10,752 research outputs found

    An Optimal Skorokhod Embedding for Diffusions

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    Given a Brownian motion BtB_t and a general target law μ\mu (not necessarily centered or even integrable) we show how to construct an embedding of μ\mu in BB. This embedding is an extension of an embedding due to Perkins, and is optimal in the sense that it simultaneously minimises the distribution of the maximum and maximises the distribution of the minimum among all embeddings of μ\mu. The embedding is then applied to regular diffusions, and used to characterise the target laws for which a HpH^p-embedding may be found.Comment: 22 pages, 4 figure

    Analytical Approximations for Calculating the Escape and Absorption of Radiation in Clumpy Dusty Environments

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    We present analytical approximations for calculating the scattering, absorption and escape of nonionizing photons from a spherically symmetric two-phase clumpy medium, with either a central point source of isotropic radiation, a uniform distribution of isotropic emitters, or uniformly illuminated by external sources. The analytical approximations are based on the mega-grains model of two-phase clumpy media, as proposed by Hobson & Padman, combined with escape and absorption probability formulae for homogeneous media. The accuracy of the approximations is examined by comparison with 3D Monte Carlo simulations of radiative transfer, including multiple scattering. Our studies show that the combined mega-grains and escape/absorption probability formulae provide a good approximation of the escaping and absorbed radiation fractions for a wide range of parameters characterizing the medium. A realistic test is performed by modeling the absorption of a starlike source of radiation by interstellar dust in a clumpy medium, and by calculating the resulting equilibrium dust temperatures and infrared emission spectrum of both the clumps and the interclump medium. In particular, we find that the temperature of dust in clumps is lower than in the interclump medium if clumps are optically thick. Comparison with Monte Carlo simulations of radiative transfer in the same environment shows that the analytic model yields a good approximation of dust temperatures and the emerging UV to FIR spectrum of radiation for all three types of source distributions mentioned above. Our analytical model provides a numerically expedient way to estimate radiative transfer in a variety of interstellar conditions and can be applied to a wide range of astrophysical environments, from star forming regions to starburst galaxies.Comment: 55 pages, 27 figures. ApJ 523 (1999), in press. Corrected equations and text so as to be same as ApJ versio

    Root to Kellerer

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    We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions (μt)t∈[0,1](\mu_t)_{t\in [0,1]} which increases in convex order there exists a Markov martingale (St)t∈[0,1](S_t)_{t\in[0,1]} s.t.\ St∼μtS_t\sim \mu_t. To establish the result, we observe that the set of martingale measures with given marginals carries a natural compact Polish topology. Based on a particular property of the martingale coupling associated to Root's embedding this allows for a relatively concise proof of Kellerer's theorem. We emphasize that many of our arguments are borrowed from Kellerer \cite{Ke72}, Lowther \cite{Lo07}, and Hirsch-Roynette-Profeta-Yor \cite{HiPr11,HiRo12}.Comment: 8 pages, 1 figur

    Challenges in using GPUs for the real-time reconstruction of digital hologram images

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    This is the pre-print version of the final published paper that is available from the link below.In-line holography has recently made the transition from silver-halide based recording media, with laser reconstruction, to recording with large-area pixel detectors and computer-based reconstruction. This form of holographic imaging is an established technique for the study of fine particulates, such as cloud or fuel droplets, marine plankton and alluvial sediments, and enables a true 3D object field to be recorded at high resolution over a considerable depth. The move to digital holography promises rapid, if not instantaneous, feedback as it avoids the need for the time-consuming chemical development of plates or film film and a dedicated replay system, but with the growing use of video-rate holographic recording, and the desire to reconstruct fully every frame, the computational challenge becomes considerable. To replay a digital hologram a 2D FFT must be calculated for every depth slice desired in the replayed image volume. A typical hologram of ~100 μm particles over a depth of a few hundred millimetres will require O(10^3) 2D FFT operations to be performed on a hologram of typically a few million pixels. In this paper we discuss the technical challenges in converting our existing reconstruction code to make efficient use of NVIDIA CUDA-based GPU cards and show how near real-time video slice reconstruction can be obtained with holograms as large as 4096 by 4096 pixels. Our performance to date for a number of different NVIDIA GPU running under both Linux and Microsoft Windows is presented. The recent availability of GPU on portable computers is discussed and a new code for interactive replay of digital holograms is presented
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