pwc-archive/papers-with-abstracts huggingface dataset:
On Simplicity and Complexity in the Brave New World of Large-Scale Neuroscience
Date: 2015-03-30 00:00:00

Technological advances have dramatically expanded our ability to probe
multi-neuronal dynamics and connectivity in the brain. However, our ability to
extract a simple conceptual understanding from complex data is increasingly
hampered by the lack of theoretically principled data analytic procedures, as
well as theoretical frameworks for how circuit connectivity and dynamics can
conspire to generate emergent behavioral and cognitive functions. We review and
outline potential avenues for progress, including new theories of high
dimensional data analysis, the need to analyze complex artificial networks, and
methods for analyzing entire spaces of circuit models, rather than one model at
a time. Such interplay between experiments, data analysis and theory will be
indispensable in catalyzing conceptual advances in the age of large-scale
neuroscience.
Prices of Options as Opinion Dynamics of the Market Players with Limited Social Influence
Date: 2015-03-30 00:00:00

The dynamics of market prices is described as the evolution of opinions in
the trading community regarding future market behavior. The price then is a
function of the voting process of the market players in favor to raise or
reduce the value of a stock. The model presented in this paper is suited for
pricing of options and was verified against real market data. The model allows
deriving the parameters of market players from available real market data,
especially maximum possible correlation (herding) and anti-correlation between
the players' opinions. The deviations of market prices from those predicted by
the Black-Scholes model, such as smile and skew implied volatilities, are
interpreted as the current values and limits of social influence of the market
players, respectively. To the best of our knowledge, this is the first work
that discriminates skew and smile phenomena. Our approach unifies and develops
a further connection between trading, voters' model, and statistical physics
analogies of opinion dynamics.
Impact of membrane bistability on dynamical response of neuronal populations
Date: 2015-03-31 00:00:00

Neurons in many brain areas can develop pronounced depolarized state of
membrane potential (up state) in addition to the normal hyperpolarized down
state near the resting potential. The influence of the up state on signal
encoding, however, is not well investigated. Here we construct a
one-dimensional bistable neuron model and calculate the linear response to
noisy oscillatory inputs analytically. We find that with the appearance of an
up state, the transmission function is enhanced by the emergence of a local
maximum at some optimal frequency and the phase lag relative to the input
signal is reduced. We characterize the dependence of the enhancement of
frequency response on intrinsic dynamics and on the occupancy of the up state.
SIS and SIR epidemic models under virtual dispersal
Date: 2015-03-31 00:00:00

In this paper, we develop a multi-group epidemic framework via virtual
dispersal where the risk of infection is a function of the residence time and
local environmental risk. This novel approach eliminates the need to define and
measure contact rates that are used in the traditional multi-group epidemic
models with heterogeneous mixing. We apply this approach to a general $n$-patch
SIS model whose basic reproduction number $\mathcal R_0 $ is computed as a
function of a patch residence-times matrix $\mathbb P$. Our analysis implies
that the resulting $n$-patch SIS model has robust dynamics when patches are
strongly connected: there is a globally stable endemic equilibrium when
$\mathcal R_0>1 $ while the disease free equilibrium is globally stable when
$\mathcal R_0\leq1 $. Our further analysis indicates that the dispersal
behavior described by the residence-times matrix $\mathbb P$ has profound
effects on the disease dynamics at the single patch level with consequences
that proper dispersal behavior along with the local environmental risk can
either promote or eliminate the endemic in particular patches. Our work
highlights the impact of residence times matrix if the patches are not strongly
connected. Our framework can be generalized in other endemic and disease
outbreak models. As an illustration, we apply our framework to a two-patch SIR
single outbreak epidemic model where the process of disease invasion is
connected to the final epidemic size relationship. We also explore the impact
of disease prevalence driven decision using a phenomenological modeling
approach in order to contrast the role of constant versus state dependent
$\mathbb P$ on disease dynamics.
Dynamic Games with Almost Perfect Information
Date: 2015-03-31 00:00:00

This paper aims to solve two fundamental problems on finite or infinite
horizon dynamic games with perfect or almost perfect information. Under some
mild conditions, we prove (1) the existence of subgame-perfect equilibria in
general dynamic games with almost perfect information, and (2) the existence of
pure-strategy subgame-perfect equilibria in perfect-information dynamic games
with uncertainty. Our results go beyond previous works on continuous dynamic
games in the sense that public randomization and the continuity requirement on
the state variables are not needed. As an illustrative application, a dynamic
stochastic oligopoly market with intertemporally dependent payoffs is
considered.
Dynkin Game of Convertible Bonds and Their Optimal Strategy
Date: 2015-03-31 00:00:00
Tasks: Position

This paper studies the valuation and optimal strategy of convertible bonds as
a Dynkin game by using the reflected backward stochastic differential equation
method and the variational inequality method. We first reduce such a Dynkin
game to an optimal stopping time problem with state constraint, and then in a
Markovian setting, we investigate the optimal strategy by analyzing the
properties of the corresponding free boundary, including its position,
asymptotics, monotonicity and regularity. We identify situations when call
precedes conversion, and vice versa. Moreover, we show that the irregular
payoff results in the possibly non-monotonic conversion boundary. Surprisingly,
the price of the convertible bond is not necessarily monotonic in time: it may
even increase when time approaches maturity.
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Date: 2015-03-31 00:00:00

This paper considers utility indifference valuation of derivatives under
model uncertainty and trading constraints, where the utility is formulated as
an additive stochastic differential utility of both intertemporal consumption
and terminal wealth, and the uncertain prospects are ranked according to a
multiple-priors model of Chen and Epstein (2002). The price is determined by
two optimal stochastic control problems (mixed with optimal stopping time in
the case of American option) of forward-backward stochastic differential
equations. By means of backward stochastic differential equation and partial
differential equation methods, we show that both bid and ask prices are closely
related to the Black-Scholes risk-neutral price with modified dividend rates.
The two prices will actually coincide with each other if there is no trading
constraint or the model uncertainty disappears. Finally, two applications to
European option and American option are discussed.
Hybrid spreading mechanisms and T cell activation shape the dynamics of HIV-1 infection
Date: 2015-03-31 00:00:00

HIV-1 can disseminate between susceptible cells by two mechanisms: cell-free
infection following fluid-phase diffusion of virions and by highly-efficient
direct cell-to-cell transmission at immune cell contacts. The contribution of
this hybrid spreading mechanism, which is also a characteristic of some
important computer worm outbreaks, to HIV-1 progression in vivo remains
unknown. Here we present a new mathematical model that explicitly incorporates
the ability of HIV-1 to use hybrid spreading mechanisms and evaluate the
consequences for HIV-1 pathogenenesis. The model captures the major phases of
the HIV-1 infection course of a cohort of treatment naive patients and also
accurately predicts the results of the Short Pulse Anti-Retroviral Therapy at
Seroconversion (SPARTAC) trial. Using this model we find that hybrid spreading
is critical to seed and establish infection, and that cell-to-cell spread and
increased CD4+ T cell activation are important for HIV-1 progression. Notably,
the model predicts that cell-to-cell spread becomes increasingly effective as
infection progresses and thus may present a considerable treatment barrier.
Deriving predictions of various treatments' influence on HIV-1 progression
highlights the importance of earlier intervention and suggests that treatments
effectively targeting cell-to-cell HIV-1 spread can delay progression to AIDS.
This study suggests that hybrid spreading is a fundamental feature of HIV
infection, and provides the mathematical framework incorporating this feature
with which to evaluate future therapeutic strategies.
IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks
Date: 2015-03-31 00:00:00

The coupled system, where one is a degenerate parabolic equation and the
other has not a diffusion term arises in the modeling of European options with
liquidity shocks. Two implicit-explicit (IMEX) schemes that preserve the
positivity of the differential problem solution are constructed and analyzed.
Numerical experiments confirm the theoretical results and illustrate the high
accuracy and efficiency of the schemes in combination with Richardson
extrapolation
Characterization of the infectious reservoir of malaria with an agent-based model calibrated to age-stratified parasite densities and infectiousness
Date: 2015-03-31 00:00:00
Tasks: Diagnostic, Management

Background Elimination of malaria can only be achieved through removal of all
vectors or complete depletion of the infectious reservoir in humans.
Mechanistic models can be built to synthesize diverse observations from the
field collected under a variety of conditions and subsequently used to query
the infectious reservoir in great detail. Methods The EMOD model of malaria
transmission was calibrated to prevalence, incidence, asexual parasite density,
gametocyte density, infection duration, and infectiousness data from 9 study
sites. The infectious reservoir was characterized by diagnostic detection limit
and age group over a range of transmission intensities with and without case
management and vector control. Mass screen-and-treat drug campaigns were tested
for likelihood of achieving elimination. Results The composition of the
infectious reservoir by diagnostic threshold is similar over a range of
transmission intensities, and higher intensity settings are biased toward
infections in children. Recent ramp-ups in case management and use of
insecticide-treated bednets reduce the infectious reservoir and shift the
composition toward submicroscopic infections. Mass campaigns with antimalarial
drugs are highly effective at interrupting transmission if deployed shortly
after ITN campaigns. Conclusions Low density infections comprise a substantial
portion of the infectious reservoir. Proper timing of vector control, seasonal
variation in transmission intensity, and mass drug campaigns allows lingering
population immunity to help drive a region toward elimination.
Mass campaigns with antimalarial drugs: a modelling comparison of artemether-lumefantrine and DHA-piperaquine with and without primaquine as tools for malaria control and elimination
Date: 2015-03-31 00:00:00
Tasks: Blocking

Antimalarial drugs are a powerful tool for malaria control and elimination.
Artemisinin-based combination therapies (ACTs) can reduce transmission when
widely distributed in a campaign setting. Modelling mass antimalarial campaigns
can elucidate how to most effectively deploy drug-based interventions and
quantitatively compare the effects of cure, prophylaxis, and
transmission-blocking in suppressing parasite prevalence. A previously
established agent-based model that includes innate and adaptive immunity was
used to simulate malaria infections and transmission. Pharmacokinetics of
artemether, lumefantrine, dihydroartemisinin, piperaquine, and primaquine were
modelled with a double-exponential distribution-elimination model including
weight-dependent parameters and age-dependent dosing. Drug killing of asexual
parasites and gametocytes was calibrated to clinical data. Mass distribution of
ACTs and primaquine was simulated with seasonal mosquito dynamics at a range of
transmission intensities. A single mass campaign with antimalarial drugs is
insufficient to permanently reduce malaria prevalence when transmission is
high. Current diagnostics are insufficiently sensitive to accurately identify
asymptomatic infections, and mass-screen-and-treat campaigns are much less
efficacious than mass drug administrations. Improving campaign coverage leads
to decreased prevalence one month after the end of the campaign, while
increasing compliance lengthens the duration of protection against reinfection.
Use of a long-lasting prophylactic as part of a mass drug administration
regimen confers the most benefit under conditions of high transmission and
moderately high coverage. Addition of primaquine can reduce prevalence but
exerts its largest effect when coupled with a long-lasting prophylactic.
Multiresolution topological simplification
Date: 2015-03-31 00:00:00
Tasks: domain classification

Persistent homology has been devised as a promising tool for the topological
simplification of complex data. However, it is computationally intractable for
large data sets. In this work, we introduce multiresolution persistent homology
for tackling large data sets. Our basic idea is to match the resolution with
the scale of interest so as to create a topological microscopy for the
underlying data. We utilize flexibility-rigidity index (FRI) to access the
topological connectivity of the data set and define a rigidity density for the
filtration analysis. By appropriately tuning the resolution, we are able to
focus the topological lens on a desirable scale. The proposed multiresolution
topological analysis is validated by a hexagonal fractal image which has three
distinct scales. We further demonstrate the proposed method for extracting
topological fingerprints from DNA and RNA molecules. In particular, the
topological persistence of a virus capsid with 240 protein monomers is
successfully analyzed which would otherwise be inaccessible to the normal point
cloud method and unreliable by using coarse-grained multiscale persistent
homology. The proposed method has also been successfully applied to the protein
domain classification, which is the first time that persistent homology is used
for practical protein domain analysis, to our knowledge. The proposed
multiresolution topological method has potential applications in arbitrary data
sets, such as social networks, biological networks and graphs.
Cell-size maintenance: universal strategy revealed
Date: 2015-03-31 00:00:00

How cells maintain a stable size has fascinated scientists since the
beginning of modern biology, but has remained largely mysterious. Recently,
however, the ability to analyze single bacteria in real time has provided new,
important quantitative insights into this long-standing question in cell
biology.
Particle-based Multiscale Modeling of Calcium Puff Dynamics
Date: 2016-04-13 00:00:00

Intracellular calcium is regulated in part by the release of Ca$^{2+}$ ions
from the endoplasmic reticulum via inositol-4,5-triphosphate receptor (IP$_3$R)
channels (among other possibilities such as RyR and L-type calcium channels).
The resulting dynamics are highly diverse, lead to local calcium "puffs" as
well as global waves propagating through cells, as observed in {\it Xenopus}
oocytes, neurons, and other cell types. Local fluctuations in the number of
calcium ions play a crucial role in the onset of these features. Previous
modeling studies of calcium puff dynamics stemming from IP$_3$R channels have
predominantly focused on stochastic channel models coupled to deterministic
diffusion of ions, thereby neglecting local fluctuations of the ion number.
Tracking of individual ions is computationally difficult due to the scale
separation in the Ca$^{2+}$ concentration when channels are in the open or
closed states. In this paper, a spatial multiscale model for investigating of
the dynamics of puffs is presented. It couples Brownian motion (diffusion) of
ions with a stochastic channel gating model. The model is used to analyze
calcium puff statistics. Concentration time traces as well as channel state
information are studied. We identify the regime in which puffs can be found and
develop a mean-field theory to extract the boundary of this regime. Puffs are
only possible when the time scale of channel inhibition is sufficiently large.
Implications for the understanding of puff generation and termination are
discussed.
Targets of drugs are generally, and targets of drugs having side effects are specifically good spreaders of human interactome perturbations
Date: 2015-05-13 00:00:00
Tasks: Drug Design

Network-based methods are playing an increasingly important role in drug
design. Our main question in this paper was whether the efficiency of drug
target proteins to spread perturbations in the human interactome is larger if
the binding drugs have side effects, as compared to those which have no
reported side effects. Our results showed that in general, drug targets were
better spreaders of perturbations than non-target proteins, and in particular,
targets of drugs with side effects were also better spreaders of perturbations
than targets of drugs having no reported side effects in human protein-protein
interaction networks. Colorectal cancer-related proteins were good spreaders
and had a high centrality, while type 2 diabetes-related proteins showed an
average spreading efficiency and had an average centrality in the human
interactome. Moreover, the interactome-distance between drug targets and
disease-related proteins was higher in diabetes than in colorectal cancer. Our
results may help a better understanding of the network position and dynamics of
drug targets and disease-related proteins, and may contribute to develop
additional, network-based tests to increase the potential safety of drug
candidates.
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
Date: 2018-08-24 00:00:00

This paper studies the utility maximization on the terminal wealth with
random endowments and proportional transaction costs. To deal with unbounded
random payoffs from some illiquid claims, we propose to work with the
acceptable portfolios defined via the consistent price system (CPS) such that
the liquidation value processes stay above some stochastic thresholds. In the
market consisting of one riskless bond and one risky asset, we obtain a type of
super-hedging result. Based on this characterization of the primal space, the
existence and uniqueness of the optimal solution for the utility maximization
problem are established using the duality approach. As an important application
of the duality theorem, we provide some sufficient conditions for the existence
of a shadow price process with random endowments in a generalized form as well
as in the usual sense using acceptable portfolios.
Rate of Adaptive Evolution under Blending Inheritance
Authors: Alan R. Rogers
Date: 2015-04-01 00:00:00

In a population of size N, adaptive evolution is 2N times faster under Mendelian inheritance than the rate implied by Victorian theories of heredity and evolution.
Accurate Evaluation of Charge Asymmetry in Aqueous Solvation
Date: 2015-05-11 00:00:00

Charge hydration asymmetry (CHA)--a characteristic dependence of hydration
free energy on the sign of the solute charge--quantifies the asymmetric
response of water to electric field at microscopic level. Accurate estimates of
CHA are critical for understanding hydration effects ubiquitous in chemistry
and biology. However, measuring hydration energies of charged species is
fraught with significant difficulties, which lead to unacceptably large (up to
300%) variation in the available estimates of the CHA effect. We circumvent
these difficulties by developing a framework which allows us to extract and
accurately estimate the intrinsic propensity of water to exhibit CHA from
accurate experimental hydration free energies of neutral polar molecules.
Specifically, from a set of 504 small molecules we identify two pairs that are
analogous, with respect to CHA, to the K+/F- pair--a classical probe for the
effect. We use these "CHA-conjugate" molecule pairs to quantify the intrinsic
charge-asymmetric response of water to the microscopic charge perturbations:
the asymmetry of the response is strong, ~50% of the average hydration free
energy of these molecules. The ability of widely used classical water models to
predict hydration energies of small molecules correlates with their ability to
predict CHA.
A Markov model of a limit order book: thresholds, recurrence, and trading strategies
Date: 2017-03-23 00:00:00

We analyze a tractable model of a limit order book on short time scales,
where the dynamics are driven by stochastic fluctuations between supply and
demand. We establish the existence of a limiting distribution for the highest
bid, and for the lowest ask, where the limiting distributions are confined
between two thresholds. We make extensive use of fluid limits in order to
establish recurrence properties of the model. We use the model to analyze
various high-frequency trading strategies, and comment on the Nash equilibria
that emerge between high-frequency traders when a market in continuous time is
replaced by frequent batch auctions.
aa-tRNA competition is crucial for the effective translation efficiency
Date: 2015-03-31 00:00:00
Tasks: Translation

Translation is a central biological process by which proteins are synthesized
from genetic information contained within mRNAs. Here we study the kinetics of
translation at molecular level through a stochastic simulation model. The model
explicitly include RNA sequences, ribosome dynamics, tRNA pool and biochemical
reactions in the translation elongation. The results show that the translation
efficiency is mainly limited by the available ribosome number, translation
initiation and the translation elongation time. The elongation time is
log-normal distribution with mean and variance determined by both the codon
saturation and the process of aa-tRNA selection at each codon binding.
Moreover, our simulations show that the translation accuracy exponentially
decreases with the sequence length. These results suggest that aa-tRNA
competition is crucial for both translation elongation, translation efficiency
and the accuracy, which in turn determined the effective protein production
rate of correct proteins. Our results improve the dynamical equation of protein
production with a delay differential equation which is dependent on sequence
informations through both the effective production rate and the distribution of
elongation time.