Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems
In this paper we study optimal stopping problems for nonlinear Markov processes driven by a McKean-Vlasov SDE and aim at solving them numerically by Monte Carlo. To this end we propose a novel regression algorithm based on the corresponding particle system and prove its convergence. The proof of convergence is based on perturbation analysis of a related linear regression problem. The performance of the proposed algorithms is illustrated by a numerical example.
In the given paper the aggregated randomized indices method is modified for credit scoring. Coefficients of the modified method can be calibrated on a massive training set in comparison with a standard version. Different credit scoring models are analyzed, i.e. with a binary scale and a continuous one. The Monte Carlo method is applied to measure the efficiency of models.
We observe the self-assembling of the dipolar hard sphere particles at low temperature by Monte Carlo simulation. We find different types of stable structures of dipolar particles which appear when the isotropic phase of the system becomes unstable. Specifically, we find an interesting case of parallel cylindrical domains. The value of the total dipole moment of each domain is significantly large compared to the average value of the whole system. Models with dipolar interactions may form structures comprised of layers with anti-parallel dipole orientation.
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the terminal functionals. In this way the complexity order of the standard Monte Carlo algorithm (ε−3) can be reduced down to ε−2 log(ε−1) in case of the Euler scheme with ε being the precision to be achieved. These theoretical results are illustrated by several numerical examples.
The paper suggests an original credit-risk based model for deposit insurance fund adequacy assessment. The fund is treated as a portfolio of contingent liabilities to the insured deposit-holders. The fund adequacy assessment problem is treated as an economic capital adequacy problem. Implied credit rating is used as the target indicator of solvency. This approach is consistent with the contemporary risk management paradigm and the recommendations of the Basel II Capital Accord. The target level of the fund corresponding to the target solvency standard is estimated in a Monte Carlo simulation framework using the actual data on the Russian banking system covering 1998-2005. Author acknowledges the generous support and fruitful discussions with representatives of the Russian Deposit Insurance Agency. The author expresses his personal views and not the views of the Agency.
Let k be a field of characteristic zero, let G be a connected reductive algebraic group over k and let g be its Lie algebra. Let k(G), respectively, k(g), be the field of k- rational functions on G, respectively, g. The conjugation action of G on itself induces the adjoint action of G on g. We investigate the question whether or not the field extensions k(G)/k(G)^G and k(g)/k(g)^G are purely transcendental. We show that the answer is the same for k(G)/k(G)^G and k(g)/k(g)^G, and reduce the problem to the case where G is simple. For simple groups we show that the answer is positive if G is split of type A_n or C_n, and negative for groups of other types, except possibly G_2. A key ingredient in the proof of the negative result is a recent formula for the unramified Brauer group of a homogeneous space with connected stabilizers. As a byproduct of our investigation we give an affirmative answer to a question of Grothendieck about the existence of a rational section of the categorical quotient morphism for the conjugating action of G on itself.
Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny Ĝ → G is bijective; this answers Grothendieck's question cited in the epigraph. In particular, for char k = 0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char k = 0, that the algebra k[G]G of class functions on G is generated by rk G elements. We describe, for arbitrary G, a minimal generating set of k[G]G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G (for char k = 0, this has been proved earlier); this answers the other question cited in the epigraph. We also prove that the existence of a rational section is equivalent to the existence of a rational W-equivariant map T- - - >G/T where T is a maximal torus of G and W the Weyl group.