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 $X$ and survival function $\overline{H}$ on $\mathbb{R}^+$, the inverse first-passage time problem (IFPT) is to find a barrier function $b:\mathbb{R}^+\to[-\infty,+\infty]$ such that the survival function of the first-passage time $\tau_b=\inf \{t\ge0:X(t)<b(t)\}$ is given by $\overline{H}$. 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 $\mu$ and a time-change $I$ such that for the time-changed process $X\circ I$ the IFPT problem is solved by a constant barrier at the level zero. For any L\'{e}vy process $X$ satisfying an exponential moment condition, we derive the solution of this problem in terms of $\lambda$-invariant distributions of the process $X$ 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 $\overline{H}$ 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