Exogenous Liquidity Supply in Presence of Repudiation Risk and Private Asset RecoveryInternational Financial Integration

Current paper proposes an extension of the seminal model by Holmstrom Tirole (1997) of the exogenous liquidity supply in presence of moral hazard to the case that includes private asset recovery under the limited liability of the entrepreneur. In our model partial private recovery applies to the financial assets that are considered to be sunk by the investors. In this context, a distressed firm seeking second round financing for its investment project is able, within a limited range of shocks, to increase its private payoff in case of the project default. As the result, unable to use these funds to raise additional liquidity, the distressed firms face a reduced range of acceptable shock values relative to Holmstrom Tirole set up. At the same time, domestic securities markets, even in absence of aggregate uncertainty, are shown to hold insufficient liquidity. As the result, distressed firms individually are unable to counter the shocks by holding claims against other firms even in case of the financial intermediation.

On the Cauchy problem for a nonlinearly dispersive wave equation

We establish the local well-posedness for a new nonlinearly dispersive wave equation and we show that the equation has solutions that exist for indefinite times as well as solutions which blowup in finite times. Furthermore, we derive an explosion criterion for the equation and we give a sharp estimate from below for the existence time of solutions with smooth initial data.Comment: arxiv version is already officia

Project Contingent Repudiation Risk in the Model of North-South Lending

Present research proposes the extension of the Gertler-Rogoff-Lane model of international lending under the risk of repudiation with moral hazard to encompass the possibility of the project contingency in the repudiation risk itself. By linking the level of repudiation risk to the size of the project we show that investment projects undertaken can be biased in a direction favouring larger projects. Alternatively, we show that smaller investors are required in the marketplace, under certain conditions, to provide greater guarantees or higher collateral in order to obtain funds needed for investmen

The Spatial Clustering of Low Luminosity AGN

We present the first multi-parameter analysis of the narrow line AGN clustering properties. Estimates of the two-point correlation function (CF) based on SDSS DR2 data reveal that Seyferts are clearly less clustered than normal galaxies, while the clustering amplitude (r_0) of LINERs is consistent with that of the parent galaxy population. The similarities in the host properties (color and concentration index) of Seyferts and LINERs suggest that the difference in their r_0 is not driven by the morphology-density relation. We find that the luminosity of [O I] emission shows the strongest influence on AGN clustering, with low L([O I]) sources having the highest r_0. This trend is much stronger than the previously detected dependence on L([O III]), which we confirm. There is a strong correspondence between the clustering patterns of objects of given spectral type and their physical properties. LINERs, which exhibit high r_0, show the lowest luminosities and obscuration levels, and relatively low gas densities (n_e), suggesting that these objects harbor black holes that are relatively massive yet weakly active or inefficient in their accretion, probably due to the insufficiency of their fuel supply. Seyferts, which have low r_0, are luminous and show large n_e, suggesting that their black holes are less massive but accrete quickly and efficiently enough to clearly dominate the ionization. The low r_0 of the H II galaxies can be understood as a consequence of both the morphology-density and star formation rate-density relations, however, their spectral properties suggest that their centers hide amidst large amounts of obscuring material black holes of generally low mass whose activity remains relatively feeble. Our own Milky Way may be a typical such case.[abridged]Comment: 27 pages, color figures, some are severely degraded in resolution, emulateapj. See http://www.physics.drexel.edu/~constant/work/agnclustering.ps for high resolution version. Accepted to Ap

The Camassa-Holm equation as the long-wave limit of the improved Boussinesq equation and of a class of nonlocal wave equations

In the present study we prove rigorously that in the long-wave limit, the unidirectional solutions of a class of nonlocal wave equations to which the improved Boussinesq equation belongs are well approximated by the solutions of the Camassa-Holm equation over a long time scale. This general class of nonlocal wave equations model bidirectional wave propagation in a nonlocally and nonlinearly elastic medium whose constitutive equation is given by a convolution integral. To justify the Camassa-Holm approximation we show that approximation errors remain small over a long time interval. To be more precise, we obtain error estimates in terms of two independent, small, positive parameters $\epsilon$ and $\delta$ measuring the effect of nonlinearity and dispersion, respectively. We further show that similar conclusions are also valid for the lower order approximations: the Benjamin-Bona-Mahony approximation and the Korteweg-de Vries approximation.Comment: 24 pages, to appear in Discrete and Continuous Dynamical System

Marginal and Conditional Distribution Estimation from Double-Sampled Semi-Competing Risks Data

Informative dropout is a vexing problem for any biomedical study. Most existing statistical methods attempt to correct estimation bias related to this phenomenon by specifying unverifiable assumptions about the dropout mechanism. We consider a cohort study in Africa that uses an outreach programme to ascertain the vital status for dropout subjects. These data can be used to identify a number of relevant distributions. However, as only a subset of dropout subjects were followed, vital status ascertainment was incomplete. We use semi-competing risk methods as our analysis framework to address this specific case where the terminal event is incompletely ascertained and consider various procedures for estimating the marginal distribution of dropout and the marginal and conditional distributions of survival. We also consider model selection and estimation efficiency in our setting. Performance of the proposed methods is demonstrated via simulations, asymptotic study and analysis of the study data

On the ill/well-posedness and nonlinear instability of the magneto-geostrophic equations

We consider an active scalar equation that is motivated by a model for magneto-geostrophic dynamics and the geodynamo. We prove that the non-diffusive equation is ill-posed in the sense of Hadamard in Sobolev spaces. In contrast, the critically diffusive equation is well-posed. In this case we give an example of a steady state that is nonlinearly unstable, and hence produces a dynamo effect in the sense of an exponentially growing magnetic field.Comment: We have modified the definition of Lipschitz well-posedness, in order to allow for a possible loss in regularity of the solution ma