Dissipative time-dependent quantum transport theory: quantum interference and phonon induced decoherence dynamics

A time-dependent inelastic electron transport theory for strong electron-phonon interaction is established via the equations of motion method combined with the small polaron transformation. In this work, the dissipation via electron-phonon coupling is taken into account in the strong coupling regime, which validates the small polaron transformation. The corresponding equations of motion are developed, which are used to study the quantum interference effect and phonon-induced decoherence dynamics in molecular junctions. Numerical studies show clearly quantum interference effect of the transport electrons through two quasi-degenerate states with different coupling to the leads. We also found that the quantum interference can be suppressed by the electron-phonon interaction where the phase coherence is destroyed by phonon scattering. This indicates the importance of electron-phonon interaction in systems with prominent quantum interference effect

Spectral Analysis and the Dynamic Response of Complex Networks

The eigenvalues and eigenvectors of the connectivity matrix of complex networks contain information about its topology and its collective behavior. In particular, the spectral density $\rho(\lambda)$ of this matrix reveals important network characteristics: random networks follow Wigner's semicircular law whereas scale-free networks exhibit a triangular distribution. In this paper we show that the spectral density of hierarchical networks follow a very different pattern, which can be used as a fingerprint of modularity. Of particular importance is the value $\rho(0)$, related to the homeostatic response of the network: it is maximum for random and scale free networks but very small for hierarchical modular networks. It is also large for an actual biological protein-protein interaction network, demonstrating that the current leading model for such networks is not adequate.Comment: 4 pages 14 figure

A class of nonzero-sum investment and reinsurance games subject to systematic risks

© 2016 Informa UK Limited, trading as Taylor & Francis Group. Recently, there have been numerous insightful applications of zero-sum stochastic differential games in insurance, as discussed in Liu et al. [Liu, J., Yiu, C. K.-F. & Siu, T. K. (2014). Optimal investment of an insurer with regime-switching and risk constraint. Scandinavian Actuarial Journal 2014(7), 583–601]. While there could be some practical situations under which nonzero-sum game approach is more appropriate, the development of such approach within actuarial contexts remains rare in the existing literature. In this article, we study a class of nonzero-sum reinsurance-investment stochastic differential games between two competitive insurers subject to systematic risks described by a general compound Poisson risk model. Each insurer can purchase the excess-of-loss reinsurance to mitigate both systematic and idiosyncratic jump risks of the inter-arrival claims; and can invest in one risk-free asset and one risky asset whose price dynamics follows the famous Heston stochastic volatility model [Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies6, 327–343]. The main objective of each insurer is to maximize the expected utility of his terminal surplus relative to that of his competitor. Dynamic programming principle for this class of nonzero-sum game problems leads to a non-canonical fixed-point problem of coupled non-linear integral-typed equations. Despite the complex structure, we establish the unique existence of the Nash equilibrium reinsurance-investment strategies and the corresponding value functions of the insurers in a representative example of the constant absolute risk aversion insurers under a mild, time-independent condition. Furthermore, Nash equilibrium strategies and value functions admit closed forms. Numerical studies are also provided to illustrate the impact of the systematic risks on the Nash equilibrium strategies. Finally, we connect our results to that under the diffusion-approximated model by proving explicitly that the Nash equilibrium under the diffusion-approximated model is an (Formula presented.) -Nash equilibrium under the general Poisson risk model, thereby establishing that the analogous Nash equilibrium in Bensoussan et al. [Bensoussan, A., Siu, C. C., Yam, S. C. P. & Yang, H. (2014). A class of nonzero-sum stochastic differential investment and reinsurance games. Automatica50(8), 2025–2037] serves as an interesting complementary case of the present framework

Optimal asset allocation: Risk and information uncertainty

In asset allocation problem, the distribution of the assets is usually assumed to be known in order to identify the optimal portfolio. In practice, we need to estimate their distribution. The estimations are not necessarily accurate and it is known as the uncertainty problem. Many researches show that most people are uncertainty aversion and this affects their investment strategy. In this article, we consider risk and information uncertainty under a common asset allocation framework. The effects of risk premium and covariance uncertainty are demonstrated by the worst scenario in a set of measures generated by a relative entropy constraint. The nature of the uncertainty and its impacts on the asset allocation are discussed.postprin

Fourier-cosine method for ruin probabilities

In theory, ruin probabilities in classical insurance risk models can be expressed in terms of an infinite sum of convolutions, but its inherent complexity makes efficient computation almost impossible. In contrast, Fourier transforms of convolutions could be evaluated in a far simpler manner. This feature aligns with the heuristic of the recently popular work by Fang and Oosterlee, in particular, they developed a numerical method based on Fourier transform for option pricing. We here promote their philosophy to ruin theory. In this paper, we not only introduce the Fourier-cosine method to ruin theory, which has O(n)O(n) computational complexity, but we also enhance the error bound for our case that are not immediate from Fang and Oosterlee (2009). We also suggest a robust method on estimation of ruin probabilities with respect to perturbation of the moments of both claim size and claim arrival distributions. Rearrangement inequality will also be adopted to amplify the Fourier-cosine method, resulting in an effective global estimation.postprin

Fourier-cosine method for Gerber-Shiu functions

In this article, we provide a systematic study on effectively approximating the Gerber–Shiu functions, which is a hardly touched topic in the current literature, by incorporating the recently popular Fourier-cosine method. Fourier-cosine method has been a prevailing numerical method in option pricing theory since the work of Fang and Oosterlee (2009). Our approximant of Gerber–Shiu functions under Lévy subordinator model has O(n)O(n) computational complexity in comparison with that of O(nlogn)O(nlogn) via the fast Fourier transform algorithm. Also, for Gerber–Shiu functions within our proposed refined Sobolev space, we introduce an explicit error bound, which seems to be absent from the literature. In contrast with our previous work (Chau et al., 2015), this error bound is more conservative without making heavy assumptions on the Fourier transform of the Gerber–Shiu function. The effectiveness of our result will be further demonstrated in the numerical studies.postprin