Global bifurcations involving saddle periodic orbits have recently been recognized as being involved in various new types of organizing centers for complicated dynamics. The main emphasis has been on heteroclinic connections between saddle equilibria and saddle periodic orbits, called EtoP orbits for short, which can be found in vector fields in R 3 . Thanks to the development of dedicated numerical techniques, EtoP orbits have been found in a number of three-dimensional model vector fields arising in applications.We are concerned here with the case of heteroclinic connections between two saddle periodic orbits, called PtoP orbits for short. A homoclinic orbit from a periodic orbit to itself is an example of a PtoP connection, but is generically structurally stable in a phase space of any dimension. The issue that we address here is that, until now, no example of a concrete vector field with a non-structurally stable PtoP connection was known. We present an example of a PtoP heteroclinic cycle of codimension one between two different saddle periodic orbits in a four-dimensional vector field model of intracellular calcium dynamics. We first show that this model is a good candidate system for the existence of such a PtoP cycle and then demonstrate how a PtoP cycle can be detected and continued in system parameters using a numerical setup that is based on Lin's method.
A major obstacle in the analysis of many physiological models is the issue of model simplification. Various methods have been used for simplifying such models, with one common technique being to eliminate certain 'fast' variables using a quasi-steady-state assumption. In this article, we show when such a physiological model reduction technique in a slow-fast system is mathematically justified. We provide counterexamples showing that this technique can give erroneous results near the onset of oscillatory behaviour which is, practically, the region of most importance in a model. In addition, we show that the singular limit of the first Lyapunov coefficient of a Hopf bifurcation in a slow-fast system is, in general, not equal to the first Lyapunov coefficient of the Hopf bifurcation in the corresponding layer problem, a seemingly counterintuitive result. Consequently, one cannot deduce, in general, the criticality of a Hopf bifurcation in a slow-fast system from the lower-dimensional layer problem.
Using high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets. The results confirm that the volatility of volatility is a rough process and it possesses the long memory property. We also show that the correlation between the volatility and the volatility of volatility is positive, consistent with observations in the volatility option market. Lastly, a robustness check using volatility futures confirms the findings.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.