Results for "Georgiy Shevchenko"

total 802took 0.11s
Wave equation with a coloured stable noiseJul 26 2017We define a random measure generated by a real anisotropic harmonizable fractional stable field $Z^H$ with stability parameter $\alpha\in(1,2)$ and Hurst index $H\in(1/2,1)$ and prove that the measure is $\sigma$-additive in probability. An integral with ... More
Small ball properties and representation resultsAug 28 2015We show that small ball estimates together with Holder continuity assumption allow to obtain new representation results in models with long memory. In order to apply these results, we establish small ball probability estimates for Gaussian processes whose ... More
Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motionNov 08 2011We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter $H>1/2$. The mean-square rate of convergence of Euler approximations of solution to this equation is obtained. ... More
Adapted integral representations of random variablesApr 29 2014We study integral representations of random variables with respect to general H\"older continuous processes and with respect to two particular cases; fractional Brownian motion and mixed fractional Brownian motion. We prove that arbitrary random variable ... More
Random variables as pathwise integrals with respect to fractional Brownian motionNov 08 2011Sep 20 2012We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand $g$ can have any prescribed distribution, moreover, we give both necessary and sufficient conditions when random variables can be represented ... More
Fractional Brownian motion in a nutshellJun 08 2014This is an extended version of the lecture notes to a mini-course devoted to fractional Brownian motion and delivered to the participants of 7th Jagna International Workshop.
Mixed stochastic delay differential equationsJun 03 2013Oct 08 2013We consider a stochastic delay differential equation driven by a Holder continuous process and a Wiener process. Under fairly general assumptions on its coefficients, we prove that this equation is uniquely solvable. We also give sufficient conditions ... More
Integrability of solutions to mixed stochastic differential equationsOct 06 2013We prove that the standard conditions that provide unique solvability of a mixed stochastic differential equations also guarantee that its solution possesses finite moments. We also present conditions supplying existence of exponential moments. For a ... More
Convergence of hitting times for jump-diffusion processesSep 07 2015Oct 08 2015We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the equations and ... More
Local times for multifractional square Gaussian processesAug 21 2013We consider multifractional process given by double Ito--Wiener integrals, which generalize the multifractional Rosenblatt process. We prove that this process is continuous and has a square integrable local time.
Mixed fractional stochastic differential equations with jumpsJun 16 2012Feb 13 2013In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion (fBm) and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all its moments are finite.
Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index $H> 1/2$Mar 03 2011We consider a mixed stochastic differential equation driven by possibly dependent fractional Brownian motion and Brownian motion. Under mild regularity assumptions on the coefficients, it is proved that the equation has a unique solution.
Stochastic wave equation in a plane driven by spatial stable noiseNov 18 2016The main object of this paper is the planar wave equation \[\bigg(\frac{\partial^2}{\partial t^2}-a^2\varDelta\bigg)U(x,t)=f(x,t),\quad t\ge0, x\in \mathbb {R}^2,\] with random source $f$. The latter is, in certain sense, a symmetric $\alpha$-stable spatial ... More
Stratonovich SDE with irregular coefficients: Girsanov's example revisitedDec 13 2018Dec 27 2018In this paper we study the Stratonovich stochastic differential equation $dX=|X|^{\alpha}\circ d B$, $\alpha\in(-1,1)$, which has been introduced by Cherstvy et al.\ [New Journal of Physics 15:083039 (2013)] in the context of analysis of anomalous diffusions ... More
The rate of convergence of Euler approximations for solutions of stochastic differential equations driven by fractional Brownian motionMay 12 2007Feb 14 2008The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of solutions of pathwise ... More
Integral representation with respect to fractional Brownian motion under a log-Hölder assumptionSep 13 2015Oct 07 2015We show that if a random variable is the final value of an adapted log-H\"{o}lder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to establish this representation ... More
Malliavin regularity of solutions to mixed stochastic differential equationsMay 15 2013Aug 21 2013For a mixed stochastic differential driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the Malliavin derivative of its solution are established. It is also proved that the solution possesses exponential ... More
Real harmonizable multifractional stable process and its local propertiesDec 02 2010Feb 17 2011A real harmonizable multifractional stable process is defined, its H\"older continuity and localizability are proved. The existence of local time is shown and its regularity is established.
Integral representation with adapted continuous integrand with respect to fractional Brownian motionMar 09 2014We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous up to the final ... More
Stratonovich SDE with irregular coefficients: Girsanov's example revisitedDec 13 2018Apr 30 2019In this paper we study the Stra\-to\-no\-vich stochastic differential equation $dX=|X|^{\alpha}\circ d B$, $\alpha\in(-1,1)$, which has been introduced by Cherstvy et al.\ [New Journal of Physics 15:083039 (2013)] in the context of analysis of anomalous ... More
Existence and uniqueness of mild solution to fractional stochastic heat equationNov 29 2018For a class of non-autonomous parabolic stochastic partial differential equations defined on a bounded open subset $D \subset \mathbb{R}^d$ and driven by an $L^2(D)$-valued fractional Brownian motion with the Hurst index $H>1/2$, we establish a new result ... More
Existence of density for solutions of mixed stochastic equationsJun 07 2014We consider a mixed stochastic differential equation $d{X_t}=a(t,X_t)d{t}+b(t,X_t) d{W_t}+c(t,X_t)d{B^H_t}$ driven by independent multidimensional Wiener process and fractional Brownian motion. Under Hormander type conditions we show that the distribution ... More
Approximations for a solution to stochastic heat equation with stable noiseJul 13 2016We consider a Cauchy problem for stochastic heat equation driven by a real harmonizable fractional stable process $Z$ with Hurst parameter $H>1/2$ and stability index $\alpha>1$. It is shown that the approximations for its solution, which are defined ... More
Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutionsDec 11 2011Nov 12 2012For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H\"older continuous process $Z$ with H\"older exponent $\gamma>1/2$, we establish a new result on its unique solvability. We also establish an estimate ... More
Smooth approximations for fractional and multifractional fieldsFeb 17 2011We construct absolute continuous stochastic processes that converge to anisotropic fractional and multifractional Brownian sheets in Besov-type spaces.
Convergence of solutions of mixed stochastic delay differential equations with applicationsJul 19 2014The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a $\gamma$-H\"older continuous process with $\gamma>1/2$ (e.g. a fractional Brownian motion with Hurst parameter greater than $1/2$). It is ... More
On the distribution of local times and integral functionals of a homogeneous diffusion processJun 06 2013In this article we study a homogeneous transient diffusion process $X$. We combine the theories of differential equations and of stochastic processes to obtain new results for homogeneous diffusion processes, generalizing the results of Salminen and Yor. ... More
Asymptotic behavior of mixed power variations and statistical estimation in mixed modelsJan 06 2013Jun 19 2013We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter estimators ... More
Bounds and large deviation results for boundary non-crossing probabilities of Gaussian processesMar 14 2019We study boundary non-crossing probabilities $$ P_{f,u} := \mathrm{P}\big(\forall t\in \mathbb T\ X_t + f(t)\le u(t)\big) $$ for continuous centered Gaussian process $X$ indexed by arbitrary compact separable metrizable space $\mathbb T$. We obtain upper ... More
Replication of Wiener-transformable stochastic processes with application to financial markets with memoryAug 28 2018We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fractional Brownian motion and related processes, and, in general, Gaussian ... More
Stochastic viability and comparison theorems for mixed stochastic differential equationsNov 08 2012For a mixed stochastic differential equation containing both Wiener process and a H\"older continuous process with exponent $\gamma>1/2$, we prove a stochastic viability theorem. As a consequence, we get a result about positivity of solution and a pathwise ... More
Nonparametric estimation of the kernel function of symmetric stable moving average random functionsJun 20 2017We use the empirical normalized (smoothed) periodogram of a $S\alpha S$ moving average random function to estimate its kernel function from high frequency observation data. The weak consistency of the estimator is shown. A simulation study of the performance ... More
Existence and uniqueness of mild solution to stochastic heat equation with white and fractional noisesMar 28 2018We prove the existence and uniqueness of a mild solution for a class of non-autonomous parabolic mixed stochastic partial differential equations defined on a bounded open subset $D \subset \mathbb{R}^d$ and involving standard and fractional $L^2(D)$-valued ... More
Replicator equations and the principle of minimal production of informationJan 16 2009Many complex systems in mathematical biology and other areas can be described by the replicator equation. We show that solutions of a wide class of replicator equations minimize the production of information under time-dependent constraints, which, in ... More
Elementary analysis of galaxy clusters: similarity criteria, Tully-Fischer, and approximate invariantsApr 02 2013At observations of galaxy clusters luminosity L, size R, mass M, temperature T$_e$, sometimes velocities are usually measured. These four quantities and the gravity constant G are determined by three measurements units: mass M, length L and time T. Therefore ... More
Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian MotionSep 25 2013We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic differential equations ... More
Fractionally integrated inverse stable subordinatorsFeb 24 2016A fractionally integrated inverse stable subordinator (FIISS) is the convolution of a power function and an inverse stable subordinator. We show that the FIISS is a scaling limit in the Skorokhod space of a renewal shot noise process with heavy-tailed, ... More
Approximation of fractional Brownian motion by martingalesMay 21 2012We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exist a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a specific form. Numerical ... More
Scala-gopher: CSP-style programming techniques with idiomatic ScalaNov 02 2016Cala-gopher is a library-level Scala implementation of communication sequence process constructs: channels, selectors (similar to analogical constructs in Limbo or Go) transputers (similar to Occam proc) and a set of high-level operations on top of akka ... More
Annotated importsApr 13 2014Presented simple extensions to scala language related to import statements: exported imports, which provide ability to reuse sequence of import clauses in composable form and default rewriters, which provide mechanism for pluggable macro-based AST transformation ... More
Finite time measurements by Unruh-DeWitt detector and Landauer's principleJul 24 2016The model of Unruh-DeWitt detector coupled to the scalar field for finite time is studied. A systematic way of computing finite time corrections in various cases is suggested and nonperturbative in coupling constant effects like thermalization are discussed. ... More
A Wideband Spectrometer for NMR StudiesDec 29 2010The design of a wideband decimeter-wave (200 - 900 MHz) spectrometer with a magnetic induction of up to ~ 10 T is described. This spectrometer is intended for studying electronic - nuclear oscillations in antiferromagnets at low temperatures (4.2 - 1.3 ... More
Complete polarization control for a nanofiber waveguide using directional couplingApr 11 2019Optical nanofiber waveguides are widely used for near-field delivery and measurement of light. Despite their versatility and efficiency, nanofibers have a critical drawback - their inability to maintain light's polarization state on propagation. Here, ... More
Symbolic computation of the Birkhoff normal form in the problem of stability of the triangular libration pointsDec 26 2013The problem of stability of the triangular libration points in the planar circular restricted three-body problem is considered. A software package, intended for normalization of autonomous Hamiltonian systems by means of computer algebra, is designed ... More
The width of a chaotic layerDec 26 2013A model of nonlinear resonance as a periodically perturbed pendulum is considered, and a new method of analytical estimating the width of a chaotic layer near the separatrices of the resonance is derived for the case of slow perturbation (the case of ... More
Marginal resonances and intermittent behaviour in the motion in the vicinity of a separatrixMay 29 2016A condition upon which sporadic bursts (intermittent behaviour) of the relative energy become possible is derived for the motion in the chaotic layer around the separatrix of non-linear resonance. This is a condition for the existence of a marginal resonance, ... More
Influence of light on chemical reactivity of waterJun 07 2017Visible light, ultraviolet and x-ray radiation have been found to increase chemical reactivity of water. The irradiated solution of water in acetonitrile reacts with triethyl phosphite considerably faster than the non-irradiated control solution. This ... More
Absorbing boundary conditions for the Westervelt equationAug 21 2014The focus of this work is on the construction of a family of nonlinear absorbing boundary conditions for the Westervelt equation in one and two space dimensions. The principal ingredient used in the design of such conditions is pseudo-differential calculus. ... More
Near-threshold $K^- d$ scattering and properties of kaonic deuteriumJan 16 2012Jul 19 2012We calculated the $1s$ level shifts and widths of kaonic deuterium, corresponding to accurate results on near-threshold antikaon - deuteron scattering. The Lippmann-Schwinger eigenvalue equation with a strong $K^- - d$ and Coulomb potentials was solved. ... More
Direct connection between the different QCD orders for parton distribution and fragmentation functionsMar 25 2013The formulas directly connecting parton distribution functions (PDFs) and fragmentation functions (FFs) at the next to leading order (NLO) QCD with the same quantities at the leading order (LO) are derived. These formulas are universal, i.e. have the ... More
Lyapunov exponents in resonance multipletsDec 19 2013The problem of estimating the maximum Lyapunov exponents of the motion in a multiplet of interacting nonlinear resonances is considered for the case when the resonances have comparable strength. The corresponding theoretical approaches are considered ... More
Lyapunov and diffusion timescales in the solar neighborhoodDec 16 2010May 14 2011We estimate the Lyapunov times (characteristic times of predictability of motion) in Quillen's models for the dynamics in the solar neighborhood. These models take into account perturbations due to the Galactic bar and spiral arms. For estimating the ... More
The Kepler map in the three-body problemDec 26 2013The Kepler map was derived by Petrosky (1986) and Chirikov and Vecheslavov (1986) as a tool for description of the long-term chaotic orbital behaviour of the comets in nearly parabolic motion. It is a two-dimensional area-preserving map, describing the ... More
The dynamical temperature and the standard mapDec 19 2013Numerical experiments with the standard map at high values of the stochasticity parameter reveal the existence of simple analytical relations connecting the volume and the dynamical temperature of the chaotic component of the phase space.
Hamiltonian intermittency and Lévy flights in the three-body problemJul 10 2009Jun 28 2010We consider statistics of the disruption and Lyapunov times in an hierarchical restricted three-body problem. We show that at the edge of disruption the orbital periods and the size of the orbit of the escaping body exhibit L\'evy flights. Due to them, ... More
Three-body antikaon-nucleon systemsAug 22 2016Nov 03 2016The paper contains a review of the exact or accurate results achieved in the field of the three-body antikaon-nucleon physics. Different states and processes in $\bar{K}NN$ and $\bar{K}\bar{K}N$ systems are considered. In particular, quasi-bound states ... More
Tidal decay of circumbinary planetary systemsAug 06 2018It is shown that circumbinary planetary systems are subject to universal tidal decay (shrinkage of orbits), caused by the forced orbital eccentricity inherent to them. Circumbinary planets (CBP) are liberated from parent systems, when, owing to the shrinkage, ... More
On the maximum Lyapunov exponent of the motion in a chaotic layerMay 27 2016The maximum Lyapunov exponent (referred to the mean half-period of phase libration) of the motion in the chaotic layer of a nonlinear resonance subject to symmetric periodic perturbation, in the limit of infinitely high frequency of the perturbation, ... More
Calculation of aggregate loss distributionsAug 06 2010Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for the distributions ... More
Three-body antikaon-nucleon systemsAug 22 2016The paper contains a review of the exact or accurate results achieved in the field of the three-body antikaon-nucleon physics. Different states and processes in $\bar{K}NN$ and $\bar{K}\bar{K}N$ systems are considered. In particular, quasi-bound states ... More
Simulations of the dynamics of the debris disks in the systems Kepler-16, Kepler-34, and Kepler-35Jan 18 2019The long-term dynamics of planetesimals in debris discs in models with parameters of binary star systems Kepler-16, Kepler-34 and Kepler-35 with planets is investigated. Our calculations have shown the formation of a stable coorbital with the planet ring ... More
Scaling Matters in Deep Structured-Prediction ModelsFeb 28 2019Deep structured-prediction energy-based models combine the expressive power of learned representations and the ability of embedding knowledge about the task at hand into the system. A common way to learn parameters of such models consists in a multistage ... More
One- versus two-pole $\bar{K}N - πΣ$ potential: $K^- d$ scattering lengthMar 25 2011Sep 05 2011We investigated the dependence of the $K^- d$ scattering length on models of $\bar{K}N$ interaction with one or two poles for $\Lambda(1405)$ resonance. The $\bar{K}NN - \pi \Sigma N$ system is described by coupled-channel Faddeev equations in AGS form. ... More
Numeric Deduction in Symbolic Computation. Application to Normalizing TransformationsMay 27 2016Algorithms of numeric (in exact arithmetic) deduction of analytical expressions, proposed and described by Shevchenko and Vasiliev (1993), are developed and implemented in a computer algebra code. This code is built as a superstructure for the computer ... More
On the recurrence and Lyapunov time scales of the motion near the chaos borderMay 27 2016Conditions for the emergence of a statistical relationship between $T_r$, the chaotic transport (recurrence) time, and $T_L$, the local Lyapunov time (the inverse of the numerically measured largest Lyapunov characteristic exponent), are considered for ... More
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete samplingApr 07 2009An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on the continuous-time ... More
Implementing Loss Distribution Approach for Operational RiskApr 11 2009Jul 29 2009To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modeling issues that should be resolved to use the ... More
Estimation of Operational Risk Capital Charge under Parameter UncertaintyApr 11 2009Many banks adopt the Loss Distribution Approach to quantify the operational risk capital charge under Basel II requirements. It is common practice to estimate the capital charge using the 0.999 quantile of the annual loss distribution, calculated using ... More
Implied Correlation for Pricing multi-FX optionsApr 30 2009Option written on several foreign exchange rates (FXRs) depends on correlation between the rates. To evaluate the option, historical estimates for correlations can be used but usually they are not stable. More significantly, pricing of the option using ... More
Archimedes Force on Casimir ApparatusJun 09 2016We address a problem of Casimir apparatus in dense medium and weak gravitational field. The falling of the apparatus has to be governed by the equivalence principle, with proper account for contributions to the weight of the apparatus from its material ... More
Width of the chaotic layer: maxima due to marginal resonancesDec 19 2013Modern theoretical methods for estimating the width of the chaotic layer in presence of prominent marginal resonances are considered in the perturbed pendulum model of nonlinear resonance. The fields of applicability of these methods are explicitly and ... More
Chaotic zones around gravitating binariesMay 15 2014Jan 16 2015The extent of the continuous zone of chaotic orbits of a small-mass tertiary around a system of two gravitationally bound primaries (a double star, a double black hole, a binary asteroid, etc.) is estimated analytically, in function of the tertiary's ... More
Isentropic perturbations of a chaotic domainJan 23 2014Three major properties of the chaotic dynamics of the standard map, namely, the measure \mu of the main connected chaotic domain, the maximum Lyapunov exponent L of the motion in this domain, and the dynamical entropy h = \mu L are studied as functions ... More
On the stability of the triangular libration points: exact resultsAug 30 2007Oct 10 2007This paper has been withdrawn by the author, due to necessity of revision.
Variable Annuity with GMWB: surrender or not, that is the questionJul 31 2015Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control problem. The surrender feature available in marketed products allows termination ... More
Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal StrategyOct 31 2014A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio ... More
Faddeev calculations of the $\bar{K}NN$ system with chirally-motivated $\bar{K}N$ interaction. I. Low-energy $K^- d$ scattering and antikaonic deuteriumFeb 17 2014A chirally-motivated coupled-channel $\bar{K}N$ potential, reproducing all low-energy experimental data on $K^- p$ scattering and kaonic hydrogen and suitable for using in accurate few-body calculations, was constructed. The potential was used for calculations ... More
Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline InterpolationAug 29 2014Dec 04 2014There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset or its moments are known in closed form, it can be convenient ... More
A unified pricing of variable annuity guarantees under the optimal stochastic control frameworkMay 02 2016In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products ... More
Dependent default and recovery: MCMC study of downturn LGD credit risk modelDec 25 2011There is empirical evidence that recovery rates tend to go down just when the number of defaults goes up in economic downturns. This has to be taken into account in estimation of the capital against credit risk required by Basel II to cover losses during ... More
Primary population of antiprotonic helium statesOct 30 2003Apr 19 2004A full quantum mechanical calculation of partial cross-sections leading to different final states of antiprotonic helium atom was performed. Calculations were carried out for a wide range of antiprotonic helium states and incident (lab) energies of the ... More
Comment on "K^- d -> pi Sigma n reactions and structure of the Lambda(1405)" by S. Ohnishi, Y. Ikeda, T. Hyodo, E. Hiyama, W. WeiseAug 04 2014We strongly doubt the claimed priority of this work as the first full three-body calculation of the considered reaction.
Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest RateFeb 10 2016A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the remaining account balance at maturity, regardless of the portfolio performance. ... More
Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factorNov 12 2010Oct 31 2014It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk factor can be ... More
Exact calculations of a quasi-bound state in the $\bar{K} \bar{K} N$ systemJul 31 2015Dynamically exact calculations of a quasi-bound state in the $\bar{K}\bar{K}N$ three-body system are performed using Faddeev-type AGS equations. As input two phenomenological and one chirally motivated $\bar{K}N$ potentials are used, which describe the ... More
On extracting information about hadron-nuclear interaction from hadronic atom level shiftsNov 06 2007Apr 29 2008It is argued, that adjusting strong potentials directly to observed hadronic atom level shifts may lead to significantly different scattering lengths, than those, predicted by the Deser formula. On the example of the 1s level shift of kaonic hydrogen ... More
Faddeev calculations of the $\bar{K}NN$ system with chirally-motivated $\bar{K}N$ interaction. II. The $K^- pp$ quasi-bound stateMar 04 2014New calculations of the quasi-bound state in the $K^- pp$ system using Faddeev-type equations in AGS form with coupled $\bar{K}NN$ and $\pi \Sigma N$ channels were performed. A chiral $\bar{K}N$ potential together with phenomenological models of $\bar{K}N$ ... More
Effect of Generation of Charged Particles Fluxes by Pulsed Gas DischargeSep 11 2014The paper describes the effect of generation of electron and ion fluxes in a gas discharge, which offers, in particular, to the emergence of "blue jets" and "elves", observed during thunderstorms. An experimental facility modeling these phenomena is described. ... More
Pressure Induced Superconductivity and Structural Transitions in Ba(Fe0.9Ru0.1)2As2Apr 01 2013Mar 17 2014High pressure electrical resistance and x-ray diffraction measurements have been performed on ruthenium-doped Ba(Fe0.9Ru0.1)2As2, up to pressures of 32 GPa and down to temperatures of 10 K, using designer diamond anvils under quasi-hydrostatic conditions. ... More
A Short Tale of Long Tail IntegrationMay 11 2010Integration of the form $\int_a^\infty {f(x)w(x)dx} $, where $w(x)$ is either $\sin (\omega {\kern 1pt} x)$ or $\cos (\omega {\kern 1pt} x)$, is widely encountered in many engineering and scientific applications, such as those involving Fourier or Laplace ... More
Modeling operational risk data reported above a time-varying thresholdApr 27 2009Jul 31 2009Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the fitting and ... More
The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk ManagementOct 22 2007Feb 16 2010The t copula is often used in risk management as it allows for modelling tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often criticized due to its restriction of having a single parameter ... More
Isospin mixing effects in low-energy $\bar{K}N - πΣ$ interactionOct 31 2008Nov 06 2008New strong coupled-channel $\bar{K}N - \pi \Sigma$ potential, reproducing all existing experimental data and suitable for using in an accurate few-body calculations, is constructed. Isospin breaking effects of direct inclusion of the Coulomb interaction ... More
Capture of slow antiprotons by helium atomsDec 22 2004Mar 11 2005A consistent quantum mechanical calculation of partial cross-sections leading to different final states of antiprotonic helium atom was performed. For the four-body scattering wave function, corresponding to the initial state, as well as for the antiprotonic ... More
Valuation of capital protection optionsAug 04 2015This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal policyholder behaviour ... More
Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control OptimizationNov 20 2014Apr 07 2015In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic control problem. ... More
Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic meanMar 06 2019We study the least squares estimator for the drift parameter of the Langevin stochastic equation driven by the Rosenblatt process. Using the techniques of the Malliavin calculus and the stochastic integration with respect to the Rosenblatt process, we ... More
Metallicity of Ca2Cu6P5 with Single and Double Copper-Pnictide LayersSep 08 2015We report thermodynamic and transport properties, and also theoretical calculations, for Cu-based compound Ca2Cu6P5 and compare with CaCu(2-x)P2. Both materials have layers of edge-sharing copper pnictide tetrahedral CuP4, similar to Fe-As and Fe-Se layers ... More
Simultaneous measurement of pressure evolution of crystal structure and superconductivity in FeSe0.92 using designer diamondsOct 12 2012Simultaneous high pressure x-ray diffraction and electrical resistance measurements have been carried out on a PbO type {\alpha}-FeSe0.92 compound to a pressure of 44 GPa and temperatures down to 4 K using designer diamond anvils at synchrotron source. ... More
Quantum Encoded Quantum Evolutionary Algorithm for the Design of Quantum CircuitsSep 28 2018In this paper we present Quanrum Encoded Quantum Evolutionary Algorithm (QEQEA) and compare its performance against a a classical GPU accelerated Genetic Algorithm (GPUGA). The proposed QEQEA differs from existing quantum evolutionary algorithms in several ... More