Mean-Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates

We consider mean-reverting stochastic processes and build self-consistent models for forward price dynamics and some applications in power industries. These models are built using the ideas and equations of stochastic differential geometry in order to close the system of equations for the forward prices and their volatility. Some analytical solutions are presented in the one factor case and for specific regular forward price/interest rates volatility. Those models will also play a role of initial conditions for a stochastic process describing forward price and interest rates volatility. Subsequently, the curved manifold of the internal space i.e. a discrete version of the bond term space (the space of bond maturing) is constructed. The dynamics of the point of this internal space that correspond to a portfolio of different bonds is studied. The analysis of the discount bond forward rate dynamics, for which we employed the Stratonovich approach, permitted us to calculate analytically the regular and the stochastic volatilities. We compare our results with those known from the literature.: Stochastic Differential Geometry, Mean-Reverting Stochastic Processes and Term Structure of Specific (Some) Economic/Finance Instruments

Hard breakup of the deuteron into two Delta-isobars

We study high energy photodisintegration of the deuteron into two $\Delta$-isobars at large center of mass angles within the QCD hard rescattering model (HRM). According to the HRM, the process develops in three main steps: the photon knocks the quark from one of the nucleons in the deuteron; the struck quark rescatters off a quark from the other nucleon sharing the high energy of the photon; then the energetic quarks recombine into two outgoing baryons which have large transverse momenta. Within the HRM, the cross section is expressed through the amplitude of $pn\rightarrow \Delta\Delta$ scattering which we evaluated based on the quark-interchange model of hard hadronic scattering. Calculations show that the angular distribution and the strength of the photodisintegration is mainly determined by the properties of the $pn\rightarrow \Delta\Delta$ scattering. We predict that the cross section of the deuteron breakup to $\Delta^{++}\Delta^{-}$ is 4-5 times larger than that of the breakup to the $\Delta^{+}\Delta^{0}$ channel. Also, the angular distributions for these two channels are markedly different. These can be compared with the predictions based on the assumption that two hard $\Delta$-isobars are the result of the disintegration of the preexisting $\Delta\Delta$ components of the deuteron wave function. In this case, one expects the angular distributions and cross sections of the breakup in both $\Delta^{++}\Delta^{-}$ and $\Delta^{+}\Delta^{0}$ channels to be similar.Comment: 17 pages, 3 figure

Spectral Efficiency of One-Bit Sigma-Delta Massive MIMO

We examine the uplink spectral efficiency of a massive MIMO base station employing a one-bit Sigma-Delta ( \Sigma \Delta ) sampling scheme implemented in the spatial rather than the temporal domain. Using spatial rather than temporal oversampling, and feedback of the quantization error between adjacent antennas, the method shapes the spatial spectrum of the quantization noise away from an angular sector where the signals of interest are assumed to lie. It is shown that, while a direct Bussgang analysis of the \Sigma \Delta approach is not suitable, an alternative equivalent linear model can be formulated to facilitate an analysis of the system performance. The theoretical properties of the spatial quantization noise power spectrum are derived for the \Sigma \Delta array, as well as an expression for the spectral efficiency of maximum ratio combining (MRC). Simulations verify the theoretical results and illustrate the significant performance gains offered by the \Sigma \Delta approach for both MRC and zero-forcing receivers

Quantifying Flexibility Real Options Calculus

We expose a real options theory as a tool for quantifying the value of the operating flexibility of real assets. Additionally, we have pointed out that this theory is an appropriated methodology for determining optimal operating policies, and provide an example of successful application of our approach to power industries, specifically to valuate the power plant of electricity. In particular by increasing the volatility of prices will eventually lead to higher assets values.real options, Black-Scholes Approach, Wiener processes, stochastic processes, Quantifying Flexibility, volatility

H-Formulation FEM Modeling of the Current Distribution in 2G HTS Tapes and Its Experimental Validation Using Hall Probe Mapping

One of the most widespread mathematical formulations applied to simulate the electromagnetic phenomena of coated conductor in the recent literature is the H one. However, the only validation of the model has been indirect by using measurements taken from the applications, as measurements of the energy losses in ac fields, forces developed in levitation systems or any other parameter related to a specific application. Direct validation of the calculation requires the observation of the local out of plane magnetic field over the surface of the sample and this is only accessible under magneto-optical observations and, in a larger scale and better dynamic range, by the Hall scanning microscopy. We propose here the experimental validation of the H-formulation by comparing the simulated results with measurements made by a Hall probe mapping in a second generation (2G) tape sample for several DC transported currents at 77 K. The paper presents a methodology to simulate the 2G tape by using only measured data obtained from a sample and its normalized J(B) experimental curves. Some boundary conditions that allow a faster convergence of the problem are investigated. Simulated results of the 2G tape modelled considering only the 1 μm HTS layer were compared with other that represent the most important layers of the coated conductor structure in the calculations. The simulated and measured results present a good agreement, proving that this model can calculate precisely the magnetic field and, hence, the current distribution in HTS samples.This work was supported in part by the followings grants: “Science Without Borders” from the Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq); by the European Agency (EU) through the Factories of the Future Resources, Technology, Infrastructure and Services for Simulation and Modelling (FORTISSIMO) Project under Grant EU FP7-2013-ICT-609029, the European Development of Superconducting Tapes (EUROTAPES) Project under Grant EU-FP7 NMP-LA-2012- 280432, the European Consortium for the Development of Fusion Energy (EUROfusion, PPPT-WPMAG 2014), and EU COST ACTIONS MP1201 and MP1014; by the Spanish Ministry of Economy and Competitiveness through the “Severo Ochoa” Programme for Centres of Excellence in R&D under Grant SEV-2015-0496, CONSOLIDER Excellence Network under Grant MAT2015- 68994-REDC, COACHSUPENERGY project under Grant MAT2014-56063- C2-1-R, co-financed by the European Regional Development Fund; by the Catalan Government under Grant 2014-SGR-753 and Xarmae

Proposal of a novel design for linear superconducting motor using 2G tape stacks

This paper presents a new design for a su- perconducting linear motor (SLM). This SLM uses stacks of second-generation (2G) superconducting tapes, which are responsible for replacing yttrium barium copper oxide bulks. The proposed SLM may operate as a synchronous motor or as a hysteresis motor, depending on the load force magnitude. A small-scale linear machine prototype with 2G stacks was constructed and tested to investigate the proposed SLM topology. The stator traveling magnetic field wave was represented by several Nd-Fe-B permanent magnets. A relative movement was produced between the stator and the stack, and the force was measured along the displacement. This system was also simulated by the finite element method, in order to calculate the induced currents in the stack and determine the electromagnetic force. The H-formulation was used to solve the problem, and a power law relation was applied to take into account the intrin- sically nonlinearity of the superconductor. The simulated and measured results were in accordance. Simulated re- sults were extrapolated, proving to be an interesting tool to scale up the motor in future projects. The proposed motor presented an estimated force density of almost 500 N/kg, which is much higher than any linear motor.This work was supported in part by the following agencies: CNPq/CAPES/INERGE, CNPq—Ci ˆ encias sem Fronteiras, FAPERJ, Catalan Government 2014- SGR-753, CONSOLIDER Excellence Network MAT2014-56063-C2-1-R and MAT2015-68994-REDC, Eurofusion EU COST ACTIONS MP1201/ MP1014/PPPT-WPMAG 2014, EUROTAPES FP7-NMP-Large-2011- 280432, FORTISSIMO FP7-2013-ICT-609029, and Spanish Govern- ment Agencies—Severo Ochoa Programme Centres of Excellence in R&D. (Corresponding author: Guilherme G. Sotelo.

Commissioning of the electron injector for the AWAKE experiment

The advanced wakefield experiment (AWAKE) at CERN is the first proton beam-driven plasma wakefield acceleration experiment. The main goal of AWAKE RUN 1 was to demonstrate seeded self-modulation (SSM) of the proton beam and electron witness beam acceleration in the plasma wakefield. For the AWAKE experiment, a 10-meter-long Rubidium-vapor cell together with a high-power laser for ionization was used to generate the plasma. The plasma wakefield is driven by a 400 GeV/c proton beam extracted from the super proton synchrotron (SPS), which undergoes a seeded self-modulation process in the plasma. The electron witness beam used to probe the wakefields is generated from an S-band RF photo-cathode gun and then accelerated by a booster structure up to energies between 16 and 20 MeV. The first run of the AWAKE experiment revealed that the maximum energy gain after the plasma cell is 2 GeV, and the SSM mechanism of the proton beam was verified. In this paper, we will present the details of the AWAKE electron injector. A comparison of the measured electron beam parameters, such as beam size, energy, and normalized emittance, with the simulation results was performed