Recently in [17, 18], we extended the concept of intrinsic ultracontractivity to nonsymmetric semigroups and proved that for a large class of non-symmetric diffusions Z with measure-valued drift and potential, the semigroup of ZD (the process obtained by killing Z upon exiting D) in a bounded domain is intrinsic ultracontractive under very mild assumptions. In this paper, we study the intrinsic...

This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the integration-by-parts formula, which lies at the core of the theory of variational stochastic calculus, as developed in the Malliavin calculus. The Greeks formulae, both with respect to initial conditions and for smooth perturbations of...

What we are learning about the ubiquitous interactions among multiple social contagion processes on complex networks challenges existing theoretical methods. We propose an interactive social behavior spreading model, in which two behaviors sequentially spread on a complex network, one following the other. Adopting the first behavior has either a synergistic or an inhibiting effect on the spread...

The past decade has borne witness to a series of legislated changes corporatising and redefining the operating environment of New Zealand’s electricity industry. Driven by a desire to enhance New Zealand’s attractiveness to industry on a global scale, these discontinuous and controversial changes have created a newly competitive environment that has forced electricity companies to rethink entre...

In this paper, we study deterministic limits of Markov processes having discontinuous drifts. While most results assume that the limiting dynamics is continuous, we show that these conditions are not necessary to prove convergence to a deterministic system. More precisely, we show that under mild assumptions, the stochastic system is a stochastic approximation algorithm with constant step size ...

This paper describes the processes and issues of annotating event nuggets based on DEFT ERE Annotation Guidelines v1.3 and TAC KBP Event Detection Annotation Guidelines 1.7. Using Brat Rapid Annotation Tool (brat), newswire and discussion forum documents were annotated. One of the challenges arising from human annotation of documents is annotators’ disagreement about the way of tagging events. ...