Results 1 - 10
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411
Pricing the risks of default
- Review of Derivatives Research
, 1998
"... the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center's research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a comm ..."
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Cited by 107 (6 self)
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the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center's research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a community of faculty, visiting scholars and Ph.D. candidates whose research interests complement and support the mission of the Center. The Center works closely with industry executives and practitioners to ensure that its research is informed by the operating realities and competitive demands facing industry participants as they pursue competitive excellence. Copies of the working papers summarized here are available from the Center. If you would like to learn more about the Center or become a member of our research community, please let us know of your interest.
Equations and Mirror Maps For Hypersurfaces
- in Essays on Mirror Manifolds, Ed. S.-T.Yau, International Press
, 1992
"... Abstract. We describe a strategy for computing Yukawa couplings and the mirror map, based on the Picard-Fuchs equation. (Our strategy is a variant of the method used by Candelas, de la Ossa, Green, and Parkes [5] in the case of quintic hypersurfaces.) We then explain a technique of Griffiths [14] wh ..."
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Cited by 68 (4 self)
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Abstract. We describe a strategy for computing Yukawa couplings and the mirror map, based on the Picard-Fuchs equation. (Our strategy is a variant of the method used by Candelas, de la Ossa, Green, and Parkes [5] in the case of quintic hypersurfaces.) We then explain a technique of Griffiths [14] which can be used to compute the Picard-Fuchs equations of hypersurfaces. Finally, we carry out the computation for four specific examples (including quintic hypersurfaces, previously done by Candelas et al. [5]). This yields predictions for the number of rational curves of various degrees on certain hypersurfaces in weighted projective spaces. Some of these predictions have been confirmed by classical techniques in algebraic geometry.
Dynamics of encoding in a population of neurons
- J. Gen. Physiol
, 1972
"... ABSTRACT A simple encoder model, which is a reasonable idealization from known electrophysiological properties, yields a population in which the variation of the firing rate with time is a perfect replica of the shape of the input stimulus. A population of noise-free encoders which depart even sligh ..."
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Cited by 65 (6 self)
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ABSTRACT A simple encoder model, which is a reasonable idealization from known electrophysiological properties, yields a population in which the variation of the firing rate with time is a perfect replica of the shape of the input stimulus. A population of noise-free encoders which depart even slightly from the simple model yield a very much degraded copy of the input stimulus. The presence of noise improves the performance of such a population. The firing rate of a population of neurons is related to the firing rate of a single member in a subtle way. 1.
Numerical Methods For Hyperbolic Conservation Laws With Stiff Relaxation I. Spurious Solutions
- SIAM J. Sci. Comput
, 1992
"... . We consider the numerical solution of hyperbolic systems of conservation laws with relaxation using a shock capturing finite difference scheme on a fixed, uniform spatial grid. We conjecture that certain a priori criteria insure that the numerical method does not produce spurious solutions as the ..."
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Cited by 48 (2 self)
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. We consider the numerical solution of hyperbolic systems of conservation laws with relaxation using a shock capturing finite difference scheme on a fixed, uniform spatial grid. We conjecture that certain a priori criteria insure that the numerical method does not produce spurious solutions as the relaxation time vanishes. One criterion is that the limits of vanishing relaxation time and vanishing viscosity commute for the viscous regularization of the hyperbolic system. A second criterion is that a certain "subcharacteristic" condition be satisfied by the hyperbolic system. We support our conjecture with analytical and numerical results for a specific example, the solution of generalized Riemann problems of a model system of equations with a fractional step scheme in which Godunov's method is coupled with the backward Euler method. We also apply our ideas to the numerical solution of stiff detonation problems. 1. Introduction. Hyperbolic systems of conservation laws with relaxation ...
Estimating Equations Based on Eigenfunctions for a Discretely Observed Diffusion Process
, 1995
"... : A new type of martingale estimating function is proposed for inference about classes of diffusion processes based on discrete-time observations. These estimating functions can be tailored to a particular class of diffusion processes by utilizing a martingale property of the eigenfunctions of the g ..."
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Cited by 45 (9 self)
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: A new type of martingale estimating function is proposed for inference about classes of diffusion processes based on discrete-time observations. These estimating functions can be tailored to a particular class of diffusion processes by utilizing a martingale property of the eigenfunctions of the generators of the diffusions. Optimal estimating functions in the sense of Godambe and Heyde are found. Inference based on these is invariant under transformations of data. A result on consistency and asymptotic normality of the estimators is given for ergodic diffusions. The theory is illustrated by several examples and by a simulation study. Keywords: generator, optimal estimating function, stochastic differential equation, quasilikelihood. 1 Introduction Martingale estimating functions have turned out to give good and relatively simple estimators for discretely observed diffusion models, for which the likelihood function is only explicitly known in special cases. These estimators have th...
Absolutely continuous spectrum of one-dimensional Schrödinger operators and Jacobi matrices with slowly decaying potentials
- Commun. Math. Phys
, 1996
"... Abstract. The absolutely continuous spectrum of one-dimensional Schrödinger operators is proved to be stable under perturbation by potentials satisfying mild decay conditions. In particular, the absolutely continuous spectrum of free and periodic Schrödinger operators is preserved under all perturba ..."
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Cited by 39 (14 self)
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Abstract. The absolutely continuous spectrum of one-dimensional Schrödinger operators is proved to be stable under perturbation by potentials satisfying mild decay conditions. In particular, the absolutely continuous spectrum of free and periodic Schrödinger operators is preserved under all perturbations V (x) satisfying |V (x) | ≤ C(1+x) −α, α> 1 2. This result is optimal in the power scale. More general classes of perturbing potentials which are not necessarily power decaying are also treated. A general criterion for stability of the absolutely continuous spectrum of one-dimensional Schrödinger operators is established. In all cases analyzed, the main term of the asymptotic behavior of the generalized eigenfunctions is shown to have WKB form for almost all energies. The proofs rely on new maximal function and norm estimates and almost everywhere convergence results for certain multilinear integral operators. 1. Introduction and
Second Phase Changes in Random M-Ary Search Trees and Generalized Quicksort: Convergence Rates
, 2002
"... We study the convergence rate to normal limit law for the space requirement of random m-ary search trees. While it is known that the random variable is asymptotically normally distributed for 3 m 26 and that the limit law does not exist for m ? 26, we show that the convergence rate is O(n ) for ..."
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Cited by 38 (11 self)
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We study the convergence rate to normal limit law for the space requirement of random m-ary search trees. While it is known that the random variable is asymptotically normally distributed for 3 m 26 and that the limit law does not exist for m ? 26, we show that the convergence rate is O(n ) for 3 m 19 and is O(n ), where 4=3 ! ff ! 3=2 is a parameter depending on m for 20 m 26. Our approach is based on a refinement to the method of moments and applicable to other recursive random variables; we briefly mention the applications to quicksort proper and the generalized quicksort of Hennequin, where more phase changes are given. These results provide natural, concrete examples for which the Berry-Esseen bounds are not necessarily proportional to the reciprocal of the standard deviation. Local limit theorems are also derived. Abbreviated title. Phase changes in search trees.
The absolutely continuous spectrum of one-dimensional Schrodinger operators with decaying potentials
- Comm. Math. Phys
, 1998
"... Abstract. This paper deals with general structural properties of one-dimensional Schrödinger operators with some absolutely continuous spectrum. The basic result says that the ω limit points of the potential under the shift map are reflectionless on the support of the absolutely continuous part of t ..."
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Cited by 37 (7 self)
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Abstract. This paper deals with general structural properties of one-dimensional Schrödinger operators with some absolutely continuous spectrum. The basic result says that the ω limit points of the potential under the shift map are reflectionless on the support of the absolutely continuous part of the spectral measure. This implies an Oracle Theorem for such potentials and Denisov-Rakhmanov type theorems. In the discrete case, for Jacobi operators, these issues were discussed in my recent paper [19]. The treatment of the continuous case in the present paper depends on the same basic ideas. 1.
A new approach to inverse spectral theory, II. General real potentials and the connection to the spectral measure
- Ann. of Math
, 2000
"... Abstract. We continue the study of the A-amplitude associated to a half-line Schrödinger operator, − d2 dx2 + q in L2 ((0, b)), b ≤ ∞. A is related to the Weyl-Titchmarsh m-function via m(−κ2) = −κ − ∫ a 0 A(α)e−2ακ dα+O(e −(2a−ε)κ) for all ε> 0. We discuss five issues here. First, we extend the ..."
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Cited by 36 (17 self)
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Abstract. We continue the study of the A-amplitude associated to a half-line Schrödinger operator, − d2 dx2 + q in L2 ((0, b)), b ≤ ∞. A is related to the Weyl-Titchmarsh m-function via m(−κ2) = −κ − ∫ a 0 A(α)e−2ακ dα+O(e −(2a−ε)κ) for all ε> 0. We discuss five issues here. First, we extend the theory to general q in L1 ((0, a)) for all a, including q’s which are limit circle at infinity. Second, we prove the following relation between the A-amplitude and the spectral measure ρ: A(α) = −2 ∫ ∞ 1 λ − 2 sin(2α − ∞ √ λ)dρ(λ) (since the integral is divergent, this formula has to be properly interpreted). Third, we provide a Laplace transform representation for m without error term in the case b < ∞. Fourth, we discuss m-functions associated to other boundary conditions than the Dirichlet boundary conditions associated to the principal Weyl-Titchmarsh m-function. Finally, we discuss some examples where one can compute A exactly. 1.

