Gaussian process approximations of stochastic differential equations

Stochastic differential equations arise naturally in a range of contexts, from financial to environmental modeling. Current solution methods are limited in their representation of the posterior process in the presence of data. In this work, we present a novel Gaussian process approximation to the posterior measure over paths for a general class of stochastic differential equations in the presence of observations. The method is applied to two simple problems: the Ornstein-Uhlenbeck process, of which the exact solution is known and can be compared to, and the double-well system, for which standard approaches such as the ensemble Kalman smoother fail to provide a satisfactory result. Experiments show that our variational approximation is viable and that the results are very promising as the variational approximate solution outperforms standard Gaussian process regression for non-Gaussian Markov processes.

Analysis of operational risk of banks – catastrophe modelling

Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. First we show the basic features of operational risk and its modelling and regulatory approaches, and after we will analyse operational risk in an own developed simulation model framework. Our approach is based on the analysis of latent risk process instead of manifest risk process, which widely popular in risk literature. In our model the latent risk process is a stochastic risk process, so called Ornstein- Uhlenbeck process, which is a mean reversion process. In the model framework we define catastrophe as breach of a critical barrier by the process. We analyse the distributions of catastrophe frequency, severity and first time to hit, not only for single process, but for dual process as well. Based on our first results we could not falsify the Poisson feature of frequency, and long tail feature of severity. Distribution of “first time to hit” requires more sophisticated analysis. At the end of paper we examine advantages of simulation based forecasting, and finally we concluding with the possible, further research directions to be done in the future.

A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével = Modelling of the carbon dioxide emissions of a power plant, using real options

A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a szén-dioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai Ornstein-Uhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. ______ The carbon-dioxide emissions of an EU Emissions Trading System participant, gas-fuelled power generator are modelled by using real options for four underlying instruments (peak and off-peak electricity, gas, emission quota). This profit-maximizing power plant operates and emits pollution only if its profit (spread) on energy produced is positive. The future emissions can be estimated by a sum of European binary-spread options. Based on the real-option model, the expected value of emissions and its probability-density function can be deducted. Also calculable is the Value at Risk of emission quota position, which gives the cost of compliance at a given confidence level. To model the prices of the four underlying instruments, the geometric Ornstein-Uhlenbeck process is supposed and matched to public available price data from EEX. Based on the simulation model, the effects of various technological and market factors are analysed for the emissions level and the cost of compliance.

Stochastically forced dislocation density distribution in plastic deformation

The dynamical evolution of dislocations in plastically deformed metals is controlled by both deterministic factors arising out of applied loads and stochastic effects appearing due to fluctuations of internal stress. Such type of stochastic dislocation processes and the associated spatially inhomogeneous modes lead to randomness in the observed deformation structure. Previous studies have analyzed the role of randomness in such textural evolution but none of these models have considered the impact of a finite decay time (all previous models assumed instantaneous relaxation which is "unphysical") of the stochastic perturbations in the overall dynamics of the system. The present article bridges this knowledge gap by introducing a colored noise in the form of an Ornstein-Uhlenbeck noise in the analysis of a class of linear and nonlinear Wiener and Ornstein-Uhlenbeck processes that these structural dislocation dynamics could be mapped on to. Based on an analysis of the relevant Fokker-Planck model, our results show that linear Wiener processes remain unaffected by the second time scale in the problem but all nonlinear processes, both Wiener type and Ornstein-Uhlenbeck type, scale as a function of the noise decay time τ. The results are expected to ramify existing experimental observations and inspire new numerical and laboratory tests to gain further insight into the competition between deterministic and random effects in modeling plastically deformed samples.

Portrait of Dr. Paul Ornstein Portraits Men

Dr. Paul Ornstein in the early 1940s at his desk at the Barker Central School in Barker, NY, where he served as school physician.

Critical-point Properties of Liquids and the Born-Green Theory

Recent work of Jones et al. giving the long-range behaviour of the pair correlation function is used to confirm that the critical ratio Pc/nckBTc = 1/2 in the Born-Green theory. This deviates from experimental results on simple insulating liquids by more than the predictions of the van der Waals equation of state. A brief discussion of conditions for thermodynamic consistency, which the Born-Green theory violates, is then given. Finally, the approach of the Ornstein-Zernike correlation function to its critical point behaviour is discussed within the Born-Green theory.

Non-linear couette flow with heat transfer using the B-G-K model

In recent years a large number of investigators have devoted their efforts to the study of flow and heat transfer in rarefied gases, using the BGK [1] model or the Boltzmann kinetic equation. The velocity moment method which is based on an expansion of the distribution function as a series of orthogonal polynomials in velocity space, has been applied to the linearized problem of shear flow and heat transfer by Mott-Smith [2] and Wang Chang and Uhlenbeck [3]. Gross, Jackson and Ziering [4] have improved greatly upon this technique by expressing the distribution function in terms of half-range functions and it is this feature which leads to the rapid convergence of the method. The full-range moments method [4] has been modified by Bhatnagar [5] and then applied to plane Couette flow using the B-G-K model. Bhatnagar and Srivastava [6] have also studied the heat transfer in plane Couette flow using the linearized B-G-K equation. On the other hand, the half-range moments method has been applied by Gross and Ziering [7] to heat transfer between parallel plates using Boltzmann equation for hard sphere molecules and by Ziering [83 to shear and heat flow using Maxwell molecular model. Along different lines, a moment method has been applied by Lees and Liu [9] to heat transfer in Couette flow using Maxwell's transfer equation rather than the Boltzmann equation for distribution function. An iteration method has been developed by Willis [10] to apply it to non-linear heat transfer problems using the B-G-K model, with the zeroth iteration being taken as the solution of the collisionless kinetic equation. Krook [11] has also used the moment method to formulate the equivalent continuum equations and has pointed out that if the effects of molecular collisions are described by the B-G-K model, exact numerical solutions of many rarefied gas-dynamic problems can be obtained. Recently, these numerical solutions have been obtained by Anderson [12] for the non-linear heat transfer in Couette flow,

Non-Linear effects of membrane fluctuations in the dilute lamellar phase

The static structure factor of the dilute sterically stabilised lamellar phase is calculated and found to have an Ornstein-Zernike form with a correlation length that diverges at infinite dilution. The relaxation time for concentration fluctuations at large wave number q is shown to go as q-3 with a coefficient independent of the membrane bending rigidity. The membrane fluctuations also give rise to strongly frequency-dependent viscosities at high frequencies.

经典流体的计算机模拟试验——蒙特卡洛法和分子动力学法

<正> 物质是由分子、原子组成的。尽管我们往往在不考虑分子、原子的微观运动情况下,照样可以把握物质的宏观运动。如流体力学的基本方程,虽然不涉及流体本身是由什么组成,但我们仍然可以成功地运用它去解决实际问题。但最终要深刻认识宏观规律或进一步发现新规律,从物质的微观结构出发去探求其宏观运动规律,无疑是一个根本性的重要途径。正是由于这个原因,《流体力学年鉴》的主编在1980年特约G.E.Uhlenbeck写了一篇文章,专门论述了流体力学与统计物理学间的关系。然而,从微观角度研究物质

Kinetic theory of normal quantum fluids

Close to equilibrium, a normal Bose or Fermi fluid can be described by an exact kinetic equation whose kernel is nonlocal in space and time. The general expression derived for the kernel is evaluated to second order in the interparticle potential. The result is a wavevector- and frequency-dependent generalization of the linear Uehling-Uhlenbeck kernel with the Born approximation cross section.

The theory is formulated in terms of second-quantized phase space operators whose equilibrium averages are the n-particle Wigner distribution functions. Convenient expressions for the commutators and anticommutators of the phase space operators are obtained. The two-particle equilibrium distribution function is analyzed in terms of momentum-dependent quantum generalizations of the classical pair distribution function h(k) and direct correlation function c(k). The kinetic equation is presented as the equation of motion of a two -particle correlation function, the phase space density-density anticommutator, and is derived by a formal closure of the quantum BBGKY hierarchy. An alternative derivation using a projection operator is also given. It is shown that the method used for approximating the kernel by a second order expansion preserves all the sum rules to the same order, and that the second-order kernel satisfies the appropriate positivity and symmetry conditions.

Probing balance energy using momentum- and isospin-dependent potential

Using the momentum- and isospin-dependent Boltmann-Uehling-Uhlenbeck (BUU) model, we investigate the transverse flow and balance energy in two isotopic colliding systems Ca-48+Fe-58 and Cr-48+Ni-58 by adopting different symmetry potentials. By comparing the results between the two colliding systems, we find that the difference between the balance energies of two isotopic systems can be considered as a sensitive probe to the density dependence of symmetry energy.

Effects of elastic and inelastic NN scattering cross sections on pi(-)/pi(+) ratios in heavy-ion collisions at intermediate energies

Based on the isospin-dependent Boltzmann-Uehling-Uhlenbeck transport model and the scaling model according to nucleon effective mass, effects of elastic and inelastic NN scattering cross sections on pi(-)/pi(+) in the neutron-rich reaction of Ca-48 + Ca-48 at a beam energy of 400 MeV/nucleon are studied. It is found that cross-section effects of both NN elastic and inelastic scatterings affect Delta(1232), pi(-) and pi(+) production, as well as the value of pi(-)/pi(+).

Can the nuclear symmetry potential at supra-saturation densities be negative?

In the framework of an isospin-dependent Boltzmann-Uehling-Uhlenbeck (IBUU) transport model, for the central Au-197 + Au-197 reaction at an incident beam energy of 400 MeV/nucleon, the effect of nuclear symmetry potential at supra-saturation densities on the preequilibrium clusters emission is studied. It is found that for the positive symmetry potential at supra-saturation densities the neutron-to-proton ratio of lighter clusters with mass number A less than or similar to 3 [(n/p)(A less than or similar to 3)] is larger than that of the heavier clusters with mass number A > 3 [(n/p)(A>3)], whereas for the negative symmetry potential at supra-saturation densities the (n/p)(A less than or similar to 3) is smaller than the (n/p)(A>3). This may be considered as a probe of the negative symmetry potential at supra-saturation densities.

非相对论重离子碰撞动力学的两体关联输运理论

论文系统地介绍和分析了当前几类描述重离子碰撞动力学过程输运理论的优点和缺点，并针对这些理论的不足作为建立我们理论模型的出发点。例如BUU（Boltzmann-Uehling-Uhlenbeck）系列的输运过程，可以通过不同方法从量子多体理论依照扩展的时间相关的Hartree-Fock（ETDHF）的基本思想推导出来，并对重离子碰撞过程中有关平均场物理量给出了合理的描述。但由于推导中采用了一些半经典近似和参数化近似，破坏了平均场合碰撞项之间的动力学自洽耦合。特别是数值计算中采用了实验粒子系综平均法，从而丢失了多体关联和涨落，使其无法直接描述重离子碰撞中基本的碎块形成和多重碎裂过程。而量子分子动力学（QMD）系列的理论能够给出重离子碰撞过程中碎块形成的动力学描述，但至今无法从量子多体理论推导出有关QMD的输运方程。碰撞项是在数值计算中通过Monte Carlo抽样技术人为地加入的。那么，如何从量子多体理论出发推导出描述重离子碰撞动力学过程的，可将时间相关的平均场，多体关联进行自洽耦合描述的量子输运理论就成了本论文工作的中心目的。 基于王顺金等人建立的多体关联动力学理论，选用时间相关的相干态单粒子基矢作为新理论的工作表象，对两体关联动力学中的一体密度矩阵和两体关联函数进行轨道展开，推导出了描述非相对论重离子碰撞动力学过程的两体关联输运理论TBCTT（Two-Body Correlation Transport Theory）。TBCTT是一组包括时间相关的平均场，两体关联和Pauli原理的自洽耦合的动力学方程组。其中时间相关的相干单粒子基矢是该理论的一个关键问题。其时间演化的动力学可由多种不同的方法得到，如时间相关的Hartree-Fock方法，时间相关的变分方法等。但作为建立TBCTT工作的第一步，为了计算简便，我们采用经典的Hamilton方程来描述相干单粒子基矢中相空间参数的时间演化，然后通过与两体关联动力学的耦合而恢复TBCCT基本的量子特征。 利用TBCTT对几组轻的碰撞系统进行了数值计算和分析。计算结果表明：TBCTT可以给出重离子碰撞过程中的有关物理量时间演化过程的合理描述，得到了在不同入射道条件下与QMD模型的可比性结果。同时也在组态空间的有限截断和两体关联函数不同的等级截断下均得到了碰撞系统总动量，总能量和总粒子数的近似守恒结果，特别是能量守恒，这是一般半经典输运理论中一个重要的困难问题。另外还得到了两体关联函数不同的等级截断近似对碰撞动力学方面不同的描述。所用这些数值计算结果充分表明：TBCTT是一个有希望和有发展前途的能够描述重离子碰撞动力学的量子输运理论。最后我们对当前计算中所采用的近似和存在的问题进行了分析和讨论，提出了进一步改进和完善TBCTT的途径和方案。 我们在开始TBCTT的研究之前还对QMD进行了仔细的研究和改进。通过在平均场中引入Pauli势和对称势并利用摩擦冷却方法构造原子核基态，得到了一种改进的量子分子动力学MQMD。利用这种MQMD研究了12C+12C反应多重碎裂过程中的核结构效应，得到了与AMD和实验数据基本一致的结果。对QMD的改进和应用为开展TBCTT的研究工作创造了必要条件和准备。