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

The Multicomponent KP Hierarchy: Differential Fay Identities and Lax Equations

In this article, we show that four sets of differential Fay identities of an $N$-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 $N$-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 $A_l$ symmetry is described by a restriction of the KP $\tau$ 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 uq,p(sl^(M∣N))u_{q,p}(\hat{{sl}}(M|N))

We introduce the elliptic superalgebra $U_{q,p}(\hat{sl}(M|N))$ as one parameter deformation of the quantum superalgebra $U_q(\hat{sl}(M|N))$. For an arbitrary level $k \neq 1$ we give the bosonization of the elliptic superalgebra $U_{q,p}(\hat{sl}(1|2))$ and the screening currents that commute with $U_{q,p}(\hat{sl}(1|2))$ modulo total difference.Comment: LaTEX, 25 page