Alternative approach to derive q-potential measures of refracted spectrally L\'evy processes

For a refracted L\'evy process driven by a spectrally negative L\'evy process, we use a different approach to derive expressions for its q-potential measures without killing. Unlike previous methods whose derivations depend on scale functions which are defined only for spectrally negative L\'evy processes, our approach is free of scale functions. This makes it possible to extend the result here to a quite general refracted L\'evy process by applying the approach presented below

Pricing variable annuities with multi-layer expense strategy

We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account value lies in some pre-specified disjoint intervals, where on each pre-specified interval, the fee rate is fixed and can be different from that on other interval. We model the asset that is the underlying fund of the variable annuity by a hyper-exponential jump diffusion process. Theoretically, for a jump diffusion process with hyper-exponential jumps and three-valued drift, we obtain expressions for the Laplace transforms of its distribution and its occupation times, i.e., the time that it spends below or above a pre-specified level. With these results, we derive closed-form formulas to determine the fair fee rate. Moreover, the total fees that will be collected by the insurer and the total time of deducting fees are also computed. In addition, some numerical examples are presented to illustrate our results

Occupation times of generalized Ornstein-Uhlenbeck processes with two-sided exponential jumps

For an Ornstein-Uhlenbeck process driven by a double exponential jump diffusion process, we obtain formulas for the joint Laplace transform of it and its occupation times. The approach used is remarkable and can be extended to investigate the occupation times of an Ornstein-Uhlenbeck process driven by a more general Levy process

Occupation times of refracted Levy processes with jumps having rational Laplace transforms

We investigate a refracted Levy process driven by a jump diffusion process, whose jumps have rational Laplace transforms. For such a stochastic process, formulas for the Laplace transform of its occupation times are deduced. To derive the main results, some modifications on our previous approach have been made. In addition, we obtain a very interesting identity, which is conjectured to hold for a general refracted Levy process

A note on refracted L\'evy processes without positive jumps

For a refracted spectrally negative Levy process, we find some new and fantastic formulas for its q-potential measures without killing. Unlike previous results, which are written in terms of the known q-scale functions, our formulas are free of the q-scale functions. This makes our results become extremely important since it is likely that our formulas also hold for a general refracted Levy process

Stochastic continuity, irreducibility and non confluence for SDEs with jumps

In this paper, we investigate stochastic continuity (with respect to the initial value), irreducibility and non confluence property of the solutions of stochastic differential equations with jumps. The conditions we posed are weaker than those relevant conditions existing in the literature. We also provide an example to support our new conditions.Comment: 16 page

New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients

The object of the present paper is to find new sufficient conditions for the existence of unique strong solutions to a class of (time-inhomogeneous) stochastic differential equations with random, non-Lipschitzian coefficients. We give an example to show that our conditions are indeed weaker than those relevant conditions existing in the literature. We also derive moment estimations for the maximum process of the solution. Finally, we present a sufficient condition to ensure the non confluence property of the solution of time-homogeneous SDE which, in one dimension, is nothing but stochastic monotone property of the solution.Comment: 21 page

Tracking multiple moving objects in images using Markov Chain Monte Carlo

A new Bayesian state and parameter learning algorithm for multiple target tracking (MTT) models with image observations is proposed. Specifically, a Markov chain Monte Carlo algorithm is designed to sample from the posterior distribution of the unknown number of targets, their birth and death times, states and model parameters, which constitutes the complete solution to the tracking problem. The conventional approach is to pre-process the images to extract point observations and then perform tracking. We model the image generation process directly to avoid potential loss of information when extracting point observations. Numerical examples show that our algorithm has improved tracking performance over commonly used techniques, for both synthetic examples and real florescent microscopy data, especially in the case of dim targets with overlapping illuminated regions

Occupation times of general L\'evy processes

For an arbitrary L\'evy process $X$ which is not a compound Poisson process, we are interested in its occupation times. We use a quite novel and useful approach to derive formulas for the Laplace transform of the joint distribution of $X$ and its occupation times. Our formulas are compact, and more importantly, the forms of the formulas clearly demonstrate the essential quantities for the calculation of occupation times of $X$. It is believed that our results are important not only for the study of stochastic processes, but also for financial applications

Antiferromagnetic Domain Wall as Spin Wave Polarizer and Retarder

As a collective quasiparticle excitation of the magnetic order in magnetic materials, spin wave, or magnon when quantized, can propagate in both conducting and insulating materials. Like the manipulation of its optical counterpart, the ability to manipulate spin wave polarization is not only important but also fundamental for magnonics. With only one type of magnetic lattice, ferromagnets can only accommodate the right-handed circularly polarized spin wave modes, which leaves no freedom for polarization manipulation. In contrast, antiferromagnets, with two opposite magnetic sublattices, have both left and right circular polarizations, and all linear and elliptical polarizations. Here we demonstrate theoretically and confirm by micromagnetic simulations that, in the presence of Dzyaloshinskii-Moriya interaction, an antiferromagnetic domain wall acts naturally as a spin wave polarizer or a spin wave retarder (waveplate). Our findings provide extremely simple yet flexible routes toward magnonic information processing by harnessing the polarization degree of freedom of spin wave.Comment: 14 pages, 4 figures, to appear in Nature Communication