Search results: Found 9

Listing 1 - 9 of 9
Sort by
New Trends in Statistical Physics of Complex Systems

Author:
ISBN: 9783038974697 9783038974703 Year: Pages: 202 DOI: 10.3390/books978-3-03897-470-3 Language: English
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Mathematics --- Physics (General)
Added to DOAB on : 2019-01-28 09:04:46
License:

Loading...
Export citation

Choose an application

Abstract

A topical research activity in statistical physics concerns the study of complex and disordered systems. Generally, these systems are characterized by an elevated level of interconnection and interaction between the parts so that they give rise to a rich structure in the phase space that self-organizes under the control of internal non-linear dynamics. These emergent collective dynamics confer new behaviours to the whole system that are no longer the direct consequence of the properties of the single parts, but rather characterize the whole system as a new entity with its own features, giving rise to the birth of new phenomenologies. As is highlighted in this collection of papers, the methodologies of statistical physics have become very promising in understanding these new phenomena. This volume groups together 12 research works showing the use of typical tools developed within the framework of statistical mechanics, in non-linear kinetic and information geometry, to investigate emerging features in complex physical and physical-like systems.A topical research activity in statistical physics concerns the study of complex and disordered systems. Generally, these systems are characterized by an elevated level of interconnection and interaction between the parts so that they give rise to a rich structure in the phase space that self-organizes under the control of internal non-linear dynamics. These emergent collective dynamics confer new behaviours to the whole system that are no longer the direct consequence of the properties of the single parts, but rather characterize the whole system as a new entity with its own features, giving rise to the birth of new phenomenologies. As is highlighted in this collection of papers, the methodologies of statistical physics have become very promising in understanding these new phenomena. This volume groups together 12 research works showing the use of typical tools developed within the framework of statistical mechanics, in non-linear kinetic and information geometry, to investigate emerging features in complex physical and physical-like systems.

Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Authors: --- --- ---
Book Series: Springer Proceedings in Mathematics & Statistics ISSN: 2194-1009 ISBN: 9783319334455 9783319334462 Year: Volume: 165 Pages: 449 DOI: 10.1007/978-3-319-33446-2 Language: English
Publisher: Springer Nature
Subject: Mechanical Engineering --- Therapeutics --- Biotechnology --- Business and Management --- Chemical Technology
Added to DOAB on : 2017-03-08 12:08:06
License:

Loading...
Export citation

Choose an application

Abstract

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in:• Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk.• Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling.• Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations.The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities.A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

Innovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference Innovations in Insurance, Risk- and Asset Management

Authors: --- --- --- --- et al.
ISBN: 9789813272569 Year: DOI: 10.1142/11051 Language: English
Publisher: World Scientific Publishing Co.
Added to DOAB on : 2019-01-23 02:22:36
License:

Loading...
Export citation

Choose an application

Abstract

This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.

An Invitation to Statistics in Wasserstein Space

Authors: ---
Book Series: SpringerBriefs in Probability and Mathematical Statistics ISBN: 9783030384388 Year: Pages: 147 DOI: 10.1007/978-3-030-38438-8 Language: English
Publisher: Springer Nature
Subject: Mathematics
Added to DOAB on : 2020-05-14 09:30:34
License:

Loading...
Export citation

Choose an application

Abstract

This open access book presents the key aspects of statistics in Wasserstein spaces, i.e. statistics in the space of probability measures when endowed with the geometry of optimal transportation. Further to reviewing state-of-the-art aspects, it also provides an accessible introduction to the fundamentals of this current topic, as well as an overview that will serve as an invitation and catalyst for further research. Statistics in Wasserstein spaces represents an emerging topic in mathematical statistics, situated at the interface between functional data analysis (where the data are functions, thus lying in infinite dimensional Hilbert space) and non-Euclidean statistics (where the data satisfy nonlinear constraints, thus lying on non-Euclidean manifolds). The Wasserstein space provides the natural mathematical formalism to describe data collections that are best modeled as random measures on Euclidean space (e.g. images and point processes). Such random measures carry the infinite dimensional traits of functional data, but are intrinsically nonlinear due to positivity and integrability restrictions. Indeed, their dominating statistical variation arises through random deformations of an underlying template, a theme that is pursued in depth in this monograph. ; Gives a succinct introduction to necessary mathematical background, focusing on the results useful for statistics from an otherwise vast mathematical literature. Presents an up to date overview of the state of the art, including some original results, and discusses open problems. Suitable for self-study or to be used as a graduate level course text. Open access.

Dynamics Days Latin America and the Caribbean 2018

Authors: ---
ISBN: 9783039215034 9783039215041 Year: Pages: 142 DOI: 10.3390/books978-3-03921-504-1 Language: English
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Science (General) --- Mathematics
Added to DOAB on : 2019-12-09 16:10:12
License:

Loading...
Export citation

Choose an application

Abstract

This book contains various works presented at the Dynamics Days Latin America and the Caribbean (DDays LAC) 2018. Since its beginnings, a key goal of the DDays LAC has been to promote cross-fertilization of ideas from different areas within nonlinear dynamics. On this occasion, the contributions range from experimental to theoretical research, including (but not limited to) chaos, control theory, synchronization, statistical physics, stochastic processes, complex systems and networks, nonlinear time-series analysis, computational methods, fluid dynamics, nonlinear waves, pattern formation, population dynamics, ecological modeling, neural dynamics, and systems biology. The interested reader will find this book to be a useful reference in identifying ground-breaking problems in Physics, Mathematics, Engineering, and Interdisciplinary Sciences, with innovative models and methods that provide insightful solutions. This book is a must-read for anyone looking for new developments of Applied Mathematics and Physics in connection with complex systems, synchronization, neural dynamics, fluid dynamics, ecological networks, and epidemics.

Intermittency and Self-Organisation in Turbulence and Statistical Mechanics

Author:
ISBN: 9783039211081 9783039211098 Year: Pages: 298 DOI: 10.3390/books978-3-03921-109-8 Language: English
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Science (General) --- Mathematics
Added to DOAB on : 2019-08-28 11:21:27
License:

Loading...
Export citation

Choose an application

Abstract

There is overwhelming evidence, from laboratory experiments, observations, and computational studies, that coherent structures can cause intermittent transport, dramatically enhancing transport. A proper description of this intermittent phenomenon, however, is extremely difficult, requiring a new non-perturbative theory, such as statistical description. Furthermore, multi-scale interactions are responsible for inevitably complex dynamics in strongly non-equilibrium systems, a proper understanding of which remains a main challenge in classical physics. As a remarkable consequence of multi-scale interaction, a quasi-equilibrium state (the so-called self-organisation) can however be maintained. This special issue aims to present different theories of statistical mechanics to understand this challenging multiscale problem in turbulence. The 14 contributions to this Special issue focus on the various aspects of intermittency, coherent structures, self-organisation, bifurcation and nonlocality. Given the ubiquity of turbulence, the contributions cover a broad range of systems covering laboratory fluids (channel flow, the Von Kármán flow), plasmas (magnetic fusion), laser cavity, wind turbine, air flow around a high-speed train, solar wind and industrial application.

Stochastic Processes: Theory and Applications

Authors: --- ---
ISBN: 9783039219629 9783039219636 Year: Pages: 216 DOI: 10.3390/books978-3-03921-963-6 Language: English
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Science (General) --- Mathematics --- Statistics
Added to DOAB on : 2020-01-07 09:08:26
License:

Loading...
Export citation

Choose an application

Abstract

The aim of this special issue is to publish original research papers that cover recent advances in the theory and application of stochastic processes. There is especial focus on applications of stochastic processes as models of dynamic phenomena in various research areas, such as queuing theory, physics, biology, economics, medicine, reliability theory, and financial mathematics. Potential topics include, but are not limited to: Markov chains and processes; large deviations and limit theorems; random motions; stochastic biological model; reliability, availability, maintenance, inspection; queueing models; queueing network models; computational methods for stochastic models; applications to risk theory, insurance and mathematical finance.

Keywords

measure of information --- cumulative inaccuracy --- mutual information --- lower record values --- parabolic equation --- Cauchy problem --- Monte Carlo method --- unbiased estimator --- von-Neumann–Ulam scheme --- compound poisson insurance risk model --- expected discounted penalty function --- estimation --- Fourier transform --- Fourier-cosine series --- multidimensional birth-death process --- inhomogeneous continuous-time Markov chain --- rate of convergence --- one dimensional projection --- Wiener–Poisson risk model --- survival probability --- Nonparametric threshold estimation --- wet periods --- total precipitation volume --- asymptotic approximation --- extreme order statistics --- random sample size --- testing statistical hypotheses --- queueing systems --- rate of convergence --- non-stationary --- Markovian queueing models --- limiting characteristics --- queuing network --- retrials --- state-dependent marked Markovian arrival process --- wireless telecommunication networks --- time-dependent queue-length probability --- discrete-time Geo/D/1 queue --- closed-form solution --- Monte Carlo method --- quasi-Monte Carlo method --- Koksma-Hlawka inequality --- quasi-random sequences --- stochastic processes --- processor heating and cooling --- markovian arrival process --- phase-type service time distribution --- impatience --- Quasi-Birth-and-Death process --- matrix-geometric solution --- truncated distribution --- Markovian arrival process --- multi-class arrival processes --- product form --- equity-linked death benefits --- Fourier cosine series expansion --- guaranteed minimum death benefit --- option --- valuation --- Lévy process --- compound Poisson risk model --- generalized Gerber–Shiu discounted penalty function --- Laplace transform --- Dickson–Hipp operator --- recursive formula

Structural Prognostics and Health Management in Power & Energy Systems

Authors: --- --- --- --- et al.
ISBN: 9783039217663 9783039217670 Year: Pages: 218 DOI: 10.3390/books978-3-03921-767-0 Language: English
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Philosophy
Added to DOAB on : 2020-01-30 16:39:46
License:

Loading...
Export citation

Choose an application

Abstract

The idea of preparing an Energies Special Issue on “Structural Prognostics and Health Management in Power & Energy Systems” is to compile information on the recent advances in structural prognostics and health management (SPHM). Continued improvements on SPHM have been made possible through advanced signature analysis, performance degradation assessment, as well as accurate modeling of failure mechanisms by introducing advanced mathematical approaches/tools. Through combining deterministic and probabilistic modeling techniques, research on SPHM can provide assurance for new structures at a design stage and ensure construction integrity at a fabrication phase. Specifically, power and energy system failures occur under multiple sources of uncertainty/variability resulting from load variations in usage, material properties, geometry variations within tolerances, and other uncontrolled variations. Thus, advanced methods and applications for theoretical, numerical, and experimental contributions that address these issues on SPHM are desired and expected, which attempt to prevent overdesign and unnecessary inspection and provide tools to enable a balance between safety and economy to be achieved. This Special Issue has attracted submissions from China, USA, Portugal, and Italy. A total of 26 submissions were received and 11 articles finally published.

Keywords

prognostics --- residual useful life --- similarity-based approach --- supporting vector machine (SVM) --- reliability --- non-probabilistic reliability index --- sensitivity analysis --- techno-economic assessments --- life cycle cost --- vibration transmission mechanism --- underground powerhouse --- lateral-river vibration --- low frequency tail fluctuation --- rotation of hydraulic generator --- vertical axis wind turbine --- structural health monitoring --- operational modal analysis --- stochastic subspace identification --- vibration test --- offshore structures --- oil and gas platforms --- offshore wind turbines --- retrofitting activities --- renewable energy --- dynamic analysis --- wind and wave analysis --- dynamic analysis of the structure --- wave–structure interaction (WSI) --- probabilistic analyses of stochastic processes and frequency --- data-driven --- machine learning --- deep learning --- DNN --- prognostic and Health Management --- lithium-ion battery --- wind turbines --- health monitoring --- fault detection --- optimized deep belief networks --- supervisory control and data acquisition system --- multioperation condition --- wind turbine blade --- full-scale static test --- neural networks --- strain prediction --- dynamic fuzzy reliability analysis --- extremum surface response method --- weighted regression --- turbine blisk --- fuzzy safety criterion --- lithium-ion battery --- remaining useful life --- regeneration phenomenon --- wavelet decomposition --- NAR neural network --- empirical mode decomposition --- analysis mode decomposition --- analysis-empirical mode decomposition --- mode mixing --- sifting stop criterion

Entropy Applications in Environmental and Water Engineering

Authors: --- ---
ISBN: 9783038972228 Year: Pages: 512 DOI: 10.3390/books978-3-03897-223-5 Language: English
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Environmental Engineering --- General and Civil Engineering --- Technology (General)
Added to DOAB on : 2019-03-21 15:50:41
License:

Loading...
Export citation

Choose an application

Abstract

Entropy theory has wide applications to a range of problems in the fields of environmental and water engineering, including river hydraulic geometry, fluvial hydraulics, water monitoring network design, river flow forecasting, floods and droughts, river network analysis, infiltration, soil moisture, sediment transport, surface water and groundwater quality modeling, ecosystems modeling, water distribution networks, environmental and water resources management, and parameter estimation. Such applications have used several different entropy formulations, such as Shannon, Tsallis, Reacutenyi Burg, Kolmogorov, Kapur, configurational, and relative entropies, which can be derived in time, space, or frequency domains. More recently, entropy-based concepts have been coupled with other theories, including copula and wavelets, to study various issues associated with environmental and water resources systems. Recent studies indicate the enormous scope and potential of entropy theory in advancing research in the fields of environmental and water engineering, including establishing and explaining physical connections between theory and reality. The objective of this Special Issue is to provide a platform for compiling important recent and current research on the applications of entropy theory in environmental and water engineering. The contributions to this Special Issue have addressed many aspects associated with entropy theory applications and have shown the enormous scope and potential of entropy theory in advancing research in the fields of environmental and water engineering.

Keywords

complexity --- streamflow --- water level --- composite multiscale sample entropy --- trend --- Poyang Lake basin --- four-parameter exponential gamma distribution --- principle of maximum entropy --- precipitation frequency analysis --- methods of moments --- maximum likelihood estimation --- flood frequency analysis --- generalized gamma (GG) distribution --- principle of maximum entropy (POME) --- entropy theory --- principle of maximum entropy (POME) --- GB2 distribution --- flood frequency analysis --- non-point source pollution --- ANN --- entropy weighting method --- data-scarce --- multi-events --- spatio-temporal variability --- soil water content --- entropy --- arid region --- joint entropy --- NDVI --- temperature --- precipitation --- groundwater depth --- Hei River basin --- turbulent flow --- canopy flow --- randomness --- coherent structures --- Shannon entropy --- Kolmogorov complexity --- entropy --- information transfer --- optimization --- radar --- rainfall network --- water resource carrying capacity --- forewarning model --- entropy of information --- fuzzy analytic hierarchy process --- projection pursuit --- accelerating genetic algorithm --- entropy production --- conditional entropy production --- stochastic processes --- scaling --- climacogram --- turbulence --- water resources vulnerability --- connection entropy --- changing environment --- set pair analysis --- Anhui Province --- cross-entropy minimization --- land suitability evaluation --- spatial optimization --- monthly streamflow forecasting --- Burg entropy --- configurational entropy --- entropy spectral analysis time series analysis --- entropy --- water monitoring --- network design --- hydrometric network --- information theory --- entropy applications --- hydrological risk analysis --- maximum entropy-copula method --- uncertainty --- Loess Plateau --- entropy --- water engineering --- Tsallis entropy --- principle of maximum entropy --- Lagrangian function --- probability distribution function --- flux concentration relation --- uncertainty --- information --- informational entropy --- variation of information --- continuous probability distribution functions --- confidence intervals --- precipitation --- variability --- marginal entropy --- crop yield --- Hexi corridor --- flow duration curve --- Shannon entropy --- entropy parameter --- modeling --- spatial and dynamics characteristic --- hydrology --- tropical rainfall --- statistical scaling --- Tsallis entropy --- multiplicative cascades --- Beta-Lognormal model --- rainfall forecast --- cross entropy --- ant colony fuzzy clustering --- combined forecast --- information entropy --- mutual information --- kernel density estimation --- ENSO --- nonlinear relation --- scaling laws --- power laws --- water distribution networks --- robustness --- flow entropy --- entropy theory --- frequency analysis --- hydrometeorological extremes --- Bayesian technique --- rainfall --- entropy ensemble filter --- ensemble model simulation criterion --- EEF method --- bootstrap aggregating --- bagging --- bootstrap neural networks --- El Niño --- ENSO --- neural network forecast --- sea surface temperature --- tropical Pacific --- entropy --- cross elasticity --- mean annual runoff --- water resources --- resilience --- quaternary catchment --- complement --- substitute --- entropy theory --- complex systems --- hydraulics --- hydrology --- water engineering --- environmental engineering

Listing 1 - 9 of 9
Sort by