Registered Data

[CT075]

  • Session Time & Room
    • CT075 (1/1) : 2E @F412 [Chair: Arun Kumar]
  • Classification
    • CT075 (1/1) : Stochastic processes (60G) / Partial differential equations of mathematical physics and other areas of application (35Q)

[02436] Subordinated Stochastic Processes and Applications

  • Session Time & Room : 2E (Aug.22, 17:40-19:20) @F412
  • Type : Contributed Talk
  • Abstract : A Subordinated stochastic process is obtained by time changing a parent process X_t with a positive non-deceasing stochastic process T_t. The process T_t is called the directing process or the random clock. Subordinated processes demonstrate interesting probabilistic properties and have applications in finance, economics, statistical physics, anomalous diffusion and fractional calculus. Also scaling limits of continuous time random walk depending on the conditions on mean waiting times and second moments conditions on jumps converges weakly to different subordinated stochastic process. The aim of this talk is to discuss the concept of subordinated processes and their connections to different fields.
  • Classification : 60G10, 60G18, 60G20, 62M10, 60G51
  • Format : Talk at Waseda University
  • Author(s) :
    • Arun Kumar (Department of Mathematics, Indian Institute of Technology Ropar, Rupnagar, Punjab, India 140001)

[00572] Model uncertainty for statistical arbitrage

  • Session Time & Room : 2E (Aug.22, 17:40-19:20) @F412
  • Type : Contributed Talk
  • Abstract : We consider an optimal stopping problem that addresses \textit{model uncertainty}, which affects the model assumptions, e.g., the parameters embedded in the probability distribution. The result presented in this talk shows the explicit form of the boundary indicating the optimal stopping time, assuming the portfolio value as an Ornstein-Uhlenbeck process. Applying our method might make statistical arbitrage more robust because the trading code for statistical arbitrage often depends on incorrect estimation.
  • Classification : 60G40, 60G10, 91G80
  • Format : Talk at Waseda University
  • Author(s) :
    • Daisuke Yoshikawa (Kansai University)

[00583] The empirical measure of invariant fields on sphere-cross-time

  • Session Time & Room : 2E (Aug.22, 17:40-19:20) @F412
  • Type : Contributed Talk
  • Abstract : In this talk we investigate geometric properties of random fields on the two-dimensional sphere evolving over time, that are widely used in several scientific areas to model and analyze data (e.g. in Climate Science related to Earth surface temperature). In particular we study the behavior for large time of their excursion area at any threshold, establishing both asymptotic variances and limit theorems. We will show that phase transitions can occur for specific levels and memory.
  • Classification : 60G60, 33C55, 60D05, 60F05, 62M15
  • Format : Talk at Waseda University
  • Author(s) :
    • Domenico Marinucci (University of Roma "Tor Vergata")
    • Maurizia Rossi (University of Milano-Bicocca)
    • Anna Vidotto (University of Napoli "Federico II")

[01271] Localized and degenerate controls for the incompressible Navier--Stokes system

  • Session Time & Room : 2E (Aug.22, 17:40-19:20) @F412
  • Type : Contributed Talk
  • Abstract : This talk concerns the global approximate controllability of incompressible Newtonian fluids driven by a physically localized and degenerate interior control. By introducing transported Fourier modes as building blocks, we act on the planar Navier--Stokes system via four scalar controls that depend only on time and appear as coefficients in an effectively constructed driving force supported in a given subdomain. The four unknown parameters can be computed by merely solving a linear transport controllability problem.
  • Classification : 35Q30, 35Q49, 76B75, 93B05, 93B18
  • Format : Talk at Waseda University
  • Author(s) :
    • Manuel Rissel (New York University Shanghai)
    • Vahagn Nersesyan (New York University Shanghai)

[00683] Linearized Saint-Venant Equation with Lateral Inflow in a Finite Channel

  • Session Time & Room : 2E (Aug.22, 17:40-19:20) @F412
  • Type : Contributed Talk
  • Abstract : We present a solution for linearized Saint-Venant equations with uniformly distributed lateral inflow for a finite rectangular channel. The discharge is presented as the convolution of the distributed lateral inflow and lateral channel response function. We study the behavior of lateral channel response function for different parameters. To find discharge at any location of a channel for a given channel width, the choice of reference discharge and slope of the channel play a significant role.
  • Classification : 35Q35, 44A10
  • Author(s) :
    • Swaroop Nandan Bora (Indian Institute of Technology Guwahati)
    • Shiva Kandpal (Indian Institute of Technology Guwahati)