All issues

The paper is devoted to the study of relationships between discrete and continuous models financial processes and their probabilistic characteristics. First, a connection is established between the price processes of stocks, hedging portfolio and options in the models conditioned by binomial perturbations and their limit perturbations of the Brownian motion type. Secondly, analogues in the coefficients of stochastic equations with various random processes, continuous and jumpwise, and in the coefficients corresponding deterministic equations for their probabilistic characteristics. Statement of the results on the connections and finding analogies, obtained in this paper, led to the need for an adequate presentation of preliminary information and results from financial mathematics, as well as descriptions of related objects of stochastic analysis. In this paper, partially new and known results are presented in an accessible form for those who are not specialists in financial mathematics and stochastic analysis, and for whom these results are important from the point of view of applications. Specifically, the following sections are presented.

• In one- and n-period binomial models, it is proposed a unified approach to determining on the probability space a risk-neutral measure with which the discounted option price becomes a martingale. The resulting martingale formula for the option price is suitable for numerical simulation. In the following sections, the risk-neutral measures approach is applied to study financial processes in continuous-time models.

• In continuous time, models of the price of shares, hedging portfolios and options are considered in the form of stochastic equations with the Ito integral over Brownian motion and over a compensated Poisson process. The study of the properties of these processes in this section is based on one of the central objects of stochastic analysis — the Ito formula. Special attention is given to the methods of its application.

• The famous Black – Scholes formula is presented, which gives a solution to the partial differential equation for the function $v(t, x)$, which, when $x = S (t)$ is substituted, where $S(t)$ is the stock price at the moment time $t$, gives the price of the option in the model with continuous perturbation by Brownian motion.

• The analogue of the Black – Scholes formula for the case of the model with a jump-like perturbation by the Poisson process is suggested. The derivation of this formula is based on the technique of risk-neutral measures and the independence lemma.

This study proposes a methodology for anomaly detection in educational assessment data, demonstrated on the case of the 2023–2024 Basic State Exam (BSE) in mathematics in Russia. The relevance of the study is related to the absence of mandatory video surveillance during the examination period, which creates a risk of potential rule violations both by individual students and by entire educational institutions. By analyzing the distribution of primary scores, we identify a big spike in the area between grades 2 and 3 as a specific pattern in results that may indicate cases of cheating during the exam. To determine the most suspicious results, two anomaly criteria were constructed. The first criterion relies on comparing the magnitude of the spike in empirical distribution function in school’s results with the corresponding regional average level. This criterion made it possible to identify 47 educational institutions with abnormally high values of the spike. The second (general) criterion was derived from comparing students’ scores on the examination with their performance on a diagnostic mathematics test conducted in grade 8 under video surveillance. This comparison is appropriate because almost the same group of students took part in both assessments. This approach helps reduce the number of detected anomalies by distinguishing those more likely to reflect actual protocol violations from those arising due to the specific characteristics of a particular student population and their exam preparation within a given educational institution. The application of the oneclass support vector machine method enabled the identification of 12 schools with atypical anomalous results. The proposed methodology could be useful for the detection of potential cases of cheating during exams and the development of methods for preventing such behavior. In particular, it can be used to support targeted preventive work with specific schools in order to reduce the risk of exam rule violations.

Dynamic scenarios leading to multistability in the form of continuous families of stable solutions are studied for a system of autonomous differential equations. The approach is based on determining the cosymmetries of the problem, calculating stationary solutions, and numerically-analytically studying their stability. The analysis is carried out for equations of the Lotka –Volterra type, describing the interaction of two predators feeding on two related prey species. For a system of ordinary differential equations of the 4th order with 11 real parameters, a numerical-analytical study of possible interaction scenarios was carried out. Relationships are found analytically between the control parameters under which the cosymmetry linear in the variables of the problem is realized and families of stationary solutions (equilibria) arise. The case of multicosymmetry is established and explicit formulas for a two-parameter family of equilibria are presented. The analysis of the stability of these solutions made it possible to reveal the division of the family into regions of stable and unstable equilibria. In a computational experiment, the limit cycles branching off from unstable stationary solutions are determined and their multipliers corresponding to multistability are calculated. Examples of the coexistence of families of stable stationary and non-stationary solutions are presented. The analysis is carried out for the growth functions of logistic and “hyperbolic” types. Depending on the parameters, scenarios can be obtained when only stationary solutions (coexistence of prey without predators and mixed combinations), as well as families of limit cycles, are realized in the phase space. The multistability scenarios considered in the work allow one to analyze the situations that arise in the presence of several related species in the range. These results are the basis for subsequent analysis when the parameters deviate from cosymmetric relationships.

We'd like to present a specific grid infrastructure and web application development and deployment. The purpose of infrastructure and web application is to solve particular geophysical problems that require heavy computational resources. Here we cover technology overview and connector framework internals. The connector framework links problem-specific routines with middleware in a manner that developer of application doesn't have to be aware of any particular grid software. That is, the web application built with this framework acts as an interface between the user 's web browser and Grid's (often very) own middleware.

Our distributed computing system is built around Gridway metascheduler. The metascheduler is connected to TORQUE resource managers of virtual compute nodes that are being run atop of compute cluster utilizing the virtualization technology. Such approach offers several notable features that are unavailable to bare-metal compute clusters.

The first application we've integrated with our framework is seismic anisotropic parameters determination by inversion of SKS and converted phases. We've used probabilistic approach to inverse problem solution based on a posteriory probability distribution function (APDF) formalism. To get the exact solution of the problem we have to compute the values of multidimensional function. Within our implementation we used brute-force APDF calculation on rectangular grid across parameter space.

The result of computation is stored in relational DBMS and then represented in familiar human-readable form. Application provides several instruments to allow analysis of function's shape by computational results: maximum value distribution, 2D cross-sections of APDF, 2D marginals and a few other tools. During the tests we've run the application against both synthetic and observed data.

One of the most widely used storage solutions in WLCG is a Disk Pool Manager (DPM) developed and supported by SDC/ID group at CERN. Recently DPM went through a massive overhaul to address scalability and extensibility issues of the old code.

New system was called DMLite. Unlike the old DPM that was based on daemons, DMLite is arranged as a library that can be loaded directly by an application. This approach greatly improves performance and transaction rate by avoiding unnecessary inter-process communication via network as well as threading bottlenecks.

DMLite has a modular architecture with its core library providing only the very basic functionality. Backends (storage engines) and frontends (data access protocols) are implemented as plug-in modules. Doubtlessly DMLite wouldn't be able to completely replace DPM without GridFTP as it is used for most of the data transfers in WLCG.

In DPM GridFTP support was implemented in a Data Storage Interface (DSI) module for Globus’ GridFTP server. In DMLite an effort was made to rewrite a GridFTP module from scratch in order to take advantage of new DMLite features and also implement new functionality. The most important improvement over the old version is a redirection capability.

With old GridFTP frontend a client needed to contact SRM on the head node in order to obtain a transfer URL (TURL) before reading or writing a file. With new GridFTP frontend this is no longer necessary: a client may connect directly to the GridFTP server on the head node and perform file I/O using only logical file names (LFNs). Data channel is then automatically redirected to a proper disk node.

This renders the most often used part of SRM unnecessary, simplifies file access and improves performance. It also makes DMLite a more appealing choice for non-LHC VOs that were never much interested in SRM.

With new GridFTP frontend it's also possible to access data on various DMLite-supported backends like HDFS, S3 and legacy DPM.

Volunteer computing resembles private desktop grids whereas desktop grids are not fully equivalent to volunteer computing. There are several attempts to distinguish and categorize them using informal and formal methods. However, most formal approaches model a particular middleware and do not focus on the general notion of volunteer or desktop grid computing. This work makes an attempt to formalize their characteristics and relationship. To this end formal modeling is applied that tries to grasp the semantic of their functionalities — as opposed to comparisons based on properties, features, etc. We apply this modeling method to formalize the Berkeley Open Infrastructure for Network Computing (BOINC) [Anderson D. P., 2004] volunteer computing system.

The use of service-oriented approach in scientific domains can increase research productivity by enabling sharing, publication and reuse of computing applications, as well as automation of scientific workflows. Everest is a cloud platform that enables researchers with minimal skills to publish and use scientific applications as services. In contrast to existing solutions, Everest executes applications on external resources attached by users, implements flexible binding of resources to applications and supports programmatic access to the platform's functionality. The paper presents current state of the platform, recent developments and remaining challenges.

In this paper, we introduce the concept of non-uniform cellular genetic algorithm, in which a number of parameters that affect the operation of genetic operators is dependent on the location of the cells of a given cellular space. The results of numerical comparison of non-uniform cellular genetic algorithms with the standard genetic algorithms, showing the advantages of the proposed approach while minimizing multimodal functions with a large number of local extrema, are presented. The coarse-grained parallel implementation of the non-uniform algorithms using the technology of MPI is considered.