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Paolo Dai Pra

Publications and source records attributed to Paolo Dai Pra.

At least 37 records · Page 2Linked to original sources
arXiv2015

Fluctuation Theorems for Synchronization of Interacting Polya's urns

We consider a model of N two-colors urns in which the reinforcement of each urn depends also on the content of all the other urns. This interaction is of mean-field type and it is tuned by a parameter $α$ in [0,1]; in particular, for $α=0$ the N urns behave as N independent Polya's urns. As shown in [9], for $α>0$ urns synchronize, in the sense that the fraction of balls of a given color converges a.s. to the same (random) limit in all urns. In this paper we study fluctuations around this synchronized regime. The scaling of these fluctuations depends on the parameter $α$. In particular the standard scaling $t^{-1/2}$ appears only for $α>1/2$. For $α\geq 1/2$ we also determine the limit distribution of the rescaled fluctuations. We use the notion of stable convergence, which is stronger than convergence in distribution.

math.PR↗
arXiv2015

Collective periodicity in mean-field models of cooperative behavior

We propose a way to break symmetry in stochastic dynamics by introducing a dissipation term. We show in a specific mean-field model, that if the reversible model undergoes a phase transition of ferromagnetic type, then its dissipative counterpart exhibits periodic orbits in the thermodynamic limit.

math.PR↗
arXiv2014

Fast mixing for the low temperature 2d Ising model through irreversible parallel dynamics

We study metastability and mixing time for a non-reversible probabilistic cellular automaton. With a suitable choice of the parameters, we first show that the stationary distribution is close in total variation to a low temperature Ising model. Then we prove that both the mixing time and the time to exit a metastable state grow polynomially in the size of the system, while this growth is exponential in reversible dynamics. In this model, non-reversibility, parallel updatings and a suitable choice of boundary conditions combine to produce an efficient dynamical stability.

math.PR↗
arXiv2014

Reciprocal class of jump processes

Processes having the same bridges as a given reference Markov process constitute its {\it reciprocal class}. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set $\mathcal{A} \subset \mathbb{R}^d$. We propose a characterization of the reciprocal class as the unique set of probability measures on which a family of time and space transformations induces the same density, expressed in terms of the \textit{reciprocal invariants}. The geometry of $\mathcal{A}$ plays a crucial role in the design of the transformations, and we use tools from discrete geometry to obtain an optimal characterization. We deduce explicit conditions for two Markov jump processes to belong to the same class. Finally, we provide a natural interpretation of the invariants as short-time asymptotics for the probability that the reference process makes a cycle around its current state.

math.PR↗
arXiv2014

Multi-scaling of moments in stochastic volatility models

We introduce a class of stochastic volatility models $(X_t)_{t \geq 0}$ for which the absolute moments of the increments exhibit anomalous scaling: $\E\left(|X_{t+h} - X_t|^q \right)$ scales as $h^{q/2}$ for $q < q^*$, but as $h^{A(q)}$ with $A(q) < q/2$ for $q > q^*$, for some threshold $q^*$. This multi-scaling phenomenon is observed in time series of financial assets. If the dynamics of the volatility is given by a mean-reverting equation driven by a Levy subordinator and the characteristic measure of the Levy process has power law tails, then multi-scaling occurs if and only if the mean reversion is superlinear.

math.PR↗
arXiv2014

Entropy decay for interacting systems via the Bochner--Bakry--Emery approach

We obtain estimates on the exponential rate of decay of the relative entropy from equilibrium for Markov processes with a non-local infinitesimal generator. We adapt some of the ideas coming from the Bakry-Emery approach to this setting. In particular, we obtain volume-independent lower bounds for the Glauber dynamics of interacting point particles and for various classes of hardcore models.

math.PR↗
arXiv2013

Time to absorption for a heterogeneous neutral competition model

Neutral models aspire to explain biodiversity patterns in ecosystems where species difference can be neglected, as it might occur at a specific trophic level, and perfect symmetry is assumed between species. Voter-like models capture the essential ingredients of the neutral hypothesis and represent a paradigm for other disciplines like social studies and chemical reactions. In a system where each individual can interact with all the other members of the community, the typical time to reach an absorbing state with a single species scales linearly with the community size. Here we show, by using a rigorous approach within a large deviation principle and confirming previous approximate and numerical results, that in a heterogeneous voter model the typical time to reach an absorbing state scales exponentially with the system size, suggestive of an asymptotic active phase.

math.PR↗
arXiv2013

A Curie-Weiss model with dissipation

We consider stochastic dynamics for a spin system with mean field interaction, in which the interaction potential is subject to noisy and dissipative stochastic evolution. We show that, in the thermodynamic limit and at sufficiently low temperature, the magnetization of the system has a time periodic behavior, despite of the fact that no periodic force is applied.

math.PR↗
arXiv2013

A note on the geometric interpretation of Bell's inequalities

Using results of Pitowsky and Gupta, we show in a direct, elementary fashion that, in the case of three spins, Bell's inequalities indeed provide a representation of the tetrahedron of all spin correlation matrices as intersection of half-spaces.

quant-ph↗
arXiv2012

Scaling and multiscaling in financial series: a simple model

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with a remarkable accuracy.

q-fin.ST↗
arXiv2012

Sampling from a Gibbs measure with pair interaction by means of PCA

We consider the problem of approximate sampling from the finite volume Gibbs measure with a general pair interaction. We exhibit a parallel dynamics (Probabilistic Cellular Automaton) which efficiently implements the sampling. In this dynamics the product measure that gives the new configuration in each site contains a term that tends to favour the original value of each spin. This is the main ingredient that allows to prove that the stationary distribution of the PCA is close in total variation to the Gibbs measure. The presence of the parameter that drives the "inertial" term mentioned above gives the possibility to control the degree of parallelism of the numerical implementation of the dynamics.

math-ph↗
arXiv2011

The role of disorder in the dynamics of critical fluctuations of mean field models

The purpose of this paper is to analyze how the disorder affects the dynamics of critical fluctuations for two different types of interacting particle system: the Curie-Weiss and Kuramoto model. The models under consideration are a collection of spins and rotators respectively. They both are subject to a mean field interaction and embedded in a site-dependent, i.i.d. random environment. As the number of particles goes to infinity their limiting dynamics become deterministic and exhibit phase transition. The main result concern the fluctuations around this deterministic limit at the critical point in the thermodynamic limit. From a qualitative point of view, it indicates that when disorder is added spin and rotator systems belong to two different classes of universality, which is not the case for the homogeneous models (i.e., without disorder).

math.PR↗
arXiv2010

Decay of Correlations for Quantum Spin Systems with a Transverse Field: A Dynamic Approach

We consider a wide class of quantum spin systems obtained by adding a transverse field to a classical Hamiltonian. We give explicit high-temperature conditions which guarantee exponential decay of correlations. A stochastic-geometric representation allows to reformulate the model as a classical random field on a space of marked point processes on the circle $[0,β)$, where $β$ is the inverse temperature. We then construct a Markov process having this random field as invariant measure. By the mixing properties of the process, the exponential decay of correlations follows by an adaptation of a general argument.

math.PR↗
arXiv2010

A simple mean field model for social interactions: dynamics, fluctuations, criticality

We study the dynamics of a spin-flip model with a mean field interaction. The system is non reversible, spacially inhomogeneous, and it is designed to model social interactions. We obtain the limiting behavior of the empirical averages in the limit of infinitely many interacting individuals, and show that phase transition occurs. Then, after having obtained the dynamics of normal fluctuations around this limit, we analize long time fluctuations for critical values of the parameters. We show that random inhomogeneities produce critical fluctuations at a shorter time scale compared to the homogeneous system.

math.PR↗
arXiv2009

Large portfolio losses: A dynamic contagion model

Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality indicators of the firms, deriving moreover the dynamics of a global financial health indicator. We finally describe a suitable version of the "Central Limit Theorem" useful to study large portfolio losses. Simulation results are provided as well as applications to portfolio loss distribution analysis.

q-fin.RM↗
arXiv2008

Heterogeneous credit portfolios and the dynamics of the aggregate losses

We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the idiosyncratic characteristics of the firms. We shall see that our model goes behind the identification of groups of firms that can be considered basically exchangeable. Despite this heterogeneity assumption our model has the advantage of being totally tractable. The aim is to quantify the losses that a bank may suffer in a large credit portfolio. Relying on a large deviation principle on the trajectory space of the process, we state a suitable law of large number and a central limit theorem useful to study large portfolio losses. Simulation results are provided as well as applications to portfolio loss distribution analysis.

q-fin.RM↗
arXiv2007

Convex Entropy Decay via the Bochner-Bakry-Emery approach

We develop a method, based on a Bochner-type identity, to obtain estimates on the exponential rate of decay of the relative entropy from equilibrium of Markov processes in discrete settings. When this method applies the relative entropy decays in a convex way. The method is shown to be rather powerful when applied to a class of birth and death processes. We then consider other examples, including inhomogeneous zero-range processes and Bernoulli-Laplace models. For these two models, known results were limited to the homogeneous case, and obtained via the martingale approach, whose applicability to inhomogeneous models is still unclear.

math.PR↗