pro... | [
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1009.0870 | 1 | In this paper, we propose a stochastic model to describe how modern search service providers charge client companies based on users' queries for their related "adwords" by using certain advertisement assignment strategies. We formulate an optimization problem to maximize the long-term average revenue for the service pr... | In this paper, we propose a stochastic model to describe how search service providers charge client companies based on users' queries for the keywords related to these companies' ads by using certain advertisement assignment strategies. We formulate an optimization problem to maximize the long-term average revenue for ... | [
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1009.0932 | 1 | We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled jump-diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the volatility terms of the state process. Under appropriate conditions, we show t... | We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the volatility terms of the state process. Under appropriate conditions, we show that t... | [
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1009.2329 | 1 | A tick size is the smallest increment of a security price. Tick size can affect security price in direct and indirect ways. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is th... | A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature o... | [
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1009.2782 | 1 | In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB type equations where the "fast variable" lives in a non-co... | In this paper, we study stochastic volatility models in regimes where the maturity is small , but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB-type equations where the "fast variable" lives in a nonco... | [
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1009.2896 | 1 | Financial leverage can be regarded as an object of choice or a decision. We show how this optics allows perceiving the recently introduced metrics of see-through-leverage, which proved to be very useful in understanding the phenomenology of the recent economic crisis. | The article presents a translation of some widespread financial terminology into the language of decision theory. For instance, financial leverage can be regarded as an object of choice or a decision. We show how the optics of decision theory allows perceiving the recently introduced metrics of see-through-leverage, wh... | [
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1009.3247 | 1 | This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random environment. A weaker sufficient condition than that of \mbox{%DIFAUXCMD \cite... | This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random environment. The goal is to find an optimal control that minimizes the total co... | [
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1009.3479 | 1 | We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate consumption who receive partially unspanned income . The investors can trade continuously on a finite time interval in a m... | In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of heterogeneous exponential utility investors, who receive partially unspanned income ... | [
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1009.3638 | 1 | In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this assumption this procedure of scaling can also be applied to contributions to volatility of the assets in the portfolio. ... | In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this assumption this procedure of scaling can also be applied to contributions to volatility of the assets in the portfolio. ... | [
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1009.3753 | 1 | The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portf... | The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portf... | [
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1009.3760 | 1 | Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market liquidity conditions - o... | Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market liquidity conditions - o... | [
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1009.4211 | 2 | We consider a stochastic volatility model with L\'evy jumps for a log-return process Z=(Z_{t})_{t\geq 0} of the form Z=U+X, where U=(U_{t})_{t\geq 0} is a classical stochastic volatility process and X=(X_{t})_{t\geq 0} is an independent L\'evy process with absolutely continuous L\'evy measure \nu. Small-time expansions... | We consider a stochastic volatility model with L\'evy jumps for a log-return process Z=(Z_{t})_{t\geq 0} of the form Z=U+X, where U=(U_{t})_{t\geq 0} is a classical stochastic volatility process and X=(X_{t})_{t\geq 0} is an independent L\'evy process with absolutely continuous L\'evy measure \nu. Small-time expansions... | [
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1009.4330 | 1 | We present an implementation of a general purpose GPU-Molecular Dynamics code named LAMMPScuda which is based on LAMMPS. It exhibits excellent scaling behavior, allowing for the efficient usage of hundreds of GPUs for a single simulation . At the same time each GPU provides the equivalent performance of approximately 5... | We present a GPU implementation of LAMMPS, a widely-used parallel molecular dynamics (MD) software package, and show 5x to 13x single node speedups versus the CPU-only version of LAMMPS. This new CUDA package for LAMMPS also enables multi-GPU simulation on hybrid heterogeneous clusters, using MPI for inter-node communi... | [
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1009.5800 | 1 | Based on the temporal distributions of clustered segments in the time series of the ten Dow Jones US (DJUS) economic sector indices, we calculated their cross correlations over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11 corresponding segments wit... | We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11 segments within the present financial crisis , to construct minimal spanning trees ... | [
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1010.0041 | 1 | We present an analytical framework which enables performance evaluation of different multi-channel multi-stage spectrum sensing protocols for Opportunistic Spectrum Access networks. Analyzed performance metrics include the average secondary user throughput and the average collision probability between the primary and ... | We present an analytical framework which enables performance evaluation of different multi-channel multi-stage spectrum sensing algorithms for Opportunistic Spectrum Access networks. The analytical framework models the following: number of sensing stages, physical layer sensing techniques, single and parallel channel a... | [
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1010.0041 | 2 | We present an analytical framework which enables performance evaluation of different multi-channel multi-stage spectrum sensing algorithms for Opportunistic Spectrum Access networks. The analytical framework models the following : number of sensing stages, physical layer sensing techniques , single and parallel channe... | Multi-stage sensing is a novel concept that refers to a general class of spectrum sensing algorithms that divide the sensing process into a number of sequential stages. The number of sensing stages and the sensing technique per stage can be used to optimize performance with respect to secondary user throughput and the ... | [
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1010.0090 | 1 | Options that allow the holder to extend the maturity by paying an additional fixed amount found many applications in finance. Closed-form solution for these options first appeared in Longstaff (1990) for the case when underlying asset follows a geometric Brownian motion with the constant interest rate and volatility.... | Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the literature for the case when the contract underlying asset follows a geometric Brownia... | [
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1010.0208 | 1 | A step by step procedure to derive analytically the exact steady state probability density function of well known kinetic wealth exchange economic models is shown. This gives as a result an integro-differential equation, which can be solved analytically in some cases and numerically in others. This technique should pro... | A step by step procedure to derive analytically the exact dynamical evolution equations of the probability density functions (PDF) of well known kinetic wealth exchange economic models is shown. This technique gives a dynamical insight into the evolution of the PDF, e.g., allowing the calculation of its relaxation time... | [
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1010.1961 | 1 | In a continuous-path semimartingale market model , we perform an initial enlargement of the filtration by including the overall minimum of the numeraire portfolio. We establish that all discounted asset-price processes, when stopped at the time of the overall minimum of the numeraire portfolio, become local martingale... | A continuous-path semimartingale market model with wealth processes discounted by a riskless asset is considered. The numeraire portfolio is the unique strictly positive wealth process that, when used as a benchmark to denominate all other wealth, makes all wealth processes local martingales. It is assumed that the num... | [
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1010.2061 | 1 | Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming Brownian market self-similarity, the market return memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior and a long-time tail similar to the empirical observations . | Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior with a long-time tail , similar to empirical observations. Indivi... | [
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1010.2199 | 1 | Cells sense external signal constantly, process it, and make its life-determining decision by using the embedded signal processing facilities. All of those events take place within an individual cell and thus should be studied at the level of single cells. Technical advances in live cell imaging make it possible to obs... | This paper has been withdrawn by the author . | [
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1010.2865 | 1 | This paper considers asset price dynamics of which discounted return is modeled by a multi-dimensional affine diffusion process . By analyzing the Riccati system, which is associated with the affine process via the transform formula, we fully characterize the regions of exponents in which asset price moments do not exp... | This paper considers multi-dimensional affine processes with continuous sample paths . By analyzing the Riccati system, which is associated with the affine process via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or expl... | [
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1010.2865 | 2 | This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with the affine process via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explo... | This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with the affine process via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explo... | [
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1010.2981 | 1 | I apply the method of planar diagrammatic expansion to solve the problem of finding the mean spectral density of the non-Hermitian time-lagged covariance estimator for a system of i.i.d. Gaussian random variables . I confirm the result in a much simpler way using a recent conjecture about non-Hermitian random matrix ... | I apply the method of planar diagrammatic expansion - introduced in a self-consistent way - to solve the problem of finding the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cross-covariance estimators, for systems of Gaussian random variables with various underlying covariance functio... | [
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1010.2981 | 2 | I apply the method of planar diagrammatic expansion - introduced in a self-consistent way - to solve the problem of finding the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cross-covariance estimators, for systems of Gaussian random variables with various underlying covariance functio... | The random matrix theory method of planar Gaussian diagrammatic expansion is applied to find the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cross-covariance estimators, firstly in the form of master equations for the most general multivariate Gaussian system, secondly for seven part... | [
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1010.3763 | 1 | We show that the notion of induction introduced by Cassaigne, Ferenczi and Zamboni for trees of relations arising in the context of interval exchange relations can be generalised to the case of an arbitrary number of possible edge labels. We prove that the equivalence classes of its transitive closure can still be char... | We develop and study the structure of combinatorial objects arising from interval exchange transformations. We classify and enumerate these objects and further show that a natural subset of these objects is in natural bijection with a set of m-clusters (in the cluster algebra sense). | [
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1010.3763 | 2 | We develop and study the structure of combinatorial objects arising from interval exchange transformations . We classify and enumerate these objects and further show that a natural subset of these objects is in natural bijection with a set of m-clusters (in the cluster algebra sense) . | We develop and study the structure of combinatorial objects that are a special case of RNA secondary structures. These are generalisations of objects arising from interval exchange transformations generalising those in the Sturmian context. We represent them as labelled edge-coloured trees. We classify and enumerate th... | [
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1010.3763 | 4 | We develop and study the structure of combinatorial objects that are a special case of RNA secondary structures. These are generalizations of objects arising from interval exchange transformations in work of J. Cassaigne, S. Ferenczi and L. Q. Zamboni. We represent them as labelled edge-coloured trees. We classify and ... | We study a circular order on labelled, m-edge-coloured trees with k vertices, and show that the set of such trees with a fixed circular order is in bijection with the set of RNA m-diagrams of degree k, combinatorial objects which can be regarded as RNA secondary structures of a certain kind. We enumerate these sets and... | [
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1010.4216 | 1 | We have performed Molecular Dynamics simulations of ectoine, hydroxyectoine and urea in explicit solvent. Special attention has been spent on the characteristics of the local ordering of water molecules around these compatible solutes . Our results indicate that ectoine and hydroxyectoine are able to bind more water mo... | We have performed Molecular Dynamics simulations of ectoine, hydroxyectoine and urea in explicit solvent. Special attention has been spent on the local surrounding structure of water molecules . Our results indicate that ectoine and hydroxyectoine are able to accumulate more water molecules than urea by a pronounced or... | [
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1010.4322 | 1 | In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the stopping time \tau. The stability result , in particular, implies that in the framework... | In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the stopping time \tau. As a corollary, the stability result implies that in the framework ... | [
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1010.4384 | 1 | We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master equation" for the dynamics of t... | We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price process is driven by Brownian motion, an associated "master equation" for the dynam... | [
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1010.4735 | 1 | Nested sampling is a technique developed to explore probability distributions localised in an exponentially small area of the parameter space. The algorithm provides both posterior samples and an estimate of the evidence (marginal likelihood) of the model. Previous applications of the algorithm have yielded large effic... | Nested sampling is a technique developed to explore probability distributions localised in an exponentially small area of the parameter space. The algorithm provides both posterior samples and an estimate of the evidence (marginal likelihood) of the model. Previous applications of the algorithm have yielded large effic... | [
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1010.4920 | 1 | We study the problem of channel pairing and power allocation in a multi-channel , multi-hop relay network to enhance the end-to-end data rate. OFDM-based relays are used as an illustrative example, and the amplify-and-forward and decode-and-forward relaying strategies are considered. Given fixed power allocation to the... | We study the problem of channel pairing and power allocation in a multi-channel multi-hop relay network to enhance the end-to-end data rate. Both amplify-and-forward and decode-and-forward relaying strategies are considered. Given fixed power allocation to the channels, we show that channel pairing over multiple hops c... | [
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1010.4920 | 2 | We study the problem of channel pairing and power allocation in a multi-channel multi-hop relay network to enhance the end-to-end data rate. Both amplify-and-forward and decode-and-forward relaying strategies are considered. Given fixed power allocation to the channels, we show that channel pairing over multiple hops... | We study the problem of channel pairing and power allocation in a multichannel multihop relay network to enhance the end-to-end data rate. Both amplify-and-forward (AF) and decode-and-forward (DF) relaying strategies are considered. Given fixed power allocation to the channels, we show that channel pairing over multipl... | [
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1010.5154 | 1 | Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a result, appearance of economic crisis is determined by two points; that is, (a). Stock mar... | Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a perfectly competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a result, appearance of economic crisis is determined by two points; that is, (a). ... | [
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1010.5808 | 1 | The paper is concerned with the problem of existence of solutions for the Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and sufficient conditions for the existence of semigroup solutions and strong solutions are provided. It is shown that the key role is played by the logarithmic growth cond... | The paper is concerned with the problem of existence of solutions for the Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and sufficient conditions for the existence of weak solutions and strong solutions are provided. It is shown that the key role is played by the logarithmic growth condition... | [
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1011.0765 | 1 | Numerous experiments demonstrate a high level of promiscuity and structural disorder URLanismal proteomes. Here we ask the question what makes a protein promiscuous and structurally disordered. We predict that multi-scale correlations of amino acid positions within protein sequences statistically enhance the propensit... | Numerous experiments demonstrate a high level of promiscuity and structural disorder URLanismal proteomes. Here we ask the question what makes a protein promiscuous , i.e., prone to non-specific interactions, and structurally disordered. We predict that multi-scale correlations of amino acid positions within protein se... | [
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1011.1234 | 1 | The mathematical problem of the static storage optimization is formulated and solved by means of a variational analysis. The solution obtained in implicit form is shedding light on the most important features of the optimal exercise strategy. We show how the solution depends on different constraint types including carr... | The mathematical problem of the static storage optimisation is formulated and solved by means of a variational analysis. The solution obtained in implicit form is shedding light on the most important features of the optimal exercise strategy. We show how the solution depends on different constraint types including carr... | [
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1011.2313 | 1 | Information about primary user (PU) location is crucial in enabling several key capabilities in dynamic spectrum access networks, including improved spatio-temporal sensing, intelligent location-aware routing, as well as aiding spectrum policy enforcement. Compared to other proposed non-interactive localization algorit... | Information about primary transmitter location is crucial in enabling several key capabilities in dynamic spectrum access networks, including improved spatio-temporal sensing, intelligent location-aware routing, as well as aiding spectrum policy enforcement. Compared to other proposed non-interactive localization algor... | [
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1011.2313 | 2 | Information about primary transmitter location is crucial in enabling several key capabilities in dynamic spectrum access networks, including improved spatio-temporal sensing, intelligent location-aware routing, as well as aiding spectrum policy enforcement. Compared to other proposed non-interactive localization algor... | Information about primary transmitter location is crucial in enabling several key capabilities in cognitive radio networks, including improved spatio-temporal sensing, intelligent location-aware routing, as well as aiding spectrum policy enforcement. Compared to other proposed non-interactive localization algorithms, t... | [
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{
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1011.2827 | 1 | This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery . We demonstrate how the uncertainty can be quantified using the full posterior distribution of model parameters obtained from... | It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk factor can be estimated using Bayesian inference methodology and Markov chain Mont... | [
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195,
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1011.3181 | 1 | A comparative classification scheme provides a good basis for several approaches to understand proteins, including prediction of relations between their structure and biological function. However, it remains a challenge to combine a classification scheme that describes a protein starting from its secondary structures ... | A comparative classification scheme provides a good basis for several approaches to understand proteins, including prediction of relations between their structure and biological function. But it remains a challenge to combine a classification scheme that describes a protein starting from its URLanized secondary structu... | [
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1011.3685 | 1 | This paper studies multidimensional dynamic risk measure induced by conditional g-expectation . A notion of multidimensional g-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and viabili... | This paper deals with multidimensional dynamic risk measures induced by conditional g-expectations . A notion of multidimensional g-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and vi... | [
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