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The Small Noise Arbitrage Pricing Theory
"... This paper presents a small-noise version of the Arbitrage Pricing Theory (APT) which allows us to interpret the approximate linearity of the risk premia in terms of factor exposures for a fixed number of assets. The approximation becomes more accurate as the noise of the system decreases, even thou ..."
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This paper presents a small-noise version of the Arbitrage Pricing Theory (APT) which allows us to interpret the approximate linearity of the risk premia in terms of factor exposures for a fixed number of assets. The approximation becomes more accurate as the noise of the system decreases, even
Bursting oscillations induced by small noise
, 2008
"... We consider a model of a square-wave bursting neuron residing in the regime of tonic spiking. Upon introduction of small stochastic forcing, the model generates irregular bursting. The statistical properties of the emergent bursting patterns are studied in the present work. In particular, we identif ..."
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Cited by 10 (4 self)
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We consider a model of a square-wave bursting neuron residing in the regime of tonic spiking. Upon introduction of small stochastic forcing, the model generates irregular bursting. The statistical properties of the emergent bursting patterns are studied in the present work. In particular, we
Exploration, normalization, and summaries of high density oligonucleotide array probe level data.
- Biostatistics,
, 2003
"... SUMMARY In this paper we report exploratory analyses of high-density oligonucleotide array data from the Affymetrix GeneChip R system with the objective of improving upon currently used measures of gene expression. Our analyses make use of three data sets: a small experimental study consisting of f ..."
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Cited by 854 (33 self)
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SUMMARY In this paper we report exploratory analyses of high-density oligonucleotide array data from the Affymetrix GeneChip R system with the objective of improving upon currently used measures of gene expression. Our analyses make use of three data sets: a small experimental study consisting
On limits of wireless communications in a fading environment when using multiple antennas
- Wireless Personal Communications
, 1998
"... Abstract. This paper is motivated by the need for fundamental understanding of ultimate limits of bandwidth efficient delivery of higher bit-rates in digital wireless communications and to also begin to look into how these limits might be approached. We examine exploitation of multi-element array (M ..."
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Cited by 2426 (14 self)
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to the baseline n = 1 case, which by Shannon’s classical formula scales as one more bit/cycle for every 3 dB of signal-to-noise ratio (SNR) increase, remarkably with MEAs, the scaling is almost like n more bits/cycle for each 3 dB increase in SNR. To illustrate how great this capacity is, even for small n, take
Edgeworth expansions in small noise asymptotics ∗
, 2004
"... The paper considers Edgeworth expansions for estimators of volatility. Unlike the usual exapsions, we have found that in order to obtain meaningful terms, one needs to let the size of the noise to go zero asymptotically. This is reflected in our expansions. The results have application to Cornish-Fi ..."
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The paper considers Edgeworth expansions for estimators of volatility. Unlike the usual exapsions, we have found that in order to obtain meaningful terms, one needs to let the size of the noise to go zero asymptotically. This is reflected in our expansions. The results have application to Cornish
Large Deviations for Small Noise Diffusions with Discontinuous Statistics
"... This paper proves the large deviation principle for a class of non-degenerate small noise diffusions with discontinuous drift and with state-dependent diffusion matrix. The proof is based on a variational representation for functionals of strong solutions of stochastic differential equations and on ..."
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Cited by 7 (3 self)
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This paper proves the large deviation principle for a class of non-degenerate small noise diffusions with discontinuous drift and with state-dependent diffusion matrix. The proof is based on a variational representation for functionals of strong solutions of stochastic differential equations
THE SMALL NOISE LIMIT OF ORDER-BASED DIFFUSION PROCESSES
, 2013
"... Abstract. We introduce order-based diffusion processes as the solutions to multidimensional stochastic differential equations, with drift coefficient depending only on the ordering of the coordinates of the process and diffusion matrix proportional to the identity. These processes describe the evolu ..."
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to the discontinuity of the drift coefficient, the corresponding ordinary differential equations are ill-posed. Therefore, the small noise limit of order-based diffusion processes is not covered by the classical Freidlin-Wentzell theory. The description of this limit is the purpose of this article. We first give a
Results 1 - 10
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