Marco Papi - Academia.edu (original) (raw)

Papers by Marco Papi

Symmetry

In this work, we investigate some theoretical aspects related to the estimation approach proposed... more In this work, we investigate some theoretical aspects related to the estimation approach proposed by Liebermeister and Klipp, 2006, in which general rate laws, derived from standardized enzymatic mechanisms, are exploited to kinetically describe the fluxes of a metabolic reaction network, and multiple metabolic steady-state measurements are exploited to estimate the unknown kinetic parameters. Further mathematical details are deeply investigated, and necessary conditions on the amount of information required to solve the identification problem are given. Moreover, theoretical results for the parameter identifiability are provided, and symmetrical and modular properties of the proposed approach are highlighted when the global identification problem is decoupled into smaller and simpler identification problems related to the single reactions of the network. Among the advantages of the proposed innovative approach are (i) non-restrictive conditions to guarantee the solvability of the p...

Advances in Differential Equations

Using a generalized assumption of Osgood type, we prove a new comparison result for viscosity sub... more Using a generalized assumption of Osgood type, we prove a new comparison result for viscosity sub and supersolutions of fully nonlinear, possibly degenerate, parabolic equations. Our result allows to deal with hamiltonian functions with a quadratic growth in the spatial gradient, under special compatibility conditions with the diffusive terms. It applies in particular to a financial differential model for pricing Mortgage-Backed Securities.

Molecules, 2021

Bees and their products are useful bioindicators of anthropogenic activities and could overcome t... more Bees and their products are useful bioindicators of anthropogenic activities and could overcome the deficiencies of air quality networks. Among the environmental contaminants, mercury (Hg) is a toxic metal that can accumulate in living organisms. The first aim of this study was to develop a simple analytical method to determine Hg in small mass samples of bees and beehive products by cold vapor atomic fluorescence spectrometry. The proposed method was optimized for about 0.02 g bee, pollen, propolis, and royal jelly, 0.05 g beeswax and honey, or 0.1 g honeydew with 0.5 mL HCl, 0.2 mL HNO3, and 0.1 mL H2O2 in a water bath (95 °C, 30 min); samples were made up to a final volume of 5 mL deionized water. The method limits sample manipulation and the reagent mixture volume used. Detection limits were lower than 3 µg kg−1 for a sample mass of 0.02 g, and recoveries and precision were within 20% of the expected value and less than 10%, respectively, for many matrices. The second aim of the...

International Journal of Theoretical and Applied Finance, 2021

In this paper, we propose a new model for the joint evolution of the inflation rate, the Central ... more In this paper, we propose a new model for the joint evolution of the inflation rate, the Central Bank official interest rate and the short-term interest rate. Our model takes into account the fact that the Central Bank interest rate changes at random times, inflation is measured at fixed, regular times, while the short-term interest rate evolves essentially continuously. We derive the valuation equation for a contingent claim and show that it has a unique solution. The payoff may depend on all three economic factors of the model and the discount factor is allowed to include inflation. Our model is not an affine model. Although in some special cases the solution of the valuation equation might admit a closed form, in general it has to be solved numerically. This can be done efficiently by the algorithm that we provide. Taking as a benchmark the model of [H. W. Ho, H. H. Huang & Y. Yildirim (2014) Affine model of inflation-indexed derivatives and inflation risk premium, European Journ...

2018 European Control Conference (ECC), 2018

In this paper we aim at finding effective distributed algorithms to solve the Sparse Analytic Hie... more In this paper we aim at finding effective distributed algorithms to solve the Sparse Analytic Hierarchy Process (SAHP) problem, where a set of networked agents (e.g., wireless sensors, mobile robots or IoT devices) need to be ranked based on their utility/importance. However, instead of knowing their absolute importance, the agents know their relative utility/importance with respect to their neighbors. Moreover, such a relative information is perturbed due to errors, subjective biases or incorrect information. Recently, the Sparse Eigenvector Method proved its effectiveness in tackling this problem. However, such a method has several drawbacks, such as demanding computation/communication requirements and lack of control on the magnitude of the computed estimate. With the aim to mitigate such issues, in this paper we inspect the possibility to resort to a suite of different methodologies, each inspired to well known algorithms in the literature, i.e., Metropolis-Hastings Markov chains, Heat-Bath Markov chains and formation control. The proposed methodologies are less demanding in terms of memory and communication capabilities; however, each approach has its own strength points and drawbacks. The aim of this paper is thus to provide a numerical comparison of their performances over networks with different characteristics.

Journal of Mathematical Biology, 2021

Starting from recent experimental observations of starlings and jackdaws, we propose a minimal ag... more Starting from recent experimental observations of starlings and jackdaws, we propose a minimal agent-based mathematical model for bird flocks based on a system of second-order delayed stochastic differential equations with discontinuous (both in space and time) right-hand side. The model is specifically designed to reproduce self-organized spontaneous sudden changes of direction, not caused by external stimuli like predator's attacks. The main novelty of the model is that every bird is a potential turn initiator, thus leadership is formed in a group of indistinguishable agents. We investigate some theoretical properties of the model and we show the numerical results. Biological insights are also discussed.

IEEE Transactions on Automatic Control, 2019

In real-life problems, the following semi-supervised domain adaptation scenario is often encounte... more In real-life problems, the following semi-supervised domain adaptation scenario is often encountered: we have full access to some source data, which is usually very large; the target data distribution is under certain unknown transformation of the source data distribution; meanwhile, only a small fraction of the target instances come with labels. The goal is to learn a prediction model by incorporating information from the source domain that is able to generalize well on the target test instances. We consider an explicit form of transformation functions and especially linear transformations that maps examples from the source to the target domain, and we argue that by proper preprocessing of the data from both source and target domains, the feasible transformation functions can be characterized by a set of rotation matrices. This naturally leads to an optimization formulation under the special orthogonal group constraints. We present an iterative coordinate descent solver that is able to jointly learn the transformation as well as the model parameters, while the geodesic update ensures the manifold constraints are always satisfied. Our framework is sufficiently general to work with a variety of loss functions and prediction problems. Empirical evaluations on synthetic and realworld experiments demonstrate the competitive performance of our method with respect to the state-of-the-art.

Automatica, 2019

We consider the problem of state-feedback control of linear continuous-time stochastic systems wi... more We consider the problem of state-feedback control of linear continuous-time stochastic systems with nonlinear diffusion terms affected by time-varying input delays or, equivalently, by time-varying state measurement delays. We propose a finite-dimensional control law based on closed-loop predictors and derive sufficient delay bounds for the exponential stability in mean and exponential mean square stability with prescribed rate.

Decisions in Economics and Finance, 2019

In this paper, we investigate the problem of estimating the volatility from the underlying asset ... more In this paper, we investigate the problem of estimating the volatility from the underlying asset price for discrete-time observations. This topic has attracted much research interest due to the key role of the volatility in finance. In this paper, we consider the Heston stochastic volatility model with jumps and we develop a new polynomial filtering method for the estimation of the volatility. The method relies on a linear filter which uses a polynomial state-space formulation of the discrete version of the continuoustime model. We demonstrate that a higher-order polynomial filtering method can be efficiently applied in the context of stochastic volatility models. Then, we compare our approach with some, well-established, techniques in the literature.

Mathematical Models and Methods in Applied Sciences, 2019

In this paper, we study a hyperbolic–elliptic system on a network which arises in biological mode... more In this paper, we study a hyperbolic–elliptic system on a network which arises in biological models involving chemotaxis. We also consider suitable transmission conditions at internal points of the graph which on one hand allow discontinuous density functions at nodes, and on the other guarantee the continuity of the fluxes at each node. Finally, we prove local and global existence of non-negative solutions — the latter in the case of small (in the [Formula: see text]-norm) initial data — as well as their uniqueness.

Nonlinear Analysis, 2019

In this paper we propose local and global existence results for the solution of systems character... more In this paper we propose local and global existence results for the solution of systems characterized by the coupling of ODEs and PDEs. The coexistence of distinct mathematical formalisms represents the main feature of hybrid approaches, in which the dynamics of interacting agents are driven by second-order ODEs, while reactiondiffusion equations are used to model the time evolution of a signal influencing them. We first present an existence result of the solution, locally in time. In particular, we generalize the framework of recent works, presented in the literature with a modeling and numerical approach, which have not been investigated from an analytical point of view so far. Then, the previous result is extended in order to obtain a global solution.

Decisions in Economics and Finance, 2017

DESCRIPTION We propose a weighted average formulation for the Heston stochastic volatility option... more DESCRIPTION We propose a weighted average formulation for the Heston stochastic volatility option price to avoid the estimation of the initial volatility. This approach has been developed in the literature for the estimation of the distribution of stock price changes (returns), showing an excellent agreement with real market data. We extend this method to the calibration of option prices considering a large class of probability distributions assumed for the initial volatility parameter. The estimation error is shown to be less than the case of the simple pricing formula. Our results are also validated with a numerical comparison on observed call prices, between the proposed calibration method and the classical approach.

This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal contro... more This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. In particular, we derive estimates of the Lipschitz constant of the value function, by means of a regularity result of the multifunction that defines the admissible control set.

We describe the methods we employ for the generation of possible scenarios of the term structure ... more We describe the methods we employ for the generation of possible scenarios of the term structure evolution. The problem is originated by the request of the Italian Ministry of Economy and Finance of finding an optimal strategy for the issuance of Public Debt securities. The basic idea is to split the evolution of each rate in two parts. The first component is driven by the evolution of the official rate (the European Central Bank official rate in the present case). The second component of each rate is represented by the fluctuations having null correlation with the ECB rate. Currently we employ a simplified model in which the decisions of the ECB are influenced only by the inflation level but we are working on a more realistic model in which a Taylor's rule can be applied. As to the simulation of the fluctuations of the different maturities, we resort to a multivariate extension of the classic CIR model.

Health Care Management Science, 2014

Hospital Length of Stay (LoS) is a valid proxy to estimate the consumption of hospital resources.... more Hospital Length of Stay (LoS) is a valid proxy to estimate the consumption of hospital resources. Average LoS, however, albeit easy to quantify and calculate, can be misleading if the underlying distribution is not symmetric. Therefore the average does not reflect the nature of such underlying distribution and may mask different effects. This paper uses routinely collected data of an Italian hospital patients from different departments over a period of 5 years. This will be the basis for a running example illustrating the alternative models of patients length of stay. The models includes a new density model called Hypergamma. The paper concludes by summarizing these various modelling techniques and highlighting the use of a risk measure in bed planning.

Advanced Mathematical Methods for Finance, 2011

In this paper we derive a new equilibrium model for pricing Mortgage-Backed Securities. We prove ... more In this paper we derive a new equilibrium model for pricing Mortgage-Backed Securities. We prove that the price can be represented as the solution of a degenerate parabolic semilinear equation, and we state existence, uniqueness and regularity results in the framework of viscosity solutions. These results allow a complete justification of the model. We also obtain a convergence result of a numerical scheme to the solution of the equation.

Research in Business and Management, 2014

Health service researchers frequently study length of hospital stay (LoS) as a health outcome. Lo... more Health service researchers frequently study length of hospital stay (LoS) as a health outcome. LoS is a valid proxy to estimate the consumption of hospital resources. Average LoS, however, albeit easy to quantify and calculate, can be misleading if the underlying distribution is not symmetric. Generally originating from heavily skewed distributions, LoS data can be difficult to model with a single parametric model. Mixture models can be quite effective in dealing with such data. In this paper we proposed a generalization of the phase-type distribution in order to capture all the statistical features observed in real situations. We also propose an analysis of the discharge rate and the admission rate. Those proxies provide information on the efficiency of departments and give operational guidelines for medical staff.

Nonlinear Analysis: Theory, Methods & Applications, 2003

In these notes, we present a general result concerning the Lipschitz regularity of a certain type... more In these notes, we present a general result concerning the Lipschitz regularity of a certain type of set-valued maps often found in constrained optimization and control problems. The class of multifunctions examined in this paper is characterized by means of a set of Lipschitz continuous constraint functions defined on some Lipschitz manifold. The proof of the regularity result for this class of multifunctions is based on a quantitative version of the Implicit Function Theorem for Lipschitzian maps which provides estimates for the neighborhoods where the implicit map can be defined.

bond called “Buono del Tesoro Poliennale inflation linked ” (BTPil). In order to write down an ex... more bond called “Buono del Tesoro Poliennale inflation linked ” (BTPil). In order to write down an expression to price this bond, we propose a model for the European inflation process using the New Keynesian Phillips curve (NKPC). Moreover, we take into account the relation