Meanders and the Temperley-Lieb algebra

The statistics of meanders is studied in connection with the Temperley-Lieb algebra. Each (multi-component) meander corresponds to a pair of reduced elements of the algebra. The assignment of a weight $q$ per connected component of meander translates into a bilinear form on the algebra, with a Gram matrix encoding the fine structure of meander numbers. Here, we calculate the associated Gram determinant as a function of $q$, and make use of the orthogonalization process to derive alternative expressions for meander numbers as sums over correlated random walks.Comment: 85p, uuencoded, uses harvmac (l mode) and epsf, 88 figure

Modelling stochastic bivariate mortality

Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk. This paper represents a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach. On the theoretical side, we extend to couples the Cox processes set up, i.e. the idea that mortality is driven by a jump process whose intensity is itself a stochastic process, proper of a particular generation within each gender. Dependence between the survival times of the members of a couple is captured by an Archimedean copula. On the calibration side, we fit the joint survival function by calibrating separately the (analytical) copula and the (analytical) margins. First, we select the best fit copula according to the methodology of Wang and Wells (2000) for censored data. Then, we provide a sample-based calibration for the intensity, using a time-homogeneous, non mean-reverting, affine process: this gives the analytical marginal survival functions. Coupling the best fit copula with the calibrated margins we obtain, on a sample generation, a joint survival function which incorporates the stochastic nature of mortality improvements and is far from representing independency.On the contrary, since the best fit copula turns out to be a Nelsen one, dependency is increasing with age and long-term dependence exists

Hamiltonian dynamics of the two-dimensional lattice phi^4 model

The Hamiltonian dynamics of the classical $\phi^4$ model on a two-dimensional square lattice is investigated by means of numerical simulations. The macroscopic observables are computed as time averages. The results clearly reveal the presence of the continuous phase transition at a finite energy density and are consistent both qualitatively and quantitatively with the predictions of equilibrium statistical mechanics. The Hamiltonian microscopic dynamics also exhibits critical slowing down close to the transition. Moreover, the relationship between chaos and the phase transition is considered, and interpreted in the light of a geometrization of dynamics.Comment: REVTeX, 24 pages with 20 PostScript figure

Modal Ω-Logic: Automata, Neo-Logicism, and Set-Theoretic Realism

This essay examines the philosophical significance of $\Omega$-logic in Zermelo-Fraenkel set theory with choice (ZFC). The duality between coalgebra and algebra permits Boolean-valued algebraic models of ZFC to be interpreted as coalgebras. The modal profile of $\Omega$-logical validity can then be countenanced within a coalgebraic logic, and $\Omega$-logical validity can be defined via deterministic automata. I argue that the philosophical significance of the foregoing is two-fold. First, because the epistemic and modal profiles of $\Omega$-logical validity correspond to those of second-order logical consequence, $\Omega$-logical validity is genuinely logical, and thus vindicates a neo-logicist conception of mathematical truth in the set-theoretic multiverse. Second, the foregoing provides a modal-computational account of the interpretation of mathematical vocabulary, adducing in favor of a realist conception of the cumulative hierarchy of sets

Adsorption Isotherms of Hydrogen: The Role of Thermal Fluctuations

It is shown that experimentally obtained isotherms of adsorption on solid substrates may be completely reconciled with Lifshitz theory when thermal fluctuations are taken into account. This is achieved within the framework of a solid-on-solid model which is solved numerically. Analysis of the fluctuation contributions observed for hydrogen adsorption onto gold substrates allows to determine the surface tension of the free hydrogen film as a function of film thickness. It is found to decrease sharply for film thicknesses below seven atomic layers.Comment: RevTeX manuscript (3 pages output), 3 figure

A joint scoring model for peer-to-peer and traditional lending:A bivariate model with copula dependence

We analyse the dependence between defaults in peer-to-peer lending and credit bureaus. To achieve this, we propose a new flexible bivariate regression model that is suitable for binary imbalanced samples. We use different copula functions to model the dependence structure between defaults in the two credit markets. We implement the model in the R package BivGEV and we explore the empirical properties of the proposed fitting procedure by a Monte Carlo study. The application of this proposal to a comprehensive data set provided by Lending Club shows a significant level of dependence between the defaults in peer-to-peer and credit bureaus. Finally, we find that our model outperforms the bivariate probit and univariate logit models in predicting peer-to-peer default, in estimating the value at risk and the expected shortfall

BGWM as Second Constituent of Complex Matrix Model

Earlier we explained that partition functions of various matrix models can be constructed from that of the cubic Kontsevich model, which, therefore, becomes a basic elementary building block in "M-theory" of matrix models. However, the less topical complex matrix model appeared to be an exception: its decomposition involved not only the Kontsevich tau-function but also another constituent, which we now identify as the Brezin-Gross-Witten (BGW) partition function. The BGW tau-function can be represented either as a generating function of all unitary-matrix integrals or as a Kontsevich-Penner model with potential 1/X (instead of X^3 in the cubic Kontsevich model).Comment: 42 page

Matrix Model Conjecture for Exact BS Periods and Nekrasov Functions

We give a concise summary of the impressive recent development unifying a number of different fundamental subjects. The quiver Nekrasov functions (generalized hypergeometric series) form a full basis for all conformal blocks of the Virasoro algebra and are sufficient to provide the same for some (special) conformal blocks of W-algebras. They can be described in terms of Seiberg-Witten theory, with the SW differential given by the 1-point resolvent in the DV phase of the quiver (discrete or conformal) matrix model (\beta-ensemble), dS = ydz + O(\epsilon^2) = \sum_p \epsilon^{2p} \rho_\beta^{(p|1)}(z), where \epsilon and \beta are related to the LNS parameters \epsilon_1 and \epsilon_2. This provides explicit formulas for conformal blocks in terms of analytically continued contour integrals and resolves the old puzzle of the free-field description of generic conformal blocks through the Dotsenko-Fateev integrals. Most important, this completes the GKMMM description of SW theory in terms of integrability theory with the help of exact BS integrals, and provides an extended manifestation of the basic principle which states that the effective actions are the tau-functions of integrable hierarchies.Comment: 14 page