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ItemFunctional Itô Calculus for Lévy Processes (With a View Towards Mathematical Finance)(Georgia Institute of Technology, 2023-07-24) Viquez Bolanos, Jorge Aurelio AurelioWe examine the relationship between Dupire’s functional derivative and a variant of the functional derivative developed by Kim for analyzing functionals in systems with delay. Our findings demonstrate that if Dupire’s space derivatives exist, differentiability in any continuous functional direction implies differentiability in any other direction, including the constant one. Additionally, we establish that co-invariant differentiable functionals can lead to a functional Itô formula in the Cont and Fournié path-wise setting under the right regularity conditions. Next, our attention turns to functional extensions of the Meyer-Tanaka formula and the efforts made to characterize the zero-energy term for integral representations of functionals of semimartingales. Using Eisenbaum’s idea for reversible semimartingales, we obtain an optimal integration formula for Lévy processes, which avoids imposing additional regularity requirements on the functional’s space derivative and extends other approaches using the stationary and martingale properties of Lévy processes. Finally, we address the topic of integral representations for the Delta of a path-dependent pay-off, which generalizes Benth, Di Nunno, and Khedher’s framework for the approximation of functionals of jump-diffusions to cases where they may be driven by a process satisfying a path-dependent differential equation. Our results extend Jazaerli and Saporito’s formula for the Delta of functionals to the jump-diffusion case. We propose an adjoint formula for the horizontal derivative, hoping to obtain more tractable formulas for the Delta of value options with strongly path-dependent pay-offs.
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ItemNON-PARAMETRIC ANALYSIS FOR TIME SERIES GAP DATA WITH APPLICATIONS IN ACUTE MYOCARDIAL INFARCTION DISEASE(Georgia Institute of Technology, 2021-02-15) Li, HangfanGap data problems are very popular recently, since scientists are more curious about what occurs during a period where information might be missing or unrecorded. Here, a nonparametric method called Imputed Empirical estimating (IEE) method will be illustrated. Moreover, using IEE into the medical field to estimate T_1, which is the first recovery time after an acute myocardial infraction will be discussed as well. Simulation studies are shown to assess the accuracy of the IEE estimate and demonstrate that the IEE method outperformed all other algorithms. An IEE estimate of the survival function based on the real-life data will also be provided to show the real-world application. Mathematical proofs will be provided if applicable.
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ItemTopics on the length of the longest common subsequences, with blocks, in binary random words(Georgia Institute of Technology, 2019-08-27) Zhang, YuzeThe study of LIn, the length of the longest increasing subsequences, and of LCIn, the length of the longest common and increasing subsequences in random words is classical in computer science and bioinformatics, and has been well explored over the last few decades. This dissertation studies a generalization of LCIn for two binary random words, namely, it analyzes the asymptotic behavior of LCbBn, the length of the longest common subsequences containing a fixed number, b, of blocks. We first prove that after proper centerings and scalings, LCbBn, for two sequences of i.i.d. Bernoulli random variables with possibly two different parameters, converges in law towards limits we identify. This dissertation also includes an alternative approach to the one-sequence LbBn problem, and Monte-Carlo simulations on the asymptotics of LCbBn and on the growth order of the limiting functional, as well as several extensions of the LCbBn problem to the Markov context and some connection with percolation theory.
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ItemComparison of sequences generated by a hidden Markov model(Georgia Institute of Technology, 2019-03-26) Kerchev, George GeorgievThe length $LC_n$ of the longest common subsequences of two strings $X = (X_1, \ldots, X_n)$ and $Y = (Y_1, \ldots, Y_n)$ is way to measure the similarity between $X$ and $Y$. We study the asymptotic behavior of $LC_n$ when the two strings are generated by a hidden Markov model $(Z, (X, Y))$. The latent chain $Z$ is an aperiodic time-homogeneous and irreducible finite state Markov chain and the pair $(X_i, Y_i)$ is generated according to a distribution depending of the state of $Z_i$ for every $i \geq 1$. The letters $X_i$ and $Y_i$ each take values in a finite alphabet $\mathcal{A}$. The goal of this work is to build upon asymptotic results for $LC_n$ obtained for sequences of iid random variables. Under some standard assumptions regarding the model we first prove convergence results with rates for $\mathbb{E}[LC_n]$. Then, versions of concentration inequalities for the transversal fluctuations of $LC_n$ are obtained. Finally, we have outlined a proof for a central limit theorem by building upon previous work and adapting a Stein's method estimate.
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ItemTopics on the longest common subsequences: Simulations, computations, and variance(Georgia Institute of Technology, 2018-11-07) Liu, QingqingThe study of the longest common subsequences (LCSs) of two random words/strings is classical in computer science and bioinformatics. A problem of particular probabilistic interest is to determine the limiting behavior of the expectation and variance of the length of the LCSs, as the length of the random words grows without bound. This dissertation studies this problem using both Monte-Carlo simulation and theoretical analysis. The specific questions studied here include estimating the growth order of the variance, LCSs based hypothesis testing methods for sequences similarity, theoretical upper bounds on the Chvátal-Sankoff constant of multiple sequences, and theoretical growth order of the variance when the two random words have asymmetrical distributions.
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ItemTopics in percolation and sequence analysis(Georgia Institute of Technology, 2018-07-02) Xu, ChenThis thesis studies three topics, two in percolation system and one in sequence analysis. In the first part, we prove that, for directed Bernoulli last passage percolation with i.i.d.~weights on vertices over a $n\times n$ grid and for $n$ large enough, the geodesics are shown to be concentrated in a cylinder, centered on the main diagonal and of width of order $n^{(2\kappa+2)/(2\kappa+3)}\sqrt{\ln n}$, where $1\le\kappa<\infty$ is the curvature power-index of the shape function at $(1,1)$. The methodology of proof is robust enough to also apply to directed Bernoulli first passage site percolation, and further to longest common subsequences in random words. In the second part, we prove that, in directed last passage site percolation over a $n\times\lfloor n^{\alpha}\rfloor$-grid and for i.i.d.~random weights having finite support, the order of the $r$-th central moment, $1\le r<+\infty$, of the last passage time is, for $n$ large enough, lower bounded by $n^{r(1-\alpha)/2}$, $0<\alpha<1/3$. In the last part, we address a question and a conjecture on the expected length of the longest common subsequences of two i.i.d.$\ $random permutations of $[n]:=\{1,2,...,n\}$. The question is resolved by showing that the minimal expectation is not attained in the uniform case. The conjecture asserts that $\sqrt{n}$ is a lower bound on this expectation, but we only obtain $\sqrt[3]{n}$ for it.
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ItemSmall-time asymptotics of call prices and implied volatilities for exponential Lévy models(Georgia Institute of Technology, 2015-01-08) Hoffmeyer, Allen KyleWe derive at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a selection of exponential Lévy models, restricting our attention to asset-price models whose log returns structure is a Lévy process. We consider two main problems. First, we consider very general Lévy models that are in the domain of attraction of a stable random variable. Under some relatively minor assumptions, we give first-order at-the-money call-price and implied volatility asymptotics. In the case where our Lévy process has Brownian component, we discover new orders of convergence by showing that the rate of convergence can be of the form t¹/ᵃℓ(t) where ℓ is a slowly varying function and $\alpha \in (1,2)$. We also give an example of a Lévy model which exhibits this new type of behavior where ℓ is not asymptotically constant. In the case of a Lévy process with Brownian component, we find that the order of convergence of the call price is √t. Second, we investigate the CGMY process whose call-price asymptotics are known to third order. Previously, measure transformation and technical estimation methods were the only tools available for proving the order of convergence. We give a new method that relies on the Lipton-Lewis formula, guaranteeing that we can estimate the call-price asymptotics using only the characteristic function of the Lévy process. While this method does not provide a less technical approach, it is novel and is promising for obtaining second-order call-price asymptotics for at-the-money options for a more general class of Lévy processes.
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ItemTopics in sequence analysis(Georgia Institute of Technology, 2012-11-12) Ma, JinyongThis thesis studies two topics in sequence analysis. In the first part, we investigate the large deviations of the shape of the random RSK Young diagrams, associated with a random word of size n whose letters are independently drawn from an alphabet of size m=m(n). When the letters are drawn uniformly and when both n and m converge together to infinity, m not growing too fast with respect to n, the large deviations of the shape of the Young diagrams are shown to be the same as that of the spectrum of the traceless GUE. Since the length of the top row of the Young diagrams is the length of the longest (weakly) increasing subsequence of the random word, the corresponding large deviations follow. When the letters are drawn with non-uniform probability, a control of both highest probabilities will ensure that the length of the top row of the diagrams satisfies a large deviation principle. In either case, both speeds and rate functions are identified. To complete our study, non-asymptotic concentration bounds for the length of the top row of the diagrams, are obtained for both models. In the second part, we investigate the order of the r-th, 1<= r < +∞, central moment of the length of the longest common subsequence of two independent random words of size n whose letters are identically distributed and independently drawn from a finite alphabet. When all but one of the letters are drawn with small probabilities, which depend on the size of the alphabet, the r-th central moment is shown to be of order n^{r/2}. In particular, when r=2, we get the order of the variance of the longest common subsequence.
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ItemEstimating the maximum probability of categorical classes with applications to biological diversity measurements(Georgia Institute of Technology, 2012-07-05) Huynh, HuyThe study of biological diversity has seen a tremendous growth over the past few decades. Among the commonly used indices capturing both the richness and evenness of a community, the Berger-Parker index, which relates to the maximum proportion of all species, is particularly effective. However, when the number of individuals and species grows without bound this index changes, and it is important to develop statistical tools to measure this change. In this thesis, we introduce two estimators for this maximum: the multinomial maximum and the length of the longest increasing subsequence. In both cases, the limiting distribution of the estimators, as the number of individuals and species simultaneously grows without bound, is obtained. Then, constructing the 95% confidence intervals for the maximum proportion helps improve the comparison of the Berger-Parker index among communities. Finally, we compare the two approaches by examining their associated bias corrected estimators and apply our results to environmental data.
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ItemSmall-time asymptotics and expansions of option prices under Levy-based models(Georgia Institute of Technology, 2012-06-12) Gong, RuotingThis thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several Levy-based models. To be specific, we derive the time-to-maturity asymptotic behavior for both at-the-money (ATM), out-of-the-money (OTM) and in-the-money (ITM) call-option prices under several jump-diffusion models and stochastic volatility models with Levy jumps. In the OTM and ITM cases, we consider a general stochastic volatility model with independent Levy jumps, while in the ATM case, we consider the pure-jump CGMY model with or without an independent Brownian component. An accurate modeling of the option market and asset prices requires a mixture of a continuous diffusive component and a jump component. In this thesis, we first model the log-return process of a risk asset with a jump diffusion model by combining a stochastic volatility model with an independent pure-jump Levy process. By assuming smoothness conditions on the Levy density away from the origin and a small-time large deviation principle on the stochastic volatility model, we derive the small-time expansions, of arbitrary polynomial order, in time-t, for the tail distribution of the log-return process, and for the call-option price which is not at-the-money. Moreover, our approach allows for a unified treatment of more general payoff functions. As a consequence of our tail expansions, the polynomial expansion in t of the transition density is also obtained under mild conditions. The asymptotic behavior of the ATM call-option prices is more complicated to obtain, and, in general, is given by fractional powers of t, which depends on different choices of the underlying log-return models. Here, we focus on the CGMY model, one of the most popular tempered stable models used in financial modeling. A novel second-order approximation for ATM option prices under the pure-jump CGMY Levy model is derived, and then extended to a model with an additional independent Brownian component. The third-order asymptotic behavior of the ATM option prices as well as the asymptotic behavior of the corresponding Black-Scholes implied volatilities are also addressed.