863 research outputs found

### Neutrino current in a gravitational plane wave collision background

The behaviour of a massless Dirac field on a general spacetime background
representing two colliding gravitational plane waves is discussed in the
Newman-Penrose formalism. The geometrical properties of the neutrino current
are analysed and explicit results are given for the special Ferrari-Ibanez
solution.Comment: 17 pages, 6 Postscript figures, accepted by International Journal of
Modern Physics

### ramp rate abatement for wind energy integration in microgrids

Abstract This study analyses the performance of a battery storage system in abating the ramp rates of the power produced by a wind turbine. This approach can reduce the wind power fluctuations that are typical of small size wind farms and promote the wind energy integration in microgrids. Production data was generated from actual wind measurements over one year, and the capability of ramp abatement by varying battery capacity, battery power rating and ramp rate thresholds was investigated. The effect on battery degradation due to charge-discharge cycling required by the smoothing service was also estimated. Results suggest that good smoothing performance can be achieved with a wide range of power-capacity combinations, but the lifetime of the storage system can be as low as one year if its capacity is small

### Ramp rate abatement for wind energy integration in microgrids

This study analyses the performance of a battery storage system in abating the ramp rates of the power produced by a wind turbine. This approach can reduce the wind power fluctuations that are typical of small size wind farms and promote the wind energy integration in microgrids. Production data was generated from actual wind measurements over one year, and the capability of ramp abatement by varying battery capacity, battery power rating and ramp rate thresholds was investigated. The effect on battery degradation due to charge-discharge cycling required by the smoothing service was also estimated. Results suggest that good smoothing performance can be achieved with a wide range of power-capacity combinations, but the lifetime of the storage system can be as low as one year if its capacity is small

### Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Using one of the key property of copulas that they remain invariant under an
arbitrary monotonous change of variable, we investigate the null hypothesis
that the dependence between financial assets can be modeled by the Gaussian
copula. We find that most pairs of currencies and pairs of major stocks are
compatible with the Gaussian copula hypothesis, while this hypothesis can be
rejected for the dependence between pairs of commodities (metals).
Notwithstanding the apparent qualification of the Gaussian copula hypothesis
for most of the currencies and the stocks, a non-Gaussian copula, such as the
Student's copula, cannot be rejected if it has sufficiently many ``degrees of
freedom''. As a consequence, it may be very dangerous to embrace blindly the
Gaussian copula hypothesis, especially when the correlation coefficient between
the pair of asset is too high as the tail dependence neglected by the Gaussian
copula can be as large as 0.6, i.e., three out five extreme events which occur
in unison are missed.Comment: Latex document of 43 pages including 14 eps figure

### Towards a dendrochronologically refined date of the Laacher See Eruption

The precise date of the Laacher See eruption (LSE), central Europe’s largest Late Pleistocene volcanic event that occurred around 12,900 years ago, is still unknown. Here, we outline the potential of combined high-resolution dendrochronological, wood anatomical and radiocarbon (14C) measurements, to refine the age of this major Plinian eruption. Based on excavated trees that were killed during the explosive LSE and buried under its pyroclastic deposits, we describe how a firm date of the eruption might be achieved, and how the resulting temporal precision would further advance our understanding of the environmental and societal impacts of this event. Moreover, we discuss the relevance of an accurate LSE date for improving the synchronization of European terrestrial and lacustrine Late Glacial to Holocene archives, and outline how the proposed, interdisciplinary dating approach can be applied to other large, yet undated, volcanic eruptions

### Implied volatility of basket options at extreme strikes

In the paper, we characterize the asymptotic behavior of the implied
volatility of a basket call option at large and small strikes in a variety of
settings with increasing generality. First, we obtain an asymptotic formula
with an error bound for the left wing of the implied volatility, under the
assumption that the dynamics of asset prices are described by the
multidimensional Black-Scholes model. Next, we find the leading term of
asymptotics of the implied volatility in the case where the asset prices follow
the multidimensional Black-Scholes model with time change by an independent
increasing stochastic process. Finally, we deal with a general situation in
which the dependence between the assets is described by a given copula
function. In this setting, we obtain a model-free tail-wing formula that links
the implied volatility to a special characteristic of the copula called the
weak lower tail dependence function

### Enhancing the top signal at Tevatron using Neural Nets

We show that Neural Nets can be useful for top analysis at Tevatron. The main
features of $t\bar t$ and background events on a mixed sample are projected in
a single output, which controls the efficiency and purity of the $t\bar t$
signal.Comment: 11 pages, 6 figures (not included and available from the authors),
Latex, UB-ECM-PF 94/1

### Modelling stochastic bivariate mortality

Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk. This paper represents a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.
On the theoretical side, we extend to couples the Cox processes set up, i.e. the idea that mortality is driven by a jump process whose intensity is itself a stochastic process, proper of a particular generation within each gender. Dependence between the survival times of the members of a couple is captured by an Archimedean copula.
On the calibration side, we fit the joint survival function by calibrating separately the (analytical) copula and the (analytical) margins. First, we select the best fit copula according to the methodology of Wang and Wells (2000) for censored data. Then, we provide a sample-based calibration for the intensity, using a time-homogeneous, non mean-reverting, affine process: this gives the analytical marginal survival functions. Coupling the best fit copula with the calibrated margins we obtain, on a sample generation, a joint survival function which incorporates the stochastic nature of mortality improvements and is far from representing independency.On the contrary, since the best fit copula turns out to be a Nelsen one, dependency is increasing with age and long-term dependence exists

### Roughness-induced transition by quasi-resonance of a varicose global mode

The onset of unsteadiness in a boundary-layer flow past a cylindrical roughness element is investigated for three flow configurations at subcritical Reynolds numbers, both experimentally and numerically. On the one hand, a quasi-periodic shedding of hairpin vortices is observed for all configurations in the experiment. On the other hand, global stability analyses have revealed the existence of a varicose isolated mode, as well as of a sinuous one, both being linearly stable. Nonetheless, the isolated stable varicose modes are highly sensitive, as ascertained by pseudospectrum analysis. To investigate how these modes might influence the dynamics of the flow, an optimal forcing analysis is performed. The optimal response consists of a varicose perturbation closely related to the least stable varicose isolated eigenmode and induces dynamics similar to that observed experimentally. The quasi-resonance of such a global mode to external forcing might thus be responsible for the onset of unsteadiness at subcritical Reynolds numbers, hence providing a simple explanation for the experimental observations

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