arXiv subjects

Dongdong Hu

Publications and source records attributed to Dongdong Hu.

At least 19 recordsLinked to original sources

arXiv2026

Ruin theory incorporating MIPP-type jumps

The paper investigates the ruin probability of an insurer's surplus process when claims follow a Multiply Iterated Poisson Process (MIPP). This setting extends the classical Cramer-Lundberg model by allowing for clustered claim arrivals, making it particularly appropriate for modeling catastrophic insurance losses. The primary contribution is the derivation of explicit criteria for ultimate ruin, showing that the ruin probability is largely determined by the jump intensity parameter and the iteration count. Furthermore, we establish integro-differential equations for the survival and ruin probabilities and compute their Laplace transforms. These transforms are then linked via recursive formulas that relate ruin probabilities at consecutive iteration levels. We also introduce a Cramer-Lundberg-style approximation, which provides asymptotic expressions for ruin probabilities along with a Lundberg-type inequality. Numerical examples, including comparisons with the classical model, are provided to validate the theoretical results and to highlight the impact of claim clustering on the insurer's risk of ruin.

math.PR↗

arXiv2026

Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing

Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution. This paper develops a probability-based four-moment framework that separates the exact pricing representation from the distributional approximation. A change of measure first writes a basket price as a linear combination of probabilities. For a standard basket with one positive weight, these probabilities become CDF values of positive correlated lognormal sums. Each sum is approximated by a shifted lognormal variance mixture matched to its first four moments. For an unrestricted mixed-sign basket, a signed shifted lognormal proxy gives an analytical call-price formula. We state admissibility conditions, provide a practical root-selection rule, establish the main strike-based financial properties of the direct proxy, and derive exact pricing-error identities in terms of cumulative distribution function (CDF) discrepancies. The numerical analysis combines standard-basket benchmarks with an empirical application to a normalized $3{:}2{:}1$ crack spread constructed from RBOB gasoline, ULSD or heating oil, and WTI futures. The results show that the probability reformulation and the fourth-moment condition improve the distributional fit and pricing accuracy, particularly when maturity and tail asymmetry increase. The framework remains analytical, transparent, and suitable for repeated valuation across strikes and maturities.

q-fin.PR↗

arXiv2026

Performance of the Endcap Time-of-Flight detector in the STAR beam-energy scan

The STAR experiment at RHIC at Brookhaven National Laboratory completed the installation of an endcap time-of-flight subsystem (eTOF) in February 2019. The eTOF subsystem provided essential mid-rapidity particle identification (PID) for the fixed-target (FXT) portion of phase II of the beam energy scan (BES II). The FXT program allowed BES II to include center-of-mass energies from $\sqrt{s_{_{NN}}} = 3.0$ GeV to $\sqrt{s_{_{NN}}} = 7.7$ GeV, not accessible by colliding beams. The eTOF detectors and readout electronics were designed for the CBM experiment at FAIR and adapted for use at STAR. In this paper, we describe the details of the system in terms of geometrical layout, acceptance, calibration, hit reconstruction, and particle identification. The system achieved a time resolution of about 70 ps and a PID efficiency of about 70\%, meeting the design goals of the project.

physics.ins-det↗

arXiv2025

On certain integral functionals of integer-valued subordinators

It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expression for the density function of the exponential functional of any integer-valued subordinator, and by extension, limit representations for that of an arbitrary pure-jump subordinator. With an added positive drift, the density function is expressed via piecewise basis functions governed by a functional relation. Closed-form density functions for these cases have been established only for a few special instances of L\'{e}vy processes in the past literature. Our work substantially advances this line of research by providing an analytical perspective on the distribution of a broad class of exponential L\'{e}vy functionals, also suggesting potential methodological extensions to general purely discontinuous L\'{e}vy processes. Moreover, we consider arbitrary decreasing functionals of integer-valued subordinators by deriving sufficient and necessary conditions for their convergence, which are then applied to obtain limit-series representations for the density functions of inverse-power functionals. The numerical performance of the proposed formulae is demonstrated through various examples of well-known distributions.

math.PR↗

arXiv2025

Cotorsion pairs in extensions of abelian categories

Let $\mathcal{B}$ be an abelian category with enough projective objects and enough injective objects and let $\mathcal{A}=\mathcal{B}\ltimes_\eta\mathsf{F}$ be an $\eta$-extension of $\mathcal{B}$. Given a cotorsion pair $(\mathcal{X},\;\mathcal{Y})$ in $\mathcal{B}$, we construct a cotorsion pair $(^{\perp}{\mathsf{U}^{-1}(\mathcal{Y})}, \mathsf{U}^{-1}(\mathcal{Y}))$ in $\mathcal{A}$ and a cotorsion pair $(\Delta(\mathcal{X}),\;\Delta(\mathcal{X})^\perp)$ in $\mathcal{A}$ for $\mathsf{F}^2=0$. In addition, the heredity and completeness of these cotorsion pairs are studied. Finally, we give some applications and examples in comma categories, some Morita context rings and trivial extensions of rings.

math.RT↗

arXiv2025

Iterated Poisson Processes for Catastrophic Risk Modeling in Ruin Theory

This paper studies the properties of the Multiply Iterated Poisson Process (MIPP), a stochastic process constructed by repeatedly time-changing a Poisson process, and its applications in ruin theory. Like standard Poisson processes, MIPPs have exponentially distributed sojourn times (waiting times between jumps). We explicitly derive the probabilities of all possible jump sizes at the first jump and obtain the Laplace transform of the joint distribution of the first jump time and its corresponding jump size. In ruin theory, the classical Cram\'er-Lundberg model assumes that claims arrive independently according to a Poisson process. In contrast, our model employs an MIPP to allow for clustered arrivals, reflecting real-world scenarios, such as catastrophic events. Under this new framework, we derive the corresponding scale function in closed form, facilitating accurate calculations of the probability of ruin in the presence of clustered claims. These results improve the modeling of extreme risks and have practical implications for insurance solvency assessments, reinsurance pricing, and capital reserve estimation.

math.PR↗

arXiv2024

The preprojective algebra of a finite EI quiver

We define the preprojective algebra of a finite EI quiver. We prove that it is isomorphic to a centain tensor algebra. For a finite EI quiver of Cartan type, we prove that the corresponding preprojective algebra is isomorphic to the generalized preprojective algebra.

math.RT↗

arXiv2024

Long-baseline quantum sensor network as dark matter haloscope

Ultralight dark photons constitute a well-motivated candidate for dark matter. A coherent electromagnetic wave is expected to be induced by dark photons when coupled with Standard-Model photons through kinetic mixing mechanism, and should be spatially correlated within the de Broglie wavelength of dark photons. Here we report the first search for correlated dark-photon signals using a long-baseline network of 15 atomic magnetometers, which are situated in two separated meter-scale shield rooms with a distance of about 1700 km. Both the network's multiple sensors and the shields large size significantly enhance the expected dark-photon electromagnetic signals, and long-baseline measurements confidently reduce many local noise sources. Using this network, we constrain the kinetic mixing coefficient of dark photon dark matter over the mass range 4.1 feV-2.1 peV, which represents the most stringent constraints derived from any terrestrial experiments operating over the aforementioned mass range. Our prospect indicates that future data releases may go beyond the astrophysical constraints from the cosmic microwave background and the plasma heating.

quant-ph↗

arXiv2024

Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions

The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also use moment matching method to obtain semi-closed form formulas for the price of spread options under exponential Lévy models with mean-variance mixture. Unlike the semi-closed form formulas in Caldana and Fusai [5], where spread prices were expressed by using Fourier inversion formula for general price dynamics, our formula expresses spread prices in terms of the mixing distribution. Numerical tests show that our formulas give accurate spread prices also

q-fin.PR↗

arXiv2024

A note on closed-form spread option valuation under log-normal models

In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this paper, we give an alternative closed form formula for the price of spread call options under the log-normal models also. Our formula can be seen as a generalization of the closed-form formula presented in Bjerksund and Stensland [1] as their formula can be obtained by selecting special parameter values to our formula. Numerical tests show that our formula performs better for certain range of model parameters than the closed-form formula presented in Bjerksund and Stensland [1].

q-fin.MF↗

arXiv2024

Revisiting the identification problem of a function by the ratio of Laplace transforms of powers

The ratio of Laplace transforms of powers of a function arises in the context of auction theory. The question whether a function is uniquely identified by this ratio has been answered affirmatively, if the function is non-negative, non-decreasing and right analytic.This paper extends the result to a larger class of functions without monotonicity.A conjecture in the literature says that all càdlàg functions can be identified by the ratio. We disprove this conjecture by providing simple functions that cannot be identified.

math.CA↗

arXiv2023

Studies of nuclear equation of state with the HIRFL-CSR external-target experiment

The HIRFL-CSR external-target experiment (CEE) under construction is expected to provide novel opportunities to the studies of the thermodynamic properties, namely the equation of state of nuclear matter (nEOS) with heavy ion collisions at a few hundreds MeV/u beam energies. Based on Geant 4 packages, the fast simulations of the detector responses to the collision events generated using transport model are conducted. The overall performance of CEE, including spatial resolution of hits, momentum resolution of tracks and particle identification ability has been investigated. Various observables proposed to probe the nEOS, such as the production of light clusters, $\rm t/^3He$ yield ratio, the radial flow, $π^{-}/π^{+}$ yield ratio and the neutral kaon yields, have been reconstructed. The feasibility of studying nEOS beyond the saturation density via the aforementioned observables to be measured with CEE has been demonstrated.

nucl-ex↗

arXiv2023

Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models

The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimization problems under which closed form solutions can be found. In this note, we show that such result also holds for mean-risk-skewness portfolio optimization problems when the underlying distribution is a larger class of normal mean-variance mixture (NMVM) models than the class of AL distributions. We then study the value at risk (VaR) and conditional value at risk (CVaR) risk measures on portfolios of returns with NMVM distributions. They have closed form expressions for portfolios of normal and more generally elliptically distributed returns as discussed in Rockafellar & Uryasev (2000) and in Landsman & Valdez (2003). When the returns have general NMVM distributions, these risk measures do not give closed form expressions. In this note, we give approximate closed form expressions for VaR and CVaR of portfolios of returns with NMVM distributions. Numerical tests show that our closed form formulas give accurate values for VaR and CVaR and shortens the computational time for portfolio optimization problems associated with VaR and CVaR considerably.

q-fin.PM↗

arXiv2023

Pricing basket options with the first three moments of the basket: log-normal models and beyond

Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual assets. The paper [5] gives a closed form approximation formula for pricing basket options with potentially negative portfolio weights under log-normal models by moment matching. This approximation formula is conceptually simple, methodologically sound, and turns out to be highly accurate. However it involves solving a system of nonlinear equations which usually produces multiple solutions and which is sensitive to the selection of initial values in the numerical procedures, making the method computationally challenging. In the current paper, we take the moment-matching methodology in [5] a step further by obtaining a closed form solution for this non-linear system of equations, by identifying a unary cubic equation based solely on the basket's skewness, which parametrizes all model parameters, and we use it to express the approximation formula as an explicit function of the mean, variance, and skewness of the basket. Numerical comparisons with the baskets considered in [5] show a very high level of agreement, and thus of accuracy relative to the true basket option price.

q-fin.PR↗

arXiv2022

Unconditional convergence of conservative spectral Galerkin methods for the coupled fractional nonlinear Klein-Gordon-Schrödinger equations

In this work, two novel classes of structure-preserving spectral Galerkin methods are proposed which based on the Crank-Nicolson scheme and the exponential scalar auxiliary variable method respectively, for solving the coupled fractional nonlinear Klein-Gordon-Schrödinger equation. The paper focuses on the theoretical analyses and computational efficiency of the proposed schemes, the Crank-Nicoloson scheme is proved to be unconditionally convergent and has the maximum-norm boundness of numerical solutions. The exponential scalar auxiliary variable scheme is linearly implicit and decoupled, but lack of the maximum-norm boundness, also, the energy structure has been modified. Subsequently, the efficient implementations of the proposed schemes are introduced in detail. Both the theoretical analyses and the numerical comparisons show that the proposed spectral Galerkin methods have high efficiency in long-time computations.

math.NA↗

arXiv2022

SAPPHIRE: Search for exotic parity-violation interactions with quantum spin amplifiers

Quantum sensing provides sensitive tabletop tools to search for exotic spin-dependent interactions beyond the Standard Model, which has attracted great attention in theories and experiments. Here we develop a technique based on quantum Spin Amplifier for Particle PHysIcs REsearch (SAPPHIRE) to resonantly search for exotic interactions, specifically parity-odd spin-spin interactions. The present technique effectively amplifies the pseudomagnetic field generated by exotic interactions by a factor of about 200 while being insensitive to spurious external magnetic fields. Our studies, using such a quantum amplification technique, open the doors to exploring the parity-violation interactions mediated by Z' bosons in the challenging parameter space (force range between 3 mm and 0.1 km) and set the most stringent constraints on Z'-mediated electron-neutron couplings, significantly improving previous limits by up to five orders of magnitude. Moreover, our bounds on Z'-mediated couplings between nucleons reaches into a hitherto unexplored parameter space (force range below 1 m), complementing the existing astrophysical and laboratory studies.

quant-ph↗

arXiv2022

Limits on axions and axionlike particles within the axion window using a spin-based amplifier

Searches for the axion and axionlike particles may hold the key to unlocking some of the deepest puzzles about our universe, such as dark matter and dark energy. Here we use the recently demonstrated spin-based amplifier to constrain such hypothetical particles within the well-motivated ``axion window'' (1 $μ$eV-1 meV) through searching for an exotic spin-spin interaction between polarized electron and neutron spins. The key ingredient is the use of hyperpolarized long-lived $^{129}$Xe nuclear spins as an amplifier for the pseudomagnetic field generated by the exotic interaction. Using such a spin sensor, we obtain a direct upper bound on the product of coupling constants $g_p^e g_p^n$. The spin-based amplifier technique can be extended to searches for a wide variety of hypothetical particles beyond the Standard Model.

physics.ins-det↗

arXiv2021

Search for exotic spin-dependent interactions with a spin-based amplifier

Development of new techniques to search for particles beyond the standard model is crucial for understanding the ultraviolet completion of particle physics. Several hypothetical particles are predicted to mediate exotic spin-dependent interactions between particles of the standard model that may be accessible to laboratory experiments. However, laboratory searches are mostly conducted for static spin-dependent interactions, with only a few experiments so far addressing spin- and velocity-dependent interactions. Here, we demonstrate a search for exotic spin- and velocity-dependent interactions with a spin-based amplifier. Our technique makes use of hyperpolarized nuclear spins as a pre-amplifier to enhance the effect of pseudo-magnetic field produced by exotic interactions by an amplification factor of > 100. Using such a spin-based amplifier, we establish constraints on the spin- and velocity-dependent interactions between polarized and unpolarized nucleons in the force range of 0.03-100 m. Our limits represent at least two orders of magnitude improvement compared to previous experiments. The established technique can be further extended to investigate other exotic spin-dependent interactions.

quant-ph↗