In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we employ a graphical method based on visual comparison of the fitted copula density and the smoothed copula...

We introduce a simple aggregate claims model, which is able to take into account a continuous range of positive dependence between independence and comonotone dependence. It is based on a multivariate extension of the one-parameter bivariate Fréchet copula, which finds a justification as follows. The chosen model uses only one additional dependence parameter, which is chosen such that it yields...

The dependence of tropical cyclone (TC) intensification on the Coriolis parameter was investigated in an idealized hurricane model. By specifying an initial balanced vortex on an f-plane, we observed faster TC development under lower planetary vorticity environment than under higher planetary vorticity environment. The diagnosis of the model outputs indicates that the distinctive evolution char...

We study the impact parameter dependence of solutions to the Balitsky-Kovchegov (BK) equation. We argue that if the kernel of the BK integral equation is regulated to cutoff infrared singularities, then it can be approximated by an equation without diffusion in impact parameter. For some purposes, when momentum scales large compared to ΛQCD are probed, the kernel may be approximated as massless...

Abstract. We consider perturbations of quadratic maps fa admitting an absolutely continuous invariant probability measure, where a is in a certain positive measure set A of parameters, and show that in any neighborhood of any such an fa, we find a rich fauna of dynamics. There are maps with periodic attractors as well as non-periodic maps whose critical orbit is absorbed by the continuation of ...

We review the analysis of the 5σ discovery contours for the charged MSSM Higgs boson at the CMS experiment with 30 fb−1 for the two cases MH± < mt and MH± > mt . Latest results for the CMS experimental sensitivities based on full simulation studies are combined with state-ofthe-art theoretical predictions of MSSM Higgs-boson production and decay properties. Special focus is put on the SUSY para...

In many applications, such as those arising from the field of cellular networks, it is often desired to determine the interaction (graph) structure of a set of differential equations, using as data measured sensitivities. This note proposes an approach to this problem.

.The problem is studied of testing for stability a class of real polynomials in which the coefficients depend on a number of variable parameters in a multilinear way. We show that the testing for real unstable roots can be achieved by examining the stability of a finite number of corner polynomials (obtained by setting parameters at their extreme values), while checking for unstable complex roo...

Many problems from control theory can be stated as so-called robust LMI problems. In this paper, the theorem of Ehlich and Zeller, a powerful tool for analyzing polynomials and rational functions, will be presented and applied to the robust LMI problems which are used to analyze uncertain systems.