Moment Boundedness of Linear Stochastic Delay Differential Equation with Distributed Delay

This paper studies the moment boundedness of solutions of linear stochastic delay differential equations with distributed delay. For a linear stochastic delay differential equation, the first moment stability is known to be identical to that of the corresponding deterministic delay differential equation. However, boundedness of the second moment is complicated and depends on the stochastic terms. In this paper, the characteristic function of the equation is obtained through techniques of Laplace transform. From the characteristic equation, sufficient conditions for the second moment to be bounded or unbounded are proposed.Comment: 38 pages, 2 figure

Efficient Data Gathering in Wireless Sensor Networks Based on Matrix Completion and Compressive Sensing

Gathering data in an energy efficient manner in wireless sensor networks is an important design challenge. In wireless sensor networks, the readings of sensors always exhibit intra-temporal and inter-spatial correlations. Therefore, in this letter, we use low rank matrix completion theory to explore the inter-spatial correlation and use compressive sensing theory to take advantage of intra-temporal correlation. Our method, dubbed MCCS, can significantly reduce the amount of data that each sensor must send through network and to the sink, thus prolong the lifetime of the whole networks. Experiments using real datasets demonstrate the feasibility and efficacy of our MCCS method

How volatilities nonlocal in time affect the price dynamics in complex financial systems

What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.Comment: 16 pages, 7 figure