arXiv subjects
Publications and source records attributed to Nicola Cufaro Petroni.
The dynamics of a simple pencil with a tip laid on a rough table and set free to fall under the action of gravity is scrutinized as a pedagogic case study. The full inquiry is anticipated by a review of three other simplified movements foreshadowing its main features. A few exact and general results about the sliding angles and the critical static coefficient of friction are established.
Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will be hereafter called the \emph{a-reminder} of their self-decomposable stationary laws. In the present study we fully characterize the Lévy triplet of these a-reminder s and we provide a general framework to deduce the transition laws of the finite variation Ornstein-Uhlenbeck processes associated with tempered stable distributions. We focus finally on the subclass of the exponentially-modulated tempered stable laws and we derive the algorithms for an exact generation of the skeleton of Ornstein-Uhlenbeck processes related to such distributions, with the further advantage of adopting a procedure computationally more efficient than those already available in the existing literature.
In this report we summarize a few methods for solving the stochastic differential equations (SDE) and the corresponding Fokker-Planck equations describing the Gompertz and logistic random dynamics. It is shown that the solutions of the Gompertz SDE are completely known, while for the logistic SDE's we provide the solution as an explicit process, but we can not yet write down its distributions in closed form. Many details of possible ways out of this maze are listed in the paper and its appendices. We also briefly discuss the prospects of performing a suitable averaging, or a deterministic limit. The possibility is also suggested of associating these equations to the stochastic mechanics of a quantum harmonic oscillator adopted as a tool serviceable also in the field of stochastic control: in particular we propose to investigate the equations associated to the quantum stationary states
In the present paper we provide the closed form of the path-like solutions for the logistic and $θ$-logistic stochastic differential equations, along with the exact expressions of both their probability density functions and their moments. We simulate in addition a few typical sample trajectories, and we provide a few examples of numerical computation of the said closed formulas at different noise intensities: this shows in particular that an increasing randomness - while making the process more unpredictable - asymptotically tends to suppress in average the logistic growth. These main results are preceded by a discussion of the noiseless, deterministic versions of these models: a prologue which turns out to be instrumental - on the basis of a few simplified but functional hypotheses - to frame the logistic and $θ$-logistic equations in a unified context, within which also the Gompertz model emerges from an anomalous scaling.
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. To this end, in this paper we present exact and fast methodologies for the simulation of the spot price dynamics modeled as the exponential of the sum of an Ornstein-Uhlenbeck and an independent pure jump process, where the latter one is driven by a compound Poisson process with (bilateral) exponentially distributed jumps. These methodologies are finally applied to the pricing of Asian options, gas storages and swings under different combinations of jump-diffusion market models, and the apparent computational advantages of the proposed procedures are emphasized.
We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, respectively. The said distributions turn out to be related to the self-decomposable gamma and bilateral gamma laws, and their densities and characteristic functions are here given in closed-form. Algorithms for the exact generation of such processes are accordingly derived with the advantage of being significantly faster than those available in the literature and therefore suitable for real-time simulations.
We review the well known Bertrand paradoxes, and we first maintain that they do not point to any probabilistic inconsistency, but rather to the risks incurred with a careless use of the locution "at random". We claim then that these paradoxes spring up also in the discussion of the celebrated Buffon's needle problem, and that they are essentially related to the definition of (geometrical) probabilities on "uncountably" infinite sets. A few empirical remarks are finally added to underline the difference between "passive" and "active" randomness, and the prospects of any experimental decision
We outline some simple prescriptions to define a distribution on the set $\mathbb{Q}_0$ of all the rational numbers in $[0,1]$, and we then explore both a few properties of these distributions, and the possibility of making these rational numbers asymptotically equiprobable in a suitable sense. In particular it will be shown that in the said limit -- albeit no uniform distribution can be properly defined on $\mathbb{Q}_0$ -- the probability allotted to a single $q\in\mathbb{Q}_0$ asymptotically vanishes, while that of the subset of $\mathbb{Q}_0$ falling in an interval $[a,b]$ goes to $b-a$. We finally give some hints to completely sequencing without repetitions the numbers in $\mathbb{Q}_0$ as a prerequisite to the laying down of more distributions on it
We analyze a method to produce pairs of non independent Poisson processes $M(t),N(t)$ from positively correlated, self-decomposable, exponential renewals. In particular the present paper provides the family of copulas pairing the renewals, along with the closed form for the joint distribution $p_{m,n}(s,t)$ of the pair $\big(M(s),N(t)\big)$, an outcome which turns out to be instrumental to produce explicit algorithms for applications in finance and queuing theory. We finally discuss the cross-correlation properties of the two processes and the relative timing of their jumps
Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the self-decomposability as a form of cointegration among jumps. In the context of energy facilities, the application of our approach to model power or gas dynamics and to evaluate transportation assets seen as spread options is straightforward. We study the applicability of our methodology first assuming a Merton market model with two underlying assets; in a second step we consider price dynamics driven by an exponential mean-reverting Geometric Ornstein-Uhlenbeck plus compound Poisson that are commonly used in the energy field. In this specific case we propose a price spot dynamics for each underlying that has the advantage of being treatable to find non-arbitrage conditions. In particular we can find close-form formulas for vanilla options so that the price and the Greeks of spread options can be calculated in close form using the Margrabe formula (if the strike is zero) or some other well known approximation.
The routine definitions of both entropy, and differential entropy show inconsistencies that make them not reciprocally coherent. We propose a few possible modifications of these quantities so that 1) they no longer show incongruities, 2) they go one into the other in a suitable limit as the result of a renormalization. The properties of the new quantities would slightly differ from that of the usual entropies in a few other respects
In continuation of a previous paper a close connection between Feynman propagators and a particular Lévy stochastic process is established. The approach can be easily applied to the Standard Model SU_C(3)xSU_L(2)xU(1) providing qualitative interesting results. Quantitative results, compatible with experimental data, are obtained in the case of neutrinos.
Starting from the forward and backward infinitesimal generators of bilateral, time-homogeneous Markov processes, the self-adjoint Hamiltonians of the generalized Schroedinger equations are first introduced by means of suitable Doob transformations. Then, by broadening with the aid of the Dirichlet forms the results of the Nelson stochastic mechanics, we prove that it is possible to associate bilateral, and time-homogeneous Markov processes to the wave functions stationary solutions of our generalized Schroedinger equations. Particular attention is then paid to the special case of the Levy-Schroedinger equations and to their associated Levy-type Markov processes, and to a few examples of Cauchy background noise.
Starting from the relation between the kinetic energy of a free Levy-Schroedinger particle and the logarithmic characteristic of the underlying stochastic process, we show that it is possible to get a precise relation between renormalizable field theories and a specific Levy process. This subsequently leads to a particular cut-off in the perturbative diagrams and can produce a phenomenological mass spectrum that allows an interpretation of quarks and leptons distributed in the three families of the standard model.
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different techniques that have been previously proposed. Indeed, these techniques may be computationally expensive and do not provide flexibility for variance reduction. In contrast, the Malliavin approach exhibits a higher flexibility by providing a class of functions that return the same expected value (the Greek) with different accuracies. This versatility for variance reduction is not possible without the use of the generalized integral by part formula of Malliavin Calculus. In the multidimensional context, we find convenient formulas that permit to improve the localization technique, introduced in Fournié et al and reduce both the computational cost and the variance. Moreover, we show that the parameters employed for variance reduction can be obtained \textit{on the flight} in the simulation. We illustrate the efficiency of the proposed procedures, coupled with the enhanced version of Quasi-Monte Carlo simulations as discussed in Sabino, for the numerical estimation of the Deltas of call, digital Asian-style and Exotic basket options with a fixed and a floating strike price in a multidimensional Black-Scholes market.
We introduce a modification in the relativistic hamiltonian in such a way that (1) the relativistic Schrödinger equations can always be based on an underlying Lévy process, (2) several families of particles with different rest masses can be selected, and finally (3) the corresponding Feynman diagrams are convergent when we have at least three different masses.
We analyze the time--dependent solutions of the pseudo--differential Lévy--Schrödinger wave equation in the free case, and we compare them with the associated Lévy processes. We list the principal laws used to describe the time evolutions of both the Lévy process densities, and the Lévy--Schrödinger wave packets. To have self--adjoint generators and unitary evolutions we will consider only absolutely continuous, infinitely divisible Lévy noises with laws symmetric under change of sign of the independent variable. We then show several examples of the characteristic behavior of the Lévy--Schrödinger wave packets, and in particular of the bi-modality arising in their evolutions: a feature at variance with the typical diffusive uni--modality of both the Lévy process densities, and the usual Schrödinger wave functions.
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa (2003). Efficient path-generation algorithms, such as Linear Transformation and Principal Component Analysis, exhibit a high computational cost in a market with time-dependent volatilities. We present a new and fast Cholesky algorithm for block matrices that makes the Linear Transformation even more convenient. Moreover, we propose a new-path generation technique based on a Kronecker Product Approximation. This construction returns the same accuracy of the Linear Transformation used for the computation of the deltas and the prices in the case of correlated asset returns while requiring a lower computational time. All these techniques can be easily employed for stochastic volatility models based on the mixture of multi-dimensional dynamics introduced by Brigo et al. (2004).