Relative entropy and waiting times for continuous-time Markov processes

For discrete-time stochastic processes, there is a close connection between return/waiting times and entropy. Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one does need a reference measure and so the natural object is relative entropy rather than entropy. In this paper we elaborate on this in the case of continuous-time Markov processes with finite state space. A reference measure of special interest is the one associated to the time-reversed process. In that case relative entropy is interpreted as the entropy production rate. The main results of this paper are: almost-sure convergence to relative entropy of suitable waiting-times and their fluctuation properties (central limit theorem and large deviation principle).Comment: 17 page

On approximate pattern matching for a class of Gibbs random fields

We prove an exponential approximation for the law of approximate occurrence of typical patterns for a class of Gibssian sources on the lattice $\mathbb{Z}^d$, $d\ge2$. From this result, we deduce a law of large numbers and a large deviation result for the waiting time of distorted patterns.Comment: Published at http://dx.doi.org/10.1214/105051605000000827 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Predicting Scientific Success Based on Coauthorship Networks

We address the question to what extent the success of scientific articles is due to social influence. Analyzing a data set of over 100000 publications from the field of Computer Science, we study how centrality in the coauthorship network differs between authors who have highly cited papers and those who do not. We further show that a machine learning classifier, based only on coauthorship network centrality measures at time of publication, is able to predict with high precision whether an article will be highly cited five years after publication. By this we provide quantitative insight into the social dimension of scientific publishing - challenging the perception of citations as an objective, socially unbiased measure of scientific success.Comment: 21 pages, 2 figures, incl. Supplementary Materia

Empirical studies in corporate credit modelling; liquidity premia, factor portfolios & model uncertainty

Insurers match the cash flows of typically illiquid insurance liabilities, such as in-force annuities, with government and corporate bonds. As they intend to buy corporate bonds and hold them to maturity, they can capture the value attached to liquidity, without running the market liquidity risk that is associated with having to sell bonds in the open market. During the long consultation period dedicated to the mark-to-market valuation of insurance assets and liabilities for the Solvency II regulatory framework, CEIOPS noted the importance of the accurate breakdown of the credit spread into its components, most notably the credit and non-credit (i.e. liquidity) components. In this thesis we review many modelling efforts to isolate the liquidity premium and propose a reduced-form modelling approach that relies on a new, relative liquidity proxy. Challenging the status quo when it comes to active and passive investment strategies, products and funds, Exchange Traded Funds and `smart-beta' products provide investors with straightforward ways to strategically expose a portfolio to risk drivers, raising the bar for traditional investment funds and managers. In this thesis, we investigate how traditional sources of equity outperformance (alpha), such as small caps, low volatility and value, translate to UK corporate bonds. For automated trading strategies in corporate bonds, and those with specific factor exposure requirements in particular, transaction costs, rebalancing and an optimal turnover strategy are crucial; these aspects of building factor portfolios are explored for the UK market. Since the financial crisis, mathematical models used in finance have been subject to a fair amount of criticism. More than ever has this highlighted the need of better risk management of financial models themselves, leading to a surge in `model validation' roles in industry and an increased scrutiny from regulatory bodies. In this thesis we look at stochastic credit models that are commonly used by insurers to project forward credit-risky bond portfolios and the model uncertainty and parameter risk that arises as a result of relying on published credit migration matrices. Specifically, our investigation focuses on two violations of the Markovian process that credit transitions are assumed to follow and statistical uncertainty of the migration matrix

Gobernabilidad de los Sistemas de Innovación en Bolivia: Lecciones para las Políticas de Innovación Agrícola

Ser capaz de responder y reaccionar ante las demandas de los productores no implica necesariamente que se generen las mejores soluciones técnicas. Generar innovaciones adecuadas requiere de la participación de muchos: líderes y otros productores, proveedores de conocimientos y tecnologías, así como también compradores, vendedores de insumos, agencias de financiamiento, servicios de asesoría y otros. También se requiere del análisis e identificación de las oportunidades tecnológicas y de mercado. Los diseñadores de políticas deberían promover un análisis profundo de las demandas de los productores a nivel local a través de organismos descentralizados que ayuden simultáneamente a orientar tales demandas hacia donde se encuentran las mejores oportunidades tecnológicas y de mercado. Esto requiere de mejores capacidades analíticas y de planificación, así como de una comunicación intensiva con los productores y con los agentes que disponen de tecnologías nuevas y prometedoras." from Authors' AbstractInnovation systems, Innovation networks, Innovation Policy, Governance,

Full-system RANS of the HyShot II scramjet Part 1: Numerics and non-reactive simulations

Predictive Science Academic Alliance Program (PSAAP

Renal palliative and supportive care in South Africa – a consensus statement

In South Africa, there is a high burden of end-stage kidney disease (ESKD). This is due to the burgeoning epidemics of communicable diseases like HIV/AIDS and non-communicable diseases, particularly hypertension and diabetes mellitus. One of the most difficult situations encountered by healthcare professionals dealing with patients with ESKD in South Africa is the management of a conservative or palliative care pathway for the many patients who have no other option. Patients with advanced chronic kidney disease (CKD) have a high burden of physical and psychosocial symptoms, poor outcomes, and high costs of care. Many patients are managed in primary healthcare settings and either do not have access to palliative care or are not referred appropriately.Renal supportive and palliative care involves a multidisciplinary approach to managing patients with ESKD, to ensure that symptoms are managed optimally and to provide support during advanced disease. It aims to improve quality of life for patients and their families and must be provided alongside curative medical care. This support should include those unable to gain access to life-saving dialysis and it should also provide care for patients where dialysis is not the best option.The aim of this consensus statement is to assist healthcare providers to improve the management of symptoms and biosocial factors of patients with end-stage kidney disease in a South African context. The document was compiled through consensus building among healthcare professionals across South Africa. The professionals that are represented included nephrologists, palliative care physicians, social workers, nurses, paediatricians and hospital managers. We wish to acknowledge the contribution of Dr Frank Brennan, a leading expert in renal palliative and supportive care, who assisted greatly in the compilation of this document