A spectral-based numerical method for Kolmogorov equations in Hilbert spaces

We propose a numerical solution for the solution of the Fokker-Planck-Kolmogorov (FPK) equations associated with stochastic partial differential equations in Hilbert spaces. The method is based on the spectral decomposition of the Ornstein-Uhlenbeck semigroup associated to the Kolmogorov equation. This allows us to write the solution of the Kolmogorov equation as a deterministic version of the Wiener-Chaos Expansion. By using this expansion we reformulate the Kolmogorov equation as a infinite system of ordinary differential equations, and by truncation it we set a linear finite system of differential equations. The solution of such system allow us to build an approximation to the solution of the Kolmogorov equations. We test the numerical method with the Kolmogorov equations associated with a stochastic diffusion equation, a Fisher-KPP stochastic equation and a stochastic Burgers Eq. in dimension 1.Comment: 28 pages, 10 figure

Stability of real parametric polynomial discrete dynamical systems

We extend and improve the existing characterization of the dynamics of general quadratic real polynomial maps with coefficients that depend on a single parameter $\lambda$, and generalize this characterization to cubic real polynomial maps, in a consistent theory that is further generalized to real $m$-th degree real polynomial maps. In essence, we give conditions for the stability of the fixed points of any real polynomial map with real fixed points. In order to do this, we have introduced the concept of Canonical Polynomial Maps which are topologically conjugate to any polynomial map of the same degree with real fixed points. The stability of the fixed points of canonical polynomial maps has been found to depend solely on a special function termed Product Position Function for a given fixed point. The values of this product position determine the stability of the fixed point in question, when it bifurcates, and even when chaos arises, as it passes through what we have termed stability bands. The exact boundary values of these stability bands are yet to be calculated for regions of type greater than one for polynomials of degree higher than three.Comment: 23 pages, 4 figures, now published in Discrete Dynamics in Nature and Societ

Local induction and provably total computable functions

Let I¦− 2 denote the fragment of Peano Arithmetic obtained by restricting the induction scheme to parameter free ¦2 formulas. Answering a question of R. Kaye, L. Beklemishev showed that the provably total computable functions of I¦− 2 are, precisely, the primitive recursive ones. In this work we give a new proof of this fact through an analysis of certain local variants of induction principles closely related to I¦− 2 . In this way, we obtain a more direct answer to Kaye’s question, avoiding the metamathematical machinery (reflection principles, provability logic,...) needed for Beklemishev’s original proof. Our methods are model–theoretic and allow for a general study of I¦− n+1 for all n ¸ 0. In particular, we derive a new conservation result for these theories, namely that I¦− n+1 is ¦n+2–conservative over I§n for each n ¸ 1.Ministerio de Ciencia e Innovación MTM2008–06435Ministerio de Ciencia e Innovación MTM2011–2684

Local Induction and Provably Total Computable Functions: A Case Study

Let IΠ−2 denote the fragment of Peano Arithmetic obtained by restricting the induction scheme to parameter free Π2 formulas. Answering a question of R. Kaye, L. Beklemishev showed that the provably total computable functions (p.t.c.f.) of IΠ−2 are, precisely, the primitive recursive ones. In this work we give a new proof of this fact through an analysis of the p.t.c.f. of certain local versions of induction principles closely related to IΠ−2 . This analysis is essentially based on the equivalence between local induction rules and restricted forms of iteration. In this way, we obtain a more direct answer to Kaye’s question, avoiding the metamathematical machinery (reflection principles, provability logic,...) needed for Beklemishev’s original proof.Ministerio de Ciencia e Innovación MTM2008–0643

Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector

This paper performs market and funding liquidity stress testing of the Luxembourg banking sector using stochastic haircuts and run-off rates. It takes into account not only the shocks to the banking sector and banks? responses to them, but second-round effects due to the effects of banks? reactions on asset prices and reputation. In general, banks? business lines and, therefore their buffers? composition, determine the net effect of the shocks on banks? stochastic liquidity buffers. So, results differ across banks. Second-round effects exemplify the relevance of contagion effects that reduce the systemic benefits of diversification. While systemic liquidity risk is low following a shock to the interbank market, for Luxembourg, with its high number of subsidiaries of large foreign financial institutions, the results indicate the importance of monitoring the liquidity of parent groups to which Luxembourg institutions belong. In particular, shocks to related-party deposits are important. Finally, the results, including those of a run-on-deposits shock, show the relevance of system-wide measures to minimize the systemic effects of liquidity crises.stress test, liquidity risk, banks, stochastic, contagion, macro-prudential

Gravitational perturbations of the Higgs field

We study the possible effects of classical gravitational backgrounds on the Higgs field through the modifications induced in the one-loop effective potential and the vacuum expectation value of the energy-momentum tensor. We concentrate our study on the Higgs self-interaction contribution in a perturbed FRW metric. For weak and slowly varying gravitational fields, a complete set of mode solutions for the Klein-Gordon equation is obtained to leading order in the adiabatic approximation. Dimensional regularization has been used in the integral evaluation and a detailed study of the integration of nonrational functions in this formalism has been presented. As expected, the regularized effective potential contains the same divergences as in flat spacetime, which can be renormalized without the need of additional counterterms. We find that, in contrast with other regularization methods, even though metric perturbations affect the mode solutions, they do not contribute to the leading adiabatic order of the potential. We also obtain explicit expressions of the complete energy-momentum tensor for general nonminimal coupling in terms of the perturbed modes. The corresponding leading adiabatic contributions are also obtained.Comment: 15 pages. Version accepted for publication in PRD. Error corrected in the angular integration in Appendix B. Conclusions changed. New section include