Andrew Papanicolaou

Learn More
Shift of the cortical mechanisms of language from the usually dominant left to the non-dominant right hemisphere has been demonstrated in the presence of large brain lesions. Here, we report a similar phenomenon in a patient with a cavernoma over the anterolateral superior temporal gyrus associated with epilepsy. Language mapping was performed by two(More)
Volatility products have become popular in the past 15 years as a hedge against market uncertainty. In particular, there is growing interest in options on the VIX volatility index. A number of recent empirical studies examine whether there is significantly greater risk premium in VIX option prices compared with S&P 500 option prices. We address this issue(More)
We analyze the Merton portfolio optimization problem when the growth rate is an unobserved Gaussian process whose level is estimated by filtering from observations of the stock price. We use the Kalman filter to track the hidden state(s) of expected returns given the history of asset prices, and then use this filter as input to a portfolio problem with an(More)
We consider the problem of filtering and control in the setting of portfolio optimization in financial markets with random factors that are not directly observable. The example that we present is a commodities portfolio where yields on futures contracts are observed with some noise. Through the use of perturbation methods, we are able to show that the(More)
We consider nonlinear filtering applications to target tracking based on a vector of multi-scaled models where some of the processes are rapidly mean reverting to their local equilibria. We focus attention on target tracking problems because multiple scaled models with fast mean-reversion (FMR) are a simple way to model latency in the response of tracking(More)
Identifying neurophysiological markers of autism spectrum disorders (ASD) in young children is an imperative, albeit difficult, problem. ASD is characterized, among other things, by language difficulties. It has been hypothesized that this difficulty may be due to a subtle sensory shortcoming of ASD children in making fine auditory discriminations (e.g.,(More)
  • 1