7 research outputs found
Noncolliding Squared Bessel Processes
We consider a particle system of the squared Bessel processes with index conditioned never to collide with each other, in which if
the origin is assumed to be reflecting. When the number of particles is finite,
we prove for any fixed initial configuration that this noncolliding diffusion
process is determinantal in the sense that any multitime correlation function
is given by a determinant with a continuous kernel called the correlation
kernel. When the number of particles is infinite, we give sufficient conditions
for initial configurations so that the system is well defined. There the
process with an infinite number of particles is determinantal and the
correlation kernel is expressed using an entire function represented by the
Weierstrass canonical product, whose zeros on the positive part of the real
axis are given by the particle-positions in the initial configuration. From the
class of infinite-particle initial configurations satisfying our conditions, we
report one example in detail, which is a fixed configuration such that every
point of the square of positive zero of the Bessel function is
occupied by one particle. The process starting from this initial configuration
shows a relaxation phenomenon converging to the stationary process, which is
determinantal with the extended Bessel kernel, in the long-term limit.Comment: v3: LaTeX2e, 26 pages, no figure, corrections made for publication in
J. Stat. Phy
Infinite systems of non-colliding generalized meanders and Riemann-Liouville differintegrals
Yor's generalized meander is a temporally inhomogeneous modification of the
-dimensional Bessel process with , in which the
inhomogeneity is indexed by . We introduce the
non-colliding particle systems of the generalized meanders and prove that they
are the Pfaffian processes, in the sense that any multitime correlation
function is given by a Pfaffian. In the infinite particle limit, we show that
the elements of matrix kernels of the obtained infinite Pfaffian processes are
generally expressed by the Riemann-Liouville differintegrals of functions
comprising the Bessel functions used in the fractional calculus,
where orders of differintegration are determined by . As special
cases of the two parameters , the present infinite systems
include the quaternion determinantal processes studied by Forrester, Nagao and
Honner and by Nagao, which exhibit the temporal transitions between the
universality classes of random matrix theory.Comment: LaTeX, 35 pages, v3: The argument given in Section 3.2 was
simplified. Minor corrections were mad
Further results on the representation of the Drazin inverse of a <mml:math altimg="si1.gif" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd"><mml:mrow><mml:mn>2</mml:mn><mml:mo>×</mml:mo><mml:mn>2</mml:mn></mml:mrow></mml:math> block matrix
Expressions for the <mml:math altimg="si1.gif" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd"><mml:mrow><mml:mi>g</mml:mi></mml:mrow></mml:math>-Drazin inverse of additive perturbed elements in a Banach algebra
Role of Surfactants on the Activity of Acid Phosphatase Incorporated in Reverse Micelles
A general HJM framework for multiple yield curve modeling
46 pages, 4 figuresWe propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage and, in addition, we show how to construct models such that multiplicative spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is specified as an affine process, we obtain a flexible Markovian structure which allows for tractable valuation formulas for most interest rate derivatives. Finally, we show that the proposed framework allows to unify and extend several recent approaches to multiple yield curve modeling