Default clustering in large portfolios: Typical events

We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In our model, a firm defaults at a stochastic intensity that is influenced by an idiosyncratic risk process, a systematic risk process common to all firms, and past defaults. We prove a law of large numbers for the default rate in the pool, which describes the "typical" behavior of defaults.Comment: Published in at http://dx.doi.org/10.1214/12-AAP845 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Continuity of symplectically adjoint maps and the algebraic structure of Hadamard vacuum representations for quantum fields on curved spacetime

We derive for a pair of operators on a symplectic space which are adjoints of each other with respect to the symplectic form (that is, they are sympletically adjoint) that, if they are bounded for some scalar product on the symplectic space dominating the symplectic form, then they are bounded with respect to a one-parametric family of scalar products canonically associated with the initially given one, among them being its ``purification''. As a typical example we consider a scalar field on a globally hyperbolic spacetime governed by the Klein-Gordon equation; the classical system is described by a symplectic space and the temporal evolution by symplectomorphisms (which are symplectically adjoint to their inverses). A natural scalar product is that inducing the classical energy norm, and an application of the above result yields that its ``purification'' induces on the one-particle space of the quantized system a topology which coincides with that given by the two-point functions of quasifree Hadamard states. These findings will be shown to lead to new results concerning the structure of the local (von Neumann) observable-algebras in representations of quasifree Hadamard states of the Klein-Gordon field in an arbitrary globally hyperbolic spacetime, such as local definiteness, local primarity and Haag-duality (and also split- and type III_1-properties). A brief review of this circle of notions, as well as of properties of Hadamard states, forms part of the article.Comment: 42 pages, LaTeX. The Def. 3.3 was incomplete and this has been corrected. Several misprints have been removed. All results and proofs remain unchange

Transportation Futures: Policy Scenarios for Achieving Greenhouse Gas Reduction Targets, MNTRC Report 12-11

It is well established that GHG emissions must be reduced by 50% to 80% by 2050 in order to limit global temperature increase to 2°C. Achieving reductions of this magnitude in the transportation sector is a challenge and requires a multitude of policies and technology options. The research presented here analyzes three scenarios: changes in the perceived price of travel, land-use intensification, and increases in transit. Elasticity estimates are derived using an activity-based travel model for the state of California and broadly representative of the U.S. The VISION model is used to forecast changes in technology and fuel options that are currently forecast to occur in the U.S., providing a life cycle GHG forecast for the road transportation sector. Results suggest that aggressive policy action is needed, especially pricing policies, but also more on the technology side. Medium- and heavy-duty vehicles are in particular need of additional fuel or technology-based GHG reductions

Application of moderate resolution band models to the prediction of heat transfer from rocket exhaust plumes

Computer program for resolution band model prediction of heat transfer from rocket exhaust plume

Theoretical dynamic analysis of the landing loads on a vehicle with a tricycle landing gear

Theoretical dynamic analysis of landing loads on vehicle with tricycle landing gear compared with X-15 aircraft dat

Decoherence of Macroscopic Closed Systems within Newtonian Quantum Gravity

A theory recently proposed by the author aims to explain decoherence and the thermodynamical behaviour of closed systems within a conservative, unitary, framework for quantum gravity by assuming that the operators tied to the gravitational degrees of freedom are unobservable and equating physical entropy with matter-gravity entanglement entropy. Here we obtain preliminary results on the extent of decoherence this theory predicts. We treat first a static state which, if one were to ignore quantum gravitational effects, would be a quantum superposition of two spatially displaced states of a single classically well describable ball of uniform mass density in empty space. Estimating the quantum gravitational effects on this system within a simple Newtonian approximation, we obtain formulae which predict e.g. that as long as the mass of the ball is considerably larger than the Planck mass, such a would-be-coherent static superposition will actually be decohered whenever the separation of the centres of mass of the two ball-states excedes a small fraction (which decreases as the mass of the ball increases) of the ball radius. We then obtain a formula for the quantum gravitational correction to the would-be-pure density matrix of a non-relativistic many-body Schroedinger wave function and argue that this formula predicts decoherence between configurations which differ (at least) in the "relocation" of a cluster of particles of Planck mass. We estimate the entropy of some simple model closed systems, finding a tendency for it to increase with "matter-clumping" suggestive of a link with existing phenomenological discussions of cosmological entropy increase.Comment: 11 pages, plain TeX, no figures. Accepted for publication as a "Letter to the Editor" in "Classical and Quantum Gravity

Resonance absolute quantum reflection at selected energies

The possibility of the resonance reflection (100 % at maximum) is revealed. The corresponding exactly solvable models with the controllable numbers of resonances, their positions and widths are presented.Comment: 5 pages, 2 figure

Hadamard States and Adiabatic Vacua

Reversing a slight detrimental effect of the mailer related to TeXabilityComment: 10pages, LaTeX (RevTeX-preprint style