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V. Vargas

Publications and source records attributed to V. Vargas.

3 recordsLinked to original sources

Grand-canonical Thermodynamic Formalism via IFS: volume, temperature, gas pressure and grand-canonical topological pressure

We consider here a dynamic model for a gas in which a variable number of particles $N \in \mathbb{N}_0 := \mathbb{N} \cup \{0\}$ can be located at a site. This point of view leads us to the grand-canonical framework and the need for a chemical potential. The dynamics is played by the shift acting on the set of sequences $\Omega := \mathcal{A}^\mathbb{N}$, where the alphabet is $\mathcal{A} := \{1,2,...,r\}$. Introducing new variables like the number of particles $N$ and the chemical potential $\mu$, we adapt the concept of grand-canonical partition sum of thermodynamics of gases to a symbolic dynamical setting considering a Lipschitz family of potentials $% (A_N)_{N \in \mathbb{N}_0}$, $A_N:\Omega \to \mathbb{R}$. Our main results will be obtained from adapting well-known properties of the Thermodynamic Formalism for IFS with weights to our setting. In this direction, we introduce the grand-canonical-Ruelle operator: $\mathcal{L}_{\beta, \mu}(f)=g$, when, $\beta>0,\mu<0,$ and \medskip $\,\,\,\,\,\,\,\,\,\,\,\,\,\,g(x)= \mathcal{L}_{\beta, \mu}(f) (x) =\sum_{N \in \mathbb{N}_0} e^{\beta \, \mu\, N }\, \sum_{j \in \mathcal{A}} e^{- \,\beta\, A_N(jx)} f(jx). $ \medskip We show the existence of the main eigenvalue, an associated eigenfunction, and an eigenprobability for $\mathcal{L}_{\beta, \mu}^*$. We can show the analytic dependence of the eigenvalue on the grand-canonical potential. Considering the concept of entropy for holonomic probabilities on $\Omega\times \mathcal{A}^{\mathbb{N}_0}$, we relate these items with the variational problem of maximizing grand-canonical pressure. In another direction, in the appendix, we briefly digress on a possible interpretation of the concept of topological pressure as related to the gas pressure of gas thermodynamics.

math.DS

Path integral for quantum Mabuchi K-energy

We construct a path integral based on the coupling of the Liouville action and the Mabuchi K-energy on a one-dimensional complex manifold. To the best of our knowledge this is the first rigorous construction of such an object and this is done by means of probabilistic tools. Both functionals play an important role respectively in Riemannian geometry (in the case of surfaces) and Kähler geometry. As an output, we obtain a path integral whose Weyl anomaly displays the standard Liouville anomaly plus an additional K-energy term. Motivations come from theoretical physics where these type of path integrals arise as a model for fluctuating metrics on surfaces when coupling (small) massive perturbations of conformal field theories to quantum gravity as advocated by A. Bilal, F. Ferrari, S. Klevtsov and S. Zelditch. Interestingly, our computations show that quantum corrections perturb the classical Mabuchi K-energy and produce a quantum Mabuchi K-energy: this type of correction is reminiscent of the quantum Liouville theory. Our construction is probabilistic and relies on a variant of Gaussian multiplicative chaos (GMC), the Derivative GMC (DGMC for short). The technical backbone of our construction consists in two estimates on (derivative and standard) GMC which are of independent interest in probability theory. Firstly, we show that these DGMC random variables possess negative exponential moments and secondly we derive optimal small deviations estimates for the GMC associated with a recentered Gaussian Free Field.

math-ph

We've walked a million miles for one of these smiles

We derive a new, exact and transparent expansion for option smiles, which lends itself both to analytical approximation and, perhaps more importantly, to congenial numerical treatments. We show that the skew and the curvature of the smile can be computed as exotic options, for which the Hedged Monte Carlo method is particularly well suited. When applied to options on the S&P index, we find that the skew and the curvature of the smile are very poorly reproduced by the standard Edgeworth (cumulant) expansion. Most notably, the relation between the skew and the skewness is inverted at small and large vols, a feature that none of the model studied so far is able to reproduce. Furthermore, the around-the-money curvature of the smile is found to be very small, in stark contrast with the highly kurtic nature of the returns.

q-fin.PR