Invariant Regions and Global Asymptotic Stability in an Isothermal Catalyst

A well-known model for the evolution of the (space-dependent) concentration and (lumped) temperature in a porous catalyst is considered. A sequence of invariant regions of the phase space is given, which converges to a globally asymptotically stable region $B$. Quantitative sufficient conditions are obtained for (the region $B$ to consist of only one point and) the problem to have a (unique) globally asymptotically stable steady state

Sufficient stochastic maximum principle in a regime-switching diffusion model

We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be used to solve a mean-variance portfolio selection problem

Random Time Forward Starting Options

We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or not. We will call these options {\bf Random Time Forward Starting (RTFS)}. We show that, under an appropriate "martingale preserving" hypothesis, we can exhibit arbitrage free prices, which can be explicitly computed in many classical market models, at least under independence between the random time and the assets' prices. Practical implementations of the pricing methodologies are also provided. Finally a credit value adjustment formula for these OTC options is computed for the unilateral counterparty credit risk.Comment: 19 pages, 1 figur

Efficiently Clustering Very Large Attributed Graphs

Attributed graphs model real networks by enriching their nodes with attributes accounting for properties. Several techniques have been proposed for partitioning these graphs into clusters that are homogeneous with respect to both semantic attributes and to the structure of the graph. However, time and space complexities of state of the art algorithms limit their scalability to medium-sized graphs. We propose SToC (for Semantic-Topological Clustering), a fast and scalable algorithm for partitioning large attributed graphs. The approach is robust, being compatible both with categorical and with quantitative attributes, and it is tailorable, allowing the user to weight the semantic and topological components. Further, the approach does not require the user to guess in advance the number of clusters. SToC relies on well known approximation techniques such as bottom-k sketches, traditional graph-theoretic concepts, and a new perspective on the composition of heterogeneous distance measures. Experimental results demonstrate its ability to efficiently compute high-quality partitions of large scale attributed graphs.Comment: This work has been published in ASONAM 2017. This version includes an appendix with validation of our attribute model and distance function, omitted in the converence version for lack of space. Please refer to the published versio

Eliashberg's proof of Cerf's theorem

Following a line of reasoning suggested by Eliashberg, we prove Cerf's theorem that any diffeomorphism of the 3-sphere extends over the 4-ball. To this end we develop a moduli-theoretic version of Eliashberg's filling-with-holomorphic-discs method.Comment: 32 page

Jump-diffusion unravelling of a non Markovian generalized Lindblad master equation

The "correlated-projection technique" has been successfully applied to derive a large class of highly non Markovian dynamics, the so called non Markovian generalized Lindblad type equations or Lindblad rate equations. In this article, general unravellings are presented for these equations, described in terms of jump-diffusion stochastic differential equations for wave functions. We show also that the proposed unravelling can be interpreted in terms of measurements continuous in time, but with some conceptual restrictions. The main point in the measurement interpretation is that the structure itself of the underlying mathematical theory poses restrictions on what can be considered as observable and what is not; such restrictions can be seen as the effect of some kind of superselection rule. Finally, we develop a concrete example and we discuss possible effects on the heterodyne spectrum of a two-level system due to a structured thermal-like bath with memory.Comment: 23 page

A Model of Porous Catalyst Accounting for Incipiently Non-isothermal Effects*

An approximate model accounting for incipiently non-isothermal effects is derived from a well-known model of porous catalyst for appropriate, realistic limiting values of the parameters. In this limit, the original model is a singularly perturbed, m-D reaction–diffusion system, and the approximate model is given by the m-D heat equation with nonlinear boundary condition, coupled with infinitely many (ifm2) 1-D semilinear parabolic equations, one for each point of the boundary of the spatial domain. Some limiting cases are still considered in the approximate model that lead to further simplifications

Anomalous jumping in a double-well potential

Noise induced jumping between meta-stable states in a potential depends on the structure of the noise. For an $\alpha$-stable noise, jumping triggered by single extreme events contributes to the transition probability. This is also called Levy flights and might be of importance in triggering sudden changes in geophysical flow and perhaps even climatic changes. The steady state statistics is also influenced by the noise structure leading to a non-Gibbs distribution for an $\alpha$-stable noise.Comment: 11 pages, 7 figure

Symmetry reduction of Brownian motion and Quantum Calogero-Moser systems

Let $Q$ be a Riemannian $G$-manifold. This paper is concerned with the symmetry reduction of Brownian motion in $Q$ and ramifications thereof in a Hamiltonian context. Specializing to the case of polar actions we discuss various versions of the stochastic Hamilton-Jacobi equation associated to the symmetry reduction of Brownian motion and observe some similarities to the Schr\"odinger equation of the quantum free particle reduction as described by Feher and Pusztai. As an application we use this reduction scheme to derive examples of quantum Calogero-Moser systems from a stochastic setting.Comment: V2 contains some improvements thanks to referees' suggestions; to appear in Stochastics and Dynamic

Global Stability of a Premixed Reaction Zone (Time-Dependent Liñan’s Problem)

Global stability properties of a premixed, three-dimensional reaction zone are considered. In the nonadiabatic case (i.e., when there is a heat exchange between the reaction zone and the burned gases) there is a unique, spatially one-dimensional steady state that is shown to be unstable (respectively, asymptotically stable) if the reaction zone is cooled (respectively, heated) by the burned mixture. In the adiabatic case, there is a unique (up to spatial translations) steady state that is shown to be stable. In addition, the large-time asymptotic behavior of the solution is analyzed to obtain sufficient conditions on the initial data for stabilization. Previous partial numerical results on linear stability of one-dimensional reaction zones are thereby confirmed and extended