3,295 research outputs found
Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
In the present paper, we prove that the Wasserstein distance on the space of
continuous sample-paths equipped with the supremum norm between the laws of a
uniformly elliptic one-dimensional diffusion process and its Euler
discretization with steps is smaller than where
is an arbitrary positive constant. This rate is intermediate
between the strong error estimation in obtained when coupling the
stochastic differential equation and the Euler scheme with the same Brownian
motion and the weak error estimation obtained when comparing the
expectations of the same function of the diffusion and of the Euler scheme at
the terminal time . We also check that the supremum over of the
Wasserstein distance on the space of probability measures on the real line
between the laws of the diffusion at time and the Euler scheme at time
behaves like .Comment: Published in at http://dx.doi.org/10.1214/13-AAP941 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Drift dependence of optimal trade execution strategies under transient price impact
We give a complete solution to the problem of minimizing the expected
liquidity costs in presence of a general drift when the underlying market
impact model has linear transient price impact with exponential resilience. It
turns out that this problem is well-posed only if the drift is absolutely
continuous. Optimal strategies often do not exist, and when they do, they
depend strongly on the derivative of the drift. Our approach uses elements from
singular stochastic control, even though the problem is essentially
non-Markovian due to the transience of price impact and the lack in Markovian
structure of the underlying price process. As a corollary, we give a complete
solution to the minimization of a certain cost-risk criterion in our setting
Lymphogranuloma venerum
This issue of eMedRef provides information to clinicians on the pathophysiology, diagnosis, and therapeutics of lymphogranuloma venerum
Hot Zero and Full Power Validation of PHISICS RELAP-5 Coupling
PHISICS is a reactor analysis toolkit developed over
the last 3 years at the Idaho National Laboratory. It has
been coupled with the reactor safety analysis code
RELAP5-3D. PHISICS is aimed at providing an optimal
trade off between needed computational resources (in the
range of 10~100 computer processors) and accuracy. In
fact, this range has been identified as the next 5 to 10
years average computational capability available to
nuclear reactor design and optimization nuclear reactor
cores.
Detailed information about the individual modules of
PHISICS can be found in [1]. An overview of the
modules used in this study is given in the next subsection.
Lately, the Idaho National Laboratory gained access plant
data for the first cycle of a PWR, including Hot Zero
Power (HZP) and Hot Full Power (HFP).
This data provides the opportunity to validate the
transport solver, the interpolation capability for mixed
macro and micro cross section and the criticality search
option of the PHISICS pack
Geomagnetism and Aeronomy activities in Italy during IGY, 1957/58
In 2007 several events were organized to celebrate the fiftieth anniversary of the International Geophysical Year
(IGY, 1957-1958). The celebrations will last until 2009 and are taking place within different contexts: the International
Polar Year (IPY), the International Heliophysical Year (IHY), the electronic Geophysical Year (eGY) and the International Year of Planet Earth (IYPE).
IGY offered a very appropriate and timely occasion to undertake a series of coordinated observations of various
geophysical phenomena all over the globe. Italy took part in the broad international effort stimulated by IGY. In fact, Italy participated in observations and studies in many of the proposed scientific areas, in particular Geomagnetism and Aeronomy. The Istituto Nazionale di Geofisica (ING) started the installation of observatories,
and updated and ensured continuous recording of geophysical observations. Geomagnetism, ionospheric physics, seismology, and other geophysical disciplines, were advanced. Although much of the work was undertaken
in Italy, some attention was also devoted to other areas of the world, in particular Antarctica, where Italy participated in seismological observations. This paper gives a summary of the Geomagnetism and Ionospheric
Physics activities within IGY. Furthermore, we highlight the importance of this historical event and its outcomes
for the improvement of geophysical observations and the post-IGY growth of scientific investigations in Italy
Flow Pressure Behavior Downstream of Ski Jumps
Ski jump spillways are frequently implemented to dissipate energy from high-speed flows. The general feature of this structure is to transform the spillway flow into a free jet up to a location where the impact of the jet creates a plunge pool, representing an area for potential erosion phenomena. In the present investigation, several tests with di erent ski jump bucket angles are executed numerically by means of the OpenFOAMÂź digital library, taking advantage of the Reynolds-averaged NavierâStokes equations (RANS) approach. The results are compared to those obtained experimentally by other authors as related to the jet length and shape, obtaining physical insights into the jet characteristics. Particular attention is given to the maximum pressure head at the tailwater. Simple equations are proposed to predict the maximum dynamic pressure head acting on the tailwater, as dependent upon the Froude number, and the maximum pressure head on the bucket. Results of this study provide useful suggestions for the design of ski jump spillways in dam construction
Geomagnetism and Aeronomy activities in Italy during IGY, 1957/58
In 2007 several events were organized to celebrate the fiftieth anniversary of the International Geophysical Year
(IGY, 1957-1958). The celebrations will last until 2009 and are taking place within different contexts: the International
Polar Year (IPY), the International Heliophysical Year (IHY), the electronic Geophysical Year (eGY) and the International Year of Planet Earth (IYPE).
IGY offered a very appropriate and timely occasion to undertake a series of coordinated observations of various
geophysical phenomena all over the globe. Italy took part in the broad international effort stimulated by IGY. In fact, Italy participated in observations and studies in many of the proposed scientific areas, in particular Geomagnetism and Aeronomy. The Istituto Nazionale di Geofisica (ING) started the installation of observatories,
and updated and ensured continuous recording of geophysical observations. Geomagnetism, ionospheric physics, seismology, and other geophysical disciplines, were advanced. Although much of the work was undertaken
in Italy, some attention was also devoted to other areas of the world, in particular Antarctica, where Italy participated in seismological observations. This paper gives a summary of the Geomagnetism and Ionospheric
Physics activities within IGY. Furthermore, we highlight the importance of this historical event and its outcomes
for the improvement of geophysical observations and the post-IGY growth of scientific investigations in Italy
Optimal execution strategies in limit order books with general shape functions
We consider optimal execution strategies for block market orders placed in a
limit order book (LOB). We build on the resilience model proposed by Obizhaeva
and Wang (2005) but allow for a general shape of the LOB defined via a given
density function. Thus, we can allow for empirically observed LOB shapes and
obtain a nonlinear price impact of market orders. We distinguish two
possibilities for modeling the resilience of the LOB after a large market
order: the exponential recovery of the number of limit orders, i.e., of the
volume of the LOB, or the exponential recovery of the bid-ask spread. We
consider both of these resilience modes and, in each case, derive explicit
optimal execution strategies in discrete time. Applying our results to a
block-shaped LOB, we obtain a new closed-form representation for the optimal
strategy, which explicitly solves the recursive scheme given in Obizhaeva and
Wang (2005). We also provide some evidence for the robustness of optimal
strategies with respect to the choice of the shape function and the
resilience-type
Higher current algebras, homotopy Manin triples, and a rectilinear adelic complex
The notion of a Manin triple of Lie algebras admits a generalization, to dg
Lie algebras, in which various properties are required to hold only up to
homotopy.
This paper introduces two classes of examples of such homotopy Manin triples.
These examples are associated to analogs in complex dimension two of,
respectively, the punctured formal 1-disc, and the complex plane with multiple
punctures. The dg Lie algebras which appear include certain higher current
algebras in the sense of Faonte, Hennion and Kapranov arXiv:1701.01368.
We work in a ringed space we call rectilinear space, and one of the tools we
introduce is a model of the derived sections of its structure sheaf, whose
construction is in the spirit of the adelic complexes for schemes due to
Parshin and Beilinson.Comment: 60 page
Towards non-perturbative BV-theory via derived differential cohesive geometry
We propose a global geometric framework which allows one to encode a natural
non-perturbative generalisation of usual Batalin-Vilkovisky (BV-)theory.
Namely, we construct a concrete model of derived differential cohesive
geometry, whose geometric objects are formal derived smooth stacks, i.e. stacks
on formal derived smooth manifolds, together with a notion of differential
geometry on them. This provides a working language to study generalised
geometric spaces that are smooth, infinite-dimensional, higher and derived at
the same time. Such a formalism is obtained by combining Schreiber's
differential cohesion with the machinery of T\"oen-Vezzosi's homotopical
algebraic geometry applied to the theory of derived manifolds of Spivak and
Carchedi-Steffens. We investigate two classes of examples of non-perturbative
classical BV-theories in the context of derived differential cohesion: scalar
field theory and Yang-Mills theory.Comment: 106 pages, 11 figure
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