Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy tailed jumps, and the time-fractional version codes heavy tailed waiting times. This paper develops scaling limits and governing equations in the case of correl...

We present an extension to the Gaussian copula model with jumps. We mix normal distributions which have negative means and small weights with the standard normal distribution in the Gaussian copula model to generate jumps in the default probability distribution for each underlying credit. The means and weights of the new normal distributions are used to control the size and intensity of the jum...

We study the problem of estimating a temporally varying coefficient and varying structure (VCVS) graphical model underlying data collected over a period of time, such as social states of interacting individuals or microarray expression profiles of gene networks, as opposed to i.i.d. data from an invariant model widely considered in current literature of structural estimation. In particular, we ...

In this communication we take up the age-old problem of the possibility to incorporate quantum jumps. Unusually, we investigate quantum jumps in an extended quantum setting, but one of rigorous mathematical significance. The general background for this formulation originates in the Balslev-Combes theorem for dilatation analytic Hamiltonians and associated complex symmetric representations. The ...