Spectral expansions of cosmological fields

We give a review of the theory of random fields defined on the observable part of the Universe that satisfy the cosmological principle, i.e., invariant with respect to the 6-dimensional group $\mathcal{G}$ of the isometries of the time slice of the Friedmann--Lema\^{\i}tre--Robertson--Walker standard chart. Our new results include proof of spectral expansions of scalar and spin weighted $\mathcal{G}$-invariant cosmological fields in open, flat, and closed cosmological models.Comment: 24 pages, no figure

Adapted Downhill Simplex Method for Pricing Convertible Bonds

The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and min-max optimization. Stock prices (underlying asset) were modeled under the assumption of the geometric Brownian motion of their values. The Monte Carlo method was used for calculating the real payoff which is the objective function. The min-max optimization problem was solved using the derivative-free Downhill Simplex method. The performed numerical experiments allowed to formulate recommendations for the choice of appropriate size of the initial simplex in the Downhill Simplex Method, the number of generated trajectories of underlying asset, the size of the problem and initial trajectories of the behavior of investors and issuers.Comment: 18 pages, 8 figure

Matérn class tesor-valued random fields and beyond

We construct classes of homogeneous random fields on a three-dimensional Euclidean space that take values in linear spaces of tensors of a fixed rank and are isotropic with respect to a fixed orthogonal representation of the group of 3 × 3 orthogonal matrices. The constructed classes depend on finitely many isotropic spectral densities. We say that such a field belong to either the Matérn or the dual Matérn class if all of the above densities are Matérn or dual Matérn. Several examples are considered

An optimal series expansion of the multiparameter fractional Brownian motion

We derive a series expansion for the multiparameter fractional Brownian motion. The derived expansion is proven to be rate optimal.Comment: 21 pages, no figures, final version, to appear in Journal of Theoretical Probabilit