Stochastic models and graph theory for Zipf's law

In questo elaborato ci siamo occupati della legge di Zipf sia da un punto di vista applicativo che teorico. Tale legge empirica afferma che il rango in frequenza (RF) delle parole di un testo seguono una legge a potenza con esponente -1. Per quanto riguarda l'approccio teorico abbiamo trattato due classi di modelli in grado di ricreare leggi a potenza nella loro distribuzione di probabilità. In particolare, abbiamo considerato delle generalizzazioni delle urne di Polya e i processi SSR (Sample Space Reducing). Di questi ultimi abbiamo dato una formalizzazione in termini di catene di Markov. Infine abbiamo proposto un modello di dinamica delle popolazioni capace di unificare e riprodurre i risultati dei tre SSR presenti in letteratura. Successivamente siamo passati all'analisi quantitativa dell'andamento del RF sulle parole di un corpus di testi. Infatti in questo caso si osserva che la RF non segue una pura legge a potenza ma ha un duplice andamento che può essere rappresentato da una legge a potenza che cambia esponente. Abbiamo cercato di capire se fosse possibile legare l'analisi dell'andamento del RF con le proprietà topologiche di un grafo. In particolare, a partire da un corpus di testi abbiamo costruito una rete di adiacenza dove ogni parola era collegata tramite un link alla parola successiva. Svolgendo un'analisi topologica della struttura del grafo abbiamo trovato alcuni risultati che sembrano confermare l'ipotesi che la sua struttura sia legata al cambiamento di pendenza della RF. Questo risultato può portare ad alcuni sviluppi nell'ambito dello studio del linguaggio e della mente umana. Inoltre, siccome la struttura del grafo presenterebbe alcune componenti che raggruppano parole in base al loro significato, un approfondimento di questo studio potrebbe condurre ad alcuni sviluppi nell'ambito della comprensione automatica del testo (text mining).

Forward implied volatility expansions in LSV models

In this work we address the problem of finding formulas for efficient and reliable analytical approximation for the calculation of forward implied volatility in LSV models, a problem which is reduced to the calculation of option prices as an expansion of the price of the same financial asset in a Black-Scholes dynamic. Our approach involves an expansion of the differential operator, whose solution represents the price in local stochastic volatility dynamics. Further calculations then allow to obtain an expansion of the implied volatility without the aid of any special function or expensive from the computational point of view, in order to obtain explicit formulas fast to calculate but also as accurate as possible.

Modeling and simulation of a synthetic genetic circuit that implements a multicelled behavior in a growing microcolony of E. coli

Synthetic Biology is a relatively new discipline, born at the beginning of the New Millennium, that brings the typical engineering approach (abstraction, modularity and standardization) to biotechnology. These principles aim to tame the extreme complexity of the various components and aid the construction of artificial biological systems with specific functions, usually by means of synthetic genetic circuits implemented in bacteria or simple eukaryotes like yeast. The cell becomes a programmable machine and its low-level programming language is made of strings of DNA. This work was performed in collaboration with researchers of the Department of Electrical Engineering of the University of Washington in Seattle and also with a student of the Corso di Laurea Magistrale in Ingegneria Biomedica at the University of Bologna: Marilisa Cortesi. During the collaboration I contributed to a Synthetic Biology project already started in the Klavins Laboratory. In particular, I modeled and subsequently simulated a synthetic genetic circuit that was ideated for the implementation of a multicelled behavior in a growing bacterial microcolony. In the first chapter the foundations of molecular biology are introduced: structure of the nucleic acids, transcription, translation and methods to regulate gene expression. An introduction to Synthetic Biology completes the section. In the second chapter is described the synthetic genetic circuit that was conceived to make spontaneously emerge, from an isogenic microcolony of bacteria, two different groups of cells, termed leaders and followers. The circuit exploits the intrinsic stochasticity of gene expression and intercellular communication via small molecules to break the symmetry in the phenotype of the microcolony. The four modules of the circuit (coin flipper, sender, receiver and follower) and their interactions are then illustrated. In the third chapter is derived the mathematical representation of the various components of the circuit and the several simplifying assumptions are made explicit. Transcription and translation are modeled as a single step and gene expression is function of the intracellular concentration of the various transcription factors that act on the different promoters of the circuit. A list of the various parameters and a justification for their value closes the chapter. In the fourth chapter are described the main characteristics of the gro simulation environment, developed by the Self Organizing Systems Laboratory of the University of Washington. Then, a sensitivity analysis performed to pinpoint the desirable characteristics of the various genetic components is detailed. The sensitivity analysis makes use of a cost function that is based on the fraction of cells in each one of the different possible states at the end of the simulation and the wanted outcome. Thanks to a particular kind of scatter plot, the parameters are ranked. Starting from an initial condition in which all the parameters assume their nominal value, the ranking suggest which parameter to tune in order to reach the goal. Obtaining a microcolony in which almost all the cells are in the follower state and only a few in the leader state seems to be the most difficult task. A small number of leader cells struggle to produce enough signal to turn the rest of the microcolony in the follower state. It is possible to obtain a microcolony in which the majority of cells are followers by increasing as much as possible the production of signal. Reaching the goal of a microcolony that is split in half between leaders and followers is comparatively easy. The best strategy seems to be increasing slightly the production of the enzyme. To end up with a majority of leaders, instead, it is advisable to increase the basal expression of the coin flipper module. At the end of the chapter, a possible future application of the leader election circuit, the spontaneous formation of spatial patterns in a microcolony, is modeled with the finite state machine formalism. The gro simulations provide insights into the genetic components that are needed to implement the behavior. In particular, since both the examples of pattern formation rely on a local version of Leader Election, a short-range communication system is essential. Moreover, new synthetic components that allow to reliably downregulate the growth rate in specific cells without side effects need to be developed. In the appendix are listed the gro code utilized to simulate the model of the circuit, a script in the Python programming language that was used to split the simulations on a Linux cluster and the Matlab code developed to analyze the data.

Mathematical models for cellular aggregation: the chemotactic instability and clustering formation

In this thesis we present a mathematical formulation of the interaction between microorganisms such as bacteria or amoebae and chemicals, often produced by the organisms themselves. This interaction is called chemotaxis and leads to cellular aggregation. We derive some models to describe chemotaxis. The first is the pioneristic Keller-Segel parabolic-parabolic model and it is derived by two different frameworks: a macroscopic perspective and a microscopic perspective, in which we start with a stochastic differential equation and we perform a mean-field approximation. This parabolic model may be generalized by the introduction of a degenerate diffusion parameter, which depends on the density itself via a power law. Then we derive a model for chemotaxis based on Cattaneo's law of heat propagation with finite speed, which is a hyperbolic model. The last model proposed here is a hydrodynamic model, which takes into account the inertia of the system by a friction force. In the limit of strong friction, the model reduces to the parabolic model, whereas in the limit of weak friction, we recover a hyperbolic model. Finally, we analyze the instability condition, which is the condition that leads to aggregation, and we describe the different kinds of aggregates we may obtain: the parabolic models lead to clusters or peaks whereas the hyperbolic models lead to the formation of network patterns or filaments. Moreover, we discuss the analogy between bacterial colonies and self gravitating systems by comparing the chemotactic collapse and the gravitational collapse (Jeans instability).

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Stochastic physics and representation of El Niño Southern Oscillation in climate models

El Niño-Southern Oscillation (ENSO) è il maggiore fenomeno climatico che avviene a livello dell’Oceano Pacifico tropicale e che ha influenze ambientali, climatiche e socioeconomiche a larga scala. In questa tesi si ripercorrono i passi principali che sono stati fatti per tentare di comprendere un fenomeno così complesso. Per prima cosa, si sono studiati i meccanismi che ne governano la dinamica, fino alla formulazione del modello matematico chiamato Delayed Oscillator (DO) model, proposto da Suarez e Schopf nel 1988. In seguito, per tenere conto della natura caotica del sistema studiato, si è introdotto nel modello lo schema chiamato Stochastically Perturbed Parameterisation Tendencies (SPPT). Infine, si sono portati due esempi di soluzione numerica del DO, sia con che senza l’introduzione della correzione apportata dallo schema SPPT, e si è visto in che misura SPPT porta reali miglioramenti al modello studiato.