Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Optimized, unequal pulse spacing in multiple echo sequences improves refocusing in magnetic resonance.

A recent quantum computing paper (G. S. Uhrig, Phys. Rev. Lett. 98, 100504 (2007)) analytically derived optimal pulse spacings for a multiple spin echo sequence designed to remove decoherence in a two-level system coupled to a bath. The spacings in what has been called a "Uhrig dynamic decoupling (UDD) sequence" differ dramatically from the conventional, equal pulse spacing of a Carr-Purcell-Meiboom-Gill (CPMG) multiple spin echo sequence. The UDD sequence was derived for a model that is unrelated to magnetic resonance, but was recently shown theoretically to be more general. Here we show that the UDD sequence has theoretical advantages for magnetic resonance imaging of structured materials such as tissue, where diffusion in compartmentalized and microstructured environments leads to fluctuating fields on a range of different time scales. We also show experimentally, both in excised tissue and in a live mouse tumor model, that optimal UDD sequences produce different T(2)-weighted contrast than do CPMG sequences with the same number of pulses and total delay, with substantial enhancements in most regions. This permits improved characterization of low-frequency spectral density functions in a wide range of applications.

A mathematical theory of stochastic microlensing. II. Random images, shear, and the Kac-Rice formula

Continuing our development of a mathematical theory of stochastic microlensing, we study the random shear and expected number of random lensed images of different types. In particular, we characterize the first three leading terms in the asymptotic expression of the joint probability density function (pdf) of the random shear tensor due to point masses in the limit of an infinite number of stars. Up to this order, the pdf depends on the magnitude of the shear tensor, the optical depth, and the mean number of stars through a combination of radial position and the star's mass. As a consequence, the pdf's of the shear components are seen to converge, in the limit of an infinite number of stars, to shifted Cauchy distributions, which shows that the shear components have heavy tails in that limit. The asymptotic pdf of the shear magnitude in the limit of an infinite number of stars is also presented. All the results on the random microlensing shear are given for a general point in the lens plane. Extending to the general random distributions (not necessarily uniform) of the lenses, we employ the Kac-Rice formula and Morse theory to deduce general formulas for the expected total number of images and the expected number of saddle images. We further generalize these results by considering random sources defined on a countable compact covering of the light source plane. This is done to introduce the notion of global expected number of positive parity images due to a general lensing map. Applying the result to microlensing, we calculate the asymptotic global expected number of minimum images in the limit of an infinite number of stars, where the stars are uniformly distributed. This global expectation is bounded, while the global expected number of images and the global expected number of saddle images diverge as the order of the number of stars. © 2009 American Institute of Physics.

HDAC6 and Ubp-M BUZ domains recognize specific C-terminal sequences of proteins.

The BUZ/Znf-UBP domain is a protein module found in the cytoplasmic deacetylase HDAC6, E3 ubiquitin ligase BRAP2/IMP, and a subfamily of ubiquitin-specific proteases. Although several BUZ domains have been shown to bind ubiquitin with high affinity by recognizing its C-terminal sequence (RLRGG-COOH), it is currently unknown whether the interaction is sequence-specific or whether the BUZ domains are capable of binding to proteins other than ubiquitin. In this work, the BUZ domains of HDAC6 and Ubp-M were subjected to screening against a one-bead-one-compound (OBOC) peptide library that exhibited random peptide sequences with free C-termini. Sequence analysis of the selected binding peptides as well as alanine scanning studies revealed that the BUZ domains require a C-terminal Gly-Gly motif for binding. At the more N-terminal positions, the two BUZ domains have distinct sequence specificities, allowing them to bind to different peptides and/or proteins. A database search of the human proteome on the basis of the BUZ domain specificities identified 11 and 24 potential partner proteins for Ubp-M and HDAC6 BUZ domains, respectively. Peptides corresponding to the C-terminal sequences of four of the predicted binding partners (FBXO11, histone H4, PTOV1, and FAT10) were synthesized and tested for binding to the BUZ domains by fluorescence polarization. All four peptides bound to the HDAC6 BUZ domain with low micromolar K(D) values and less tightly to the Ubp-M BUZ domain. Finally, in vitro pull-down assays showed that the Ubp-M BUZ domain was capable of binding to the histone H3-histone H4 tetramer protein complex. Our results suggest that BUZ domains are sequence-specific protein-binding modules, with each BUZ domain potentially binding to a different subset of proteins.

Binding of MetJ repressor to specific and nonspecific DNA and effect of S-adenosylmethionine on these interactions.

We have used analytical ultracentrifugation to characterize the binding of the methionine repressor protein, MetJ, to synthetic oligonucleotides containing zero to five specific recognition sites, called metboxes. For all lengths of DNA studied, MetJ binds more tightly to repeats of the consensus sequence than to naturally occurring metboxes, which exhibit a variable number of deviations from the consensus. Strong cooperative binding occurs only in the presence of two or more tandem metboxes, which facilitate protein-protein contacts between adjacent MetJ dimers, but weak affinity is detected even with DNA containing zero or one metbox. The affinity of MetJ for all of the DNA sequences studied is enhanced by the addition of SAM, the known cofactor for MetJ in the cell. This effect extends to oligos containing zero or one metbox, both of which bind two MetJ dimers. In the presence of a large excess concentration of metbox DNA, the effect of cooperativity is to favor populations of DNA oligos bound by two or more MetJ dimers rather than a stochastic redistribution of the repressor onto all available metboxes. These results illustrate the dynamic range of binding affinity and repressor assembly that MetJ can exhibit with DNA and the effect of the corepressor SAM on binding to both specific and nonspecific DNA.

Information relaxations and duality in stochastic dynamic programs

We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and impose a "penalty" that punishes violations of nonanticipativity. In applications, the hope is that this relaxed version of the problem will be simpler to solve than the original dynamic program. The upper bounds provided by this dual approach complement lower bounds on values that may be found by simulating with heuristic policies. We describe the theory underlying this dual approach and establish weak duality, strong duality, and complementary slackness results that are analogous to the duality results of linear programming. We also study properties of good penalties. Finally, we demonstrate the use of this dual approach in an adaptive inventory control problem with an unknown and changing demand distribution and in valuing options with stochastic volatilities and interest rates. These are complex problems of significant practical interest that are quite difficult to solve to optimality. In these examples, our dual approach requires relatively little additional computation and leads to tight bounds on the optimal values. © 2010 INFORMS.

Stochastic E2F activation and reconciliation of phenomenological cell-cycle models.

The transition of the mammalian cell from quiescence to proliferation is a highly variable process. Over the last four decades, two lines of apparently contradictory, phenomenological models have been proposed to account for such temporal variability. These include various forms of the transition probability (TP) model and the growth control (GC) model, which lack mechanistic details. The GC model was further proposed as an alternative explanation for the concept of the restriction point, which we recently demonstrated as being controlled by a bistable Rb-E2F switch. Here, through a combination of modeling and experiments, we show that these different lines of models in essence reflect different aspects of stochastic dynamics in cell cycle entry. In particular, we show that the variable activation of E2F can be described by stochastic activation of the bistable Rb-E2F switch, which in turn may account for the temporal variability in cell cycle entry. Moreover, we show that temporal dynamics of E2F activation can be recast into the frameworks of both the TP model and the GC model via parameter mapping. This mapping suggests that the two lines of phenomenological models can be reconciled through the stochastic dynamics of the Rb-E2F switch. It also suggests a potential utility of the TP or GC models in defining concise, quantitative phenotypes of cell physiology. This may have implications in classifying cell types or states.

Evolution of networks and sequences in eukaryotic cell cycle control.

The molecular networks regulating the G1-S transition in budding yeast and mammals are strikingly similar in network structure. However, many of the individual proteins performing similar network roles appear to have unrelated amino acid sequences, suggesting either extremely rapid sequence evolution, or true polyphyly of proteins carrying out identical network roles. A yeast/mammal comparison suggests that network topology, and its associated dynamic properties, rather than regulatory proteins themselves may be the most important elements conserved through evolution. However, recent deep phylogenetic studies show that fungal and animal lineages are relatively closely related in the opisthokont branch of eukaryotes. The presence in plants of cell cycle regulators such as Rb, E2F and cyclins A and D, that appear lost in yeast, suggests cell cycle control in the last common ancestor of the eukaryotes was implemented with this set of regulatory proteins. Forward genetics in non-opisthokonts, such as plants or their green algal relatives, will provide direct information on cell cycle control in these organisms, and may elucidate the potentially more complex cell cycle control network of the last common eukaryotic ancestor.

Stochastic switching in infinite dimensions with applications to random parabolic PDE

© 2015 Society for Industrial and Applied Mathematics.We consider parabolic PDEs with randomly switching boundary conditions. In order to analyze these random PDEs, we consider more general stochastic hybrid systems and prove convergence to, and properties of, a stationary distribution. Applying these general results to the heat equation with randomly switching boundary conditions, we find explicit formulae for various statistics of the solution and obtain almost sure results about its regularity and structure. These results are of particular interest for biological applications as well as for their significant departure from behavior seen in PDEs forced by disparate Gaussian noise. Our general results also have applications to other types of stochastic hybrid systems, such as ODEs with randomly switching right-hand sides.

A theory of hypoellipticity and unique ergodicity for semilinear stochastic PDEs

We present a theory of hypoellipticity and unique ergodicity for semilinear parabolic stochastic PDEs with "polynomial" nonlinearities and additive noise, considered as abstract evolution equations in some Hilbert space. It is shown that if Hörmander's bracket condition holds at every point of this Hilbert space, then a lower bound on the Malliavin covariance operatorμt can be obtained. Informally, this bound can be read as "Fix any finite-dimensional projection on a subspace of sufficiently regular functions. Then the eigenfunctions of μt with small eigenvalues have only a very small component in the image of Π." We also show how to use a priori bounds on the solutions to the equation to obtain good control on the dependency of the bounds on the Malliavin matrix on the initial condition. These bounds are sufficient in many cases to obtain the asymptotic strong Feller property introduced in [HM06]. One of the main novel technical tools is an almost sure bound from below on the size of "Wiener polynomials," where the coefficients are possibly non-adapted stochastic processes satisfying a Lips chitz condition. By exploiting the polynomial structure of the equations, this result can be used to replace Norris' lemma, which is unavailable in the present context. We conclude by showing that the two-dimensional stochastic Navier-Stokes equations and a large class of reaction-diffusion equations fit the framework of our theory.