The Heston stochastic-volatility model is a square-root diffusion model for the stochasticvariance. It gives rise to a singular diffusion for the distribution as noted by Feller (1951). Hence, there is an order constraint on the relationship between the limit that the variance goes to zero and the limit that time-step goes to zero, so that any non-trivial transformation of the Heston model lead...

This matrix format is inefficient when storing frequency data since we know all entries in x are non-negative integers. Moreover, the number of bits needed to store each index in the jc array is dlog2 nze which can be significantly larger than dlog2 Ue where U is the largest number of non-zero elements in any column. Our modified CSC format simply replaces the jc array with an integer array of ...

Using the recently found by G. Horowitz and M. Roberts (arXiv:0908.3677) numerical model of the ground state of holographic superconductors (at zero temperature), we calculate the conductivity for such models. The universal relation connecting conductivity with the reflection coefficient was used for finding the conductivity by the WKB approach. The dependence of the conductivity on the frequen...

In this article we consider zero and non-zero sum risk-sensitive average criterion games for semi-Markov processes with a finite state space. For the zero-sum case, under suitable assumptions show that game has value. We also establish existence of stationary saddle point equilibrium. Nash