Alfred Müller

Bio: Alfred Müller is an academic researcher from Karlsruhe Institute of Technology. The author has contributed to research in topics: Ion & Ionization. The author has an hindex of 55, co-authored 565 publications receiving 14182 citations. Previous affiliations of Alfred Müller include National Scientific and Technical Research Council & Heriot-Watt University.

Comparison Methods for Stochastic Models and Risks

Abstract: Preface. Univariate Stochastic Orders Theory of Integral Stochastic Orders Multivariate Stochastic Orders Stochastic Models, Comparison and Monotonicity Monotonicity and Comparability of Stochastic Processes Monotonicity Properties and Bounds for Queueing Systems Applications to Various Stochastic Models Comparing Risks. List of Symbols. References. Index.

Integral Probability Metrics and Their Generating Classes of Functions

Abstract: We consider probability metrics of the following type: for a class of functions and probability measures P, Q we define A unified study of such integral probability metrics is given. We characterize the maximal class of functions that generates such a metric. Further, we show how some interesting properties of these probability metrics arise directly from conditions on the generating class of functions. The results are illustrated by several examples, including the Kolmogorov metric, the Dudley metric and the stop-loss metric.

An Indication of Anisotropy in Arrival Directions of Ultra-high-energy Cosmic Rays through Comparison to the Flux Pattern of Extragalactic Gamma-Ray Sources

Abstract: A new analysis of the data set from the Pierre Auger Observatory provides evidence for anisotropy in the arrival directions of ultra-high-energy cosmic rays on an intermediate angular scale, which is indicative of excess arrivals from strong, nearby sources. The data consist of 5514 events above 20 EeV with zenith angles up to 80 recorded before 2017 April 30. Sky models have been created for two distinct populations of extragalactic gamma-ray emitters: active galactic nuclei from the second catalog of hard Fermi-LAT sources (2FHL) and starburst galaxies from a sample that was examined with Fermi-LAT. Flux-limited samples, which include all types of galaxies from the Swift-BAT and 2MASS surveys, have been investigated for comparison. The sky model of cosmic-ray density constructed using each catalog has two free parameters, the fraction of events correlating with astrophysical objects, and an angular scale characterizing the clustering of cosmic rays around extragalactic sources. A maximum-likelihood ratio test is used to evaluate the best values of these parameters and to quantify the strength of each model by contrast with isotropy. It is found that the starburst model fits the data better than the hypothesis of isotropy with a statistical significance of 4.0σ, the highest value of the test statistic being for energies above 39 EeV. The three alternative models are favored against isotropy with 2.7σ-3.2σ significance. The origin of the indicated deviation from isotropy is examined and prospects for more sensitive future studies are discussed.

A spot market model for pricing derivatives in electricity markets

Abstract: In this paper, we analyse the evolution of prices in deregulated electricity markets. We present a general model that simultaneously takes into account the following features: seasonal patterns, price spikes, mean reversion, price dependent volatilities and long term non-stationarity. We estimate the parameters of the model using historical data from the European Energy Exchange. Finally, we demonstrate how it can be used for pricing derivatives via Monte Carlo simulation.

Generalized Quantiles as Risk Measures

Abstract: In the statistical and actuarial literature several generalizations of quantiles have been considered, by means of the minimization of a suitable asymmetric loss function. All these generalized quantiles share the important property of elicitability, that is recently receiving a lot of attention since it corresponds to the existence of a natural backtesting methodology. In this paper we investigate the case of M-quantiles, defined as the minimizers of an asymmetric convex loss function, in contrast to Orlicz quantiles, that have been considered in Bellini and Rosazza Gianin (2012). We discuss their properties as risk measures and point out the connection with the zero utility premium principle and with shortfall risk measures introduced by Follmer and Schied (2002). In particular, we show that the only M-quantiles that are coherent risk measures are the expectiles, introduced by Newey and Powell (1987) as the minimizers of an asymmetric quadratic loss function. We provide their dual and Kusuoka representations and discuss their relationship with CVaR. We analyze their asymptotic properties and show that for very heavy tailed distributions expectiles are more conservative than the usual quantiles. Finally, we show their robustness in the sense of lipschitzianity with respect to the Wasserstein metric.

I and i

Abstract: There is, I think, something ethereal about i —the square root of minus one. I remember first hearing about it at school. It seemed an odd beast at that time—an intruder hovering on the edge of reality. Usually familiarity dulls this sense of the bizarre, but in the case of i it was the reverse: over the years the sense of its surreal nature intensified. It seemed that it was impossible to write mathematics that described the real world in …

Phd by thesis

Abstract: Deposits of clastic carbonate-dominated (calciclastic) sedimentary slope systems in the rock record have been identified mostly as linearly-consistent carbonate apron deposits, even though most ancient clastic carbonate slope deposits fit the submarine fan systems better. Calciclastic submarine fans are consequently rarely described and are poorly understood. Subsequently, very little is known especially in mud-dominated calciclastic submarine fan systems. Presented in this study are a sedimentological core and petrographic characterisation of samples from eleven boreholes from the Lower Carboniferous of Bowland Basin (Northwest England) that reveals a >250 m thick calciturbidite complex deposited in a calciclastic submarine fan setting. Seven facies are recognised from core and thin section characterisation and are grouped into three carbonate turbidite sequences. They include: 1) Calciturbidites, comprising mostly of highto low-density, wavy-laminated bioclast-rich facies; 2) low-density densite mudstones which are characterised by planar laminated and unlaminated muddominated facies; and 3) Calcidebrites which are muddy or hyper-concentrated debrisflow deposits occurring as poorly-sorted, chaotic, mud-supported floatstones. These

Convergence of Probability Measures

Abstract: Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.