Numerical analysis of lognormal diffusions on the sphere

Numerical solutions of stationary diffusion equations on the unit sphere with isotropic lognormal diffusion coefficients are considered. H\"older regularity in $L^p$ sense for isotropic Gaussian random fields is obtained and related to the regularity of the driving lognormal coefficients. This yields regularity in $L^p$ sense of the solution to the diffusion problem in Sobolev spaces. Convergence rate estimates of multilevel Monte Carlo Finite and Spectral Element discretizations of these problems are then deduced. Specifically, a convergence analysis is provided with convergence rate estimates in terms of the number of Monte Carlo samples of the solution to the considered diffusion equation and in terms of the total number of degrees of freedom of the spatial discretization, and with bounds for the total work required by the algorithm in the case of Finite Element discretizations. The obtained convergence rates are solely in terms of the decay of the angular power spectrum of the (logarithm) of the diffusion coefficient. Numerical examples confirm the presented theory.Comment: 35 pages, 1 figure; rewritten Sections 2 and 3, added numerical experiment

Common Correlation and Calibrating the Lognormal Forward Rate Model

1997 three papers that introduced very similar lognormal diffusion processes for interest rates appeared virtuously simultaneously. These models, now commonly called the 'LIBOR models' are based on either lognormal diffusions of forward rates as in Brace, Gatarek & Musiela (1997) and Miltersen, Sandermann & Sondermann (1997) or lognormal diffusions of swap rates, as in Jamshidian (1997). The consequent research interest in the calibration of the LIBOR models has engendered a growing empirical literature, including many papers by Brigo and Mercurio, and Riccardo Rebonato (www.fabiomercurio.it and www.damianobrigo.it and www.rebonato.com). The art of model calibration requires a reasonable knowledge of option pricing and a thorough background in statistics - techniques that are quite different to those required to design no-arbitrage pricing models. Researchers will find the book by Brigo and Mercurio (2001) and the forthcoming book by Rebonato (2002) invaluable aids to their understanding.

Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management

Many derivatives prices and their Greeks are closed-form expressions in the Black-Scholes model; when the terminal distribution is a mixed lognormal, prices and Greeks for these derivatives are then a weighted average of these closed-form) expressions. They can therefore be calculated easily and efficiently for mixed lognormal distributions. This paper constructs mixed lognormal distributions that approximate the terminal distribution in the Merton model (Black-Scholes model with jumps) and in stochastic volatility models. Main applications are the pricing of large portfolio positions and their risk-managementmixed lognormal distribution, jump-diffusion, stochastic volatility, Greeks, risk-management

Do Lognormal Column-Density Distributions in Molecular Clouds Imply Supersonic Turbulence?

Recent observations of column densities in molecular clouds find lognormal distributions with power-law high-density tails. These results are often interpreted as indications that supersonic turbulence dominates the dynamics of the observed clouds. We calculate and present the column-density distributions of three clouds, modeled with very different techniques, none of which is dominated by supersonic turbulence. The first star-forming cloud is simulated using smoothed particle hydrodynamics (SPH); in this case gravity, opposed only by thermal-pressure forces, drives the evolution. The second cloud is magnetically subcritical with subsonic turbulence, simulated using nonideal MHD; in this case the evolution is due to gravitationally-driven ambipolar diffusion. The third cloud is isothermal, self-gravitating, and has a smooth density distribution analytically approximated with a uniform inner region and an r^-2 profile at larger radii. We show that in all three cases the column-density distributions are lognormal. Power-law tails develop only at late times (or, in the case of the smooth analytic profile, for strongly centrally concentrated configurations), when gravity dominates all opposing forces. It therefore follows that lognormal column-density distributions are generic features of diverse model clouds, and should not be interpreted as being a consequence of supersonic turbulence.Comment: 6 pages, 6 figures, accepted for publication in MNRA

Deep Learning How to Fit an Intravoxel Incoherent Motion Model to Diffusion-Weighted MRI

Purpose: This prospective clinical study assesses the feasibility of training a deep neural network (DNN) for intravoxel incoherent motion (IVIM) model fitting to diffusion-weighted magnetic resonance imaging (DW-MRI) data and evaluates its performance. Methods: In May 2011, ten male volunteers (age range: 29 to 53 years, mean: 37 years) underwent DW-MRI of the upper abdomen on 1.5T and 3.0T magnetic resonance scanners. Regions of interest in the left and right liver lobe, pancreas, spleen, renal cortex, and renal medulla were delineated independently by two readers. DNNs were trained for IVIM model fitting using these data; results were compared to least-squares and Bayesian approaches to IVIM fitting. Intraclass Correlation Coefficients (ICC) were used to assess consistency of measurements between readers. Intersubject variability was evaluated using Coefficients of Variation (CV). The fitting error was calculated based on simulated data and the average fitting time of each method was recorded. Results: DNNs were trained successfully for IVIM parameter estimation. This approach was associated with high consistency between the two readers (ICCs between 50 and 97%), low intersubject variability of estimated parameter values (CVs between 9.2 and 28.4), and the lowest error when compared with least-squares and Bayesian approaches. Fitting by DNNs was several orders of magnitude quicker than the other methods but the networks may need to be re-trained for different acquisition protocols or imaged anatomical regions. Conclusion: DNNs are recommended for accurate and robust IVIM model fitting to DW-MRI data. Suitable software is available at (1)