94,251 research outputs found
Studies of the Physical Properties of the Moon and Planets
No abstract availabl
Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk
For a given Markov process and survival function on
, the inverse first-passage time problem (IFPT) is to find a
barrier function such that the survival
function of the first-passage time is given
by . In this paper, we consider a version of the IFPT problem
where the barrier is fixed at zero and the problem is to find an initial
distribution and a time-change such that for the time-changed process
the IFPT problem is solved by a constant barrier at the level zero.
For any L\'{e}vy process satisfying an exponential moment condition, we
derive the solution of this problem in terms of -invariant
distributions of the process killed at the epoch of first entrance into the
negative half-axis. We provide an explicit characterization of such
distributions, which is a result of independent interest. For a given
multi-variate survival function of generalized frailty type, we
construct subsequently an explicit solution to the corresponding IFPT with the
barrier level fixed at zero. We apply these results to the valuation of
financial contracts that are subject to counterparty credit risk.Comment: Published at http://dx.doi.org/10.1214/14-AAP1051 in the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Utility based pricing and hedging of jump diffusion processes with a view to applications
We discuss utility based pricing and hedging of jump diffusion processes with
emphasis on the practical applicability of the framework. We point out two
difficulties that seem to limit this applicability, namely drift dependence and
essential risk aversion independence. We suggest to solve these by a
re-interpretation of the framework. This leads to the notion of an implied
drift. We also present a heuristic derivation of the marginal indifference
price and the marginal optimal hedge that might be useful in numerical
computations.Comment: 23 pages, v2: publishe
Blood pressure and indices of glomerular filtration area in hypertensive and normotensive Prague rats
The involvement of the kidney in the pathogenesis of hypertension has long been recognised, although the specific renal mechanisms underlying this phenomenon are still unknown. A current hypothesis attributes hyper tension to a reduction in glomerular filtration area by glomerular loss, The present study analyses the relationship between glomerular number and volume and conscious systolic blood pressure (SBP) in 4- to 53-week-old hypertensive (PHR) and normotensive (PNR) rats of the Prague strain. Adult PHRs had higher SEP, were larger and had larger kidneys than PNRs, but 20% fewer glomeruli, A significant negative correlation between SEP and glomerular number was found in PHR males, but not in PHR females or PNRs. There was no correlation at all between glomerular volume and SEP and, in young animals, both SEP and glomerular number were higher in PHRs than in PNRs. In addition, in adult PHRs, glomerular volume and SEP were higher in males than in females. In summary, a generally valid, causal relation-ship linking raised blood pressure to decreased glomerular number or volume could not be demonstrated in the Prague rat model of genetically determined hypertension. The nature of the renal mechanism(s) determining the hypertension in this model remains unknown. Copyright (C) 2000 S. Karger AG, Basel
Thermocapillary flows and their stability: Effects of surface layers and combination
The theoretical analysis of the fluid mechanics and heat transfer of motions driven by surface tension gradients (Marangoni convection) was researched. Convection accompanying the process of growing high quality single crystals from the melt in a micro-g environment was examined. The geometries considered include two dimensional liquid filled slots and axisymmetric float-zone configurations
Improved space radiation shielding methods
The computing software that was used to perform the charged particle radiation transport analysis and shielding design for the Mariner Jupiter/Saturn 1977 spacecraft is described. Electron fluences, energy spectra and dose rates obtained with this software are presented and compared with independent computer calculations
The Numerical Studies Program for the Atmospheric General Circulation Experiment (AGCE) for Spacelab Flights
The atmospheric general circulation experiment (AGCE) numerical design for Spacelab flights was studied. A spherical baroclinic flow experiment which models the large scale circulations of the Earth's atmosphere was proposed. Gravity is simulated by a radial dielectric body force. The major objective of the AGCE is to study nonlinear baroclinic wave flows in spherical geometry. Numerical models must be developed which accurately predict the basic axisymmetric states and the stability of nonlinear baroclinic wave flows. A three dimensional, fully nonlinear, numerical model and the AGCE based on the complete set of equations is required. Progress in the AGCE numerical design studies program is reported
Thermocapillary flows and their stability: Effects of surface layers and contamination
The fluid mechanics and heat transfer of motions driven by surface tension gradients (Marangoni convection) were analyzed theoretically to obtain an understanding of the convection accompanying the process of growing high quality single crystals from the melt in a mu-g environment. The geometries considered include two dimensional liquid filled slots and axisymmetric float zone configurations
Calculation of the microcanonical temperature for the classical Bose field
The ergodic hypothesis asserts that a classical mechanical system will in
time visit every available configuration in phase space. Thus, for an ergodic
system, an ensemble average of a thermodynamic quantity can equally well be
calculated by a time average over a sufficiently long period of dynamical
evolution. In this paper we describe in detail how to calculate the temperature
and chemical potential from the dynamics of a microcanonical classical field,
using the particular example of the classical modes of a Bose-condensed gas.
The accurate determination of these thermodynamics quantities is essential in
measuring the shift of the critical temperature of a Bose gas due to
non-perturbative many-body effects.Comment: revtex4, 10 pages, 1 figure. v2: updated to published version. Fuller
discussion of numerical results, correction of some minor error
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