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Fractional Stochastic Differential Equations are becoming more popular in the literature as they can model phenomena in financial data that typical Stochastic Differential Equations models cannot. In the formulation considered here, the Hurst parameter, H, controls the Fraction of Differentiation, which needs to be estimated from the data. Fortunately, the covariance structure among observations in time is easily expressed in terms of the Hurst parameter which means that a likelihood is easily defined. This work derives the Maximum Likelihood Estimator for H, which shows that it is biased and is not a consistent estimator. Simulation data used to understand the bias of the estimator is used to create an empirical bias correction function and a bias-corrected estimator is proposed and studied. Via simulation, the bias-corrected estimator is shown to be minimally biased and its simulation-based standard error is created, which is then used to create a 95% confidence interval for H. A simulation study shows that the 95% confidence intervals have decent coverage probabilities for large n. This method is then applied to the S&P500 and VIX data before and after the 2008 financial crisis. [ABSTRACT FROM AUTHOR]

In this article, the investigation into the Lie symmetry algebra of the geodesic equations of the canonical connection on a Lie group was continued. The key ideas of Lie group, Lie algebra, linear connection, and symmetry were quickly reviewed. The focus was on those Lie groups whose Lie algebra was six-dimensional solvable and indecomposable and for which the nilradical was abelian and had a one-dimensional center. Based on the list of Lie algebras compiled by Turkowski, there were eight algebras to consider that were denoted by A6,20-A6,27. For each Lie algebra, a comprehensive symmetry analysis of the system of geodesic equations was carried out. For each symmetry Lie algebra, the nilradical and a complement to the nilradical inside the radical, as well as a semi-simple factor, were identified. [ABSTRACT FROM AUTHOR]

The COVID-19 outbreak of 2020 has required many governments to develop and adopt mathematical-statistical models of the pandemic for policy and planning purposes. To this end, this work provides a tutorial on building a compartmental model using Susceptible, Exposed, Infected, Recovered, Deaths and Vaccinated (SEIRDV) status through time. The proposed model uses interventions to quantify the impact of various government attempts made to slow the spread of the virus. Furthermore, a vaccination parameter is also incorporated in the model, which is inactive until the time the vaccine is deployed. A Bayesian framework is utilized to perform both parameter estimation and prediction. Predictions are made to determine when the peak Active Infections occur. We provide inferential frameworks for assessing the effects of government interventions on the dynamic progression of the pandemic, including the impact of vaccination. The proposed model also allows for quantification of number of excess deaths averted over the study period due to vaccination. [ABSTRACT FROM AUTHOR]

In this paper, we consider the symmetry algebra of the geodesic equations of the canonical connection on a Lie group. We mainly consider the solvable indecomposable six-dimensional Lie algebras with co-dimension two abelian nilradical that have an abelian complement. In dimension six, there are nineteen such algebras, namely, A6,1-A6,19 in Turkowski's list. For each algebra, we give the geodesic equations, a basis for the symmetry Lie algebra in terms of vector fields, and finally we identify the symmetry Lie algebra from standard lists. [ABSTRACT FROM AUTHOR]

In a recent paper, a new method was proposed to find the common invariant subspaces of a set of matrices. This paper investigates the more general problem of putting a set of matrices into block triangular or block-diagonal form simultaneously. Based on common invariant subspaces, two algorithms for simultaneous block triangularization and block diagonalization of sets of matrices are presented. As an alternate approach for simultaneous block diagonalization of sets of matrices by an invertible matrix, a new algorithm is developed based on the generalized eigenvectors of a commuting matrix. Moreover, a new characterization for the simultaneous block diagonalization by an invertible matrix is provided. The algorithms are applied to concrete examples using the symbolic manipulation system Maple. [ABSTRACT FROM AUTHOR]

During the current COVID-19 pandemic, decision-makers are tasked with implementing and evaluating strategies for both treatment and disease prevention. In order to make effective decisions, they need to simultaneously monitor various attributes of the pandemic such as transmission rate and infection rate for disease prevention, recovery rate which indicates treatment effectiveness as well as the mortality rate and others. This work presents a technique for monitoring the pandemic by employing an Susceptible, Exposed, Infected, Recovered, Death model regularly estimated by an augmented particle Markov chain Monte Carlo scheme in which the posterior distribution samples are monitored via Multivariate Exponentially Weighted Average process monitoring. This is illustrated on the COVID-19 data for the State of Qatar. [ABSTRACT FROM AUTHOR]

In this paper, we investigate a validation process in order to assess the predictive capabilities of a single degree-of-freedom oscillator. Model validation is understood here as the process of determining the accuracy with which a model can predict observed physical events or important features of the physical system. Therefore, assessment of the model needs to be performed with respect to the conditions under which the model is used in actual simulations of the system and to specific quantities of interest used for decision-making. Model validation also supposes that the model be trained and tested against experimental data. In this work, virtual data are produced from a non-linear single degree-of-freedom oscillator, the so-called oracle model, which is supposed to provide an accurate representation of reality. The mathematical model to be validated is derived from the oracle model by simply neglecting the non-linear term. The model parameters are identified via Bayesian updating. This calibration process also includes a modeling error due to model misspecification and modeled as a normal probability density function with zero mean and standard deviation to be calibrated. [ABSTRACT FROM AUTHOR]

Purpose - This study aims to find all subalgebras up to conjugacy in the real simple Lie algebra so(3; 1). Design/methodology/approach - The authors use Lie Algebra techniques to find all inequivalent subalgebras of so(3; 1) in all dimensions. Findings - The authors find all subalgebras up to conjugacy in the real simple Lie algebra so(3; 1). Originality/value - This paper is an original research idea. It will be a main reference for many applications such as solving partial differential equations. If so(3; 1) is part of the symmetry Lie algebra, then the subalgebras listed in this paper will be used to reduce the order of the partial differential equation (PDE) and produce non-equivalent solutions. [ABSTRACT FROM AUTHOR]

The COVID-19 outbreak of 2020 has required many governments to develop mathematical-statistical models of the outbreak for policy and planning purposes. This work provides a tutorial on building a compartmental model using Susceptibles, Exposed, Infected, Recovered and Deaths (SEIRD) status through time. A Bayesian Framework is utilized to perform both parameter estimation and predictions. This model uses interventions to quantify the impact of various government attempts to slow the spread of the virus. Predictions are also made to determine when the peak Active Infections will occur. [ABSTRACT FROM AUTHOR]

For each of the six-dimensional indecomposable nilpotent Lie algebras, the geodesic equations of the associated canonical Lie group connection are given. In each case, a basis for the associated Lie algebra of symmetries is constructed and analyzed. [ABSTRACT FROM AUTHOR]

We construct new examples of four-dimensional Einstein metrics with neutral signature and two-dimensional holonomy Lie algebra. [ABSTRACT FROM AUTHOR]

Predator-prey models are often used in ecology to represent realistic encounters between species. Lotka-Volterra differential equations are famously used by ecologists to model the relationship between a predator and prey. Given ecological data collection is known to be time consuming and difficult, the purpose of this paper is to optimize the process and improve sampling efficiency. The method of sequential optimality is applied to a more complex population model with multiple basins of attraction, the Lotka-Volterra differential equations. In this application, various theoretical scenarios are simulated using varying sample sizes and timeframes to determine optimal designs. The first scenario uses a standard sample size and design window to represent a realistic budget for ecological data collection. The second scenario decreases the budget and extends the design window as a representation of a limited budget. The third scenario represents ample resources available for sampling. The three scenarios are used to then compare the optimal designs and help ecologists evaluate the method of sequential optimality. I, A and D optimal designs are compared in the simulation results. The I-optimality criterion tends to outperform the A and D criteria and is recommended as a primary selection when using the sequential optimality algorithm. This simulation study has further developed sequential optimality by predicting optimal sampling regimes according to the dynamics associated with the Lotka-Volterra differential equations. [ABSTRACT FROM AUTHOR]

In this investigation, we present symmetry algebras of the canonical geodesic equations of the indecomposable solvable Lie groups of dimension five, confined to algebras A 5 , 7 a b c to A 18 a . For each algebra, the related system of geodesics is provided. Moreover, a basis for the associated Lie algebra of the symmetry vector fields, as well as the corresponding nonzero brackets, are constructed and categorized. [ABSTRACT FROM AUTHOR]