Parameter estimation for the subcritical Heston model based on discrete time observations

We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters.Comment: 22 pages, mistakes in the proof of Theorem 3.2 are correcte

Surface Acoustic Wave Electromagnetic Transducer Modeling and Design for NDE Applications

I\u27ll be talking mainly about surface acoustic wave electromagnetic transducers, EMT\u27s. These are useful for examining near surface flaws, defects or stress gradients, and they are also very useful for examining rough or painted, or dirty, or hot, or curved surfaces, not necessarily in that order. Recently, this technology has developed to the point where it\u27s possible to fabricate identical transducers. What I\u27d like to show this morning is that it\u27s also very straightforward to design them. There is quite a large flexibility in the design of these transducers, and they give very clean, reproducible and predictable characteristics, which are, of course, what you need for reproducible quantitative NDE measurements. I\u27ll be describing the work we did last year, the development of a model for these transducers. This work was done by myself, Harold Frost, and Jim Sethares

Matrix Sigma-models for Multi D-brane Dynamics

We describe a dynamical worldsheet origin for the Lagrangian describing the low-energy dynamics of a system of parallel D-branes. We show how matrix-valued collective coordinate fields for the D-branes naturally arise as couplings of a worldsheet sigma-model, and that the quantum dynamics require that these couplings be mutually noncommutative. We show that the low-energy effective action for the sigma-model couplings describes the propagation of an open string in the background of the multiple D-brane configuration, in which all string interactions between the constituent branes are integrated out and the genus expansion is taken into account, with a matrix-valued coupling. The effective field theory is governed by the non-abelian Born-Infeld target space action which leads to the standard one for D-brane field theory.Comment: 14 pages LaTeX, 1 encapsulated postscript figure; uses epsf.te