2,055 research outputs found
A new moment matching algorithm for sampling from partially specified symmetric distributions
A new algorithm is proposed for generating scenarios from a partially specified symmetric multivariate distribution. The algorithm generates samples which match the first two moments exactly and match the marginal fourth moments approximately, using a semidefinite programming procedure. The performance of the
algorithm is illustrated by a numerical example
A new algorithm for latent state estimation in nonlinear time series models
We consider the problem of optimal state estimation for a wide class of nonlinear time series models. A modified sigma point filter is proposed, which uses a new procedure for generating sigma points. Unlike the existing sigma point generation methodologies in
engineering where negative probability weights may occur, we develop an algorithm capable of generating sample points that always form a valid probability distribution while still allowing
the user to sample using a random number generator. The effectiveness of the new filtering procedure is assessed through simulation examples
A linear algebraic method for pricing temporary life annuities and insurance policies
We recast the valuation of annuities and life insurance contracts under mortality and interest rates, both of which are stochastic, as a problem of solving a system of linear equations with random perturbations. A sequence of uniform approximations is developed which allows for fast and accurate computation of expected values. Our reformulation of the valuation problem provides a general framework which can be employed to find insurance premiums and annuity values covering a wide class of stochastic models for mortality and interest rate processes. The proposed approach provides a computationally efficient alternative to Monte Carlo based valuation in pricing mortality-linked contingent claims
A Construction of Solutions to Reflection Equations for Interaction-Round-a-Face Models
We present a procedure in which known solutions to reflection equations for
interaction-round-a-face lattice models are used to construct new solutions.
The procedure is particularly well-suited to models which have a known fusion
hierarchy and which are based on graphs containing a node of valency . Among
such models are the Andrews-Baxter-Forrester models, for which we construct
reflection equation solutions for fixed and free boundary conditions.Comment: 9 pages, LaTe
The Multicomponent KP Hierarchy: Differential Fay Identities and Lax Equations
In this article, we show that four sets of differential Fay identities of an
-component KP hierarchy derived from the bilinear relation satisfied by the
tau function of the hierarchy are sufficient to derive the auxiliary linear
equations for the wave functions. From this, we derive the Lax representation
for the -component KP hierarchy, which are equations satisfied by some
pseudodifferential operators with matrix coefficients. Besides the Lax
equations with respect to the time variables proposed in \cite{2}, we also
obtain a set of equations relating different charge sectors, which can be
considered as a generalization of the modified KP hierarchy proposed in
\cite{3}.Comment: 19 page
Dual Resonance Model Solves the Yang-Baxter Equation
The duality of dual resonance models is shown to imply that the four point
string correlation function solves the Yang-Baxter equation. A reduction of
transfer matrices to symmetry is described by a restriction of the KP
function to Toda molecules.Comment: 10 pages, LaTe
Why the general Zakharov-Shabat equations form a hierarchy?
The totality of all Zakharov-Shabat equations (ZS), i.e., zero-curvature
equations with rational dependence on a spectral parameter, if properly
defined, can be considered as a hierarchy. The latter means a collection of
commuting vector fields in the same phase space. Further properties of the
hierarchy are discussed, such as additional symmetries, an analogue to the
string equation, a Grassmannian related to the ZS hierarchy, and a Grassmannian
definition of soliton solutions.Comment: 13p
Elliptic Deformed Superalgebra
We introduce the elliptic superalgebra as one
parameter deformation of the quantum superalgebra . For an
arbitrary level we give the bosonization of the elliptic
superalgebra and the screening currents that commute
with modulo total difference.Comment: LaTEX, 25 page
A survey of Hirota's difference equations
A review of selected topics in Hirota's bilinear difference equation (HBDE)
is given. This famous 3-dimensional difference equation is known to provide a
canonical integrable discretization for most important types of soliton
equations. Similarly to the continuous theory, HBDE is a member of an infinite
hierarchy. The central point of our exposition is a discrete version of the
zero curvature condition explicitly written in the form of discrete
Zakharov-Shabat equations for M-operators realized as difference or
pseudo-difference operators. A unified approach to various types of M-operators
and zero curvature representations is suggested. Different reductions of HBDE
to 2-dimensional equations are considered. Among them discrete counterparts of
the KdV, sine-Gordon, Toda chain, relativistic Toda chain and other typical
examples are discussed in detail.Comment: LaTeX, 43 pages, LaTeX figures (with emlines2.sty
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