Existence of affine realizations for Lévy term structure models

We investigate the existence of affine realizations for term structure models driven by Lévy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special cases, we study constant direction volatilities and the existence of short-rate realizations. © 2012 The Royal Society

Existence of affine realizations for stochastic partial differential equations driven by Lévy processes

The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by Lévy processes admits an affine realization. Our results are accompanied by several examples arising in natural sciences and economics. © 2015 The Author(s) Published by the Royal Society. All rights reserved

Real-World Forward Rate Dynamics With Affine Realizations

© 2015, Taylor & Francis Group, LLC. We investigate the existence of affine realizations for Lévy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral approach concerning the existence of affine realizations are transferred to the general case. A similar result holds true for models driven by compound Poisson processes with finite jump size distributions. However, in the presence of jumps with infinite activity we obtain severe restrictions on the structure of the market price of risk; typically, it must even be constant

Plume–lithosphere interactions and LIP-triggered climate crises constrained by the origin of Karoo lamproites

We identified a ca. 180 Ma diamondiferous lamproite event in Zambia, establishing a link between ultrapotassic volcanism and the early Jurassic Karoo flood basalt province of sub-Saharan Africa. The cratonic lamproites erupted through the Permo–Triassic Luangwa Rift structure, but MgO-rich ultrapotassic magma formation was unrelated to rifting and triggered by plume–lithosphere interactions during the Karoo LIP event. Elevated Li–Zn–Ti concentrations in magmatic olivine (up to 18.5 ppm Li at 86–90 mol.% forsterite) and strong Sr–Nd–Hf–Pb isotopic enrichment of the host lamproites ( 87Sr/86Sr = 0.70701–0.70855, εNd = − 10.8 to − 10, εHf = − 20.3 to − 19.1, 206Pb/204Pb = 16.8–17.5) suggest partial melting of phlogopite-metasomatized lithospheric mantle domains, at approximately 180–200 km depth. The mantle-like δ7 Li values (+2.8 to +5.7‰) of the most pristine lamproite samples are compatible with source enrichment by asthenosphere-derived melts, without significant involvement of recycled sedimentary components. This geochemical fingerprint stands in sharp contrast to the negative δ7 Li compositions of primitive K-rich volcanic rocks from collision zone settings, where the shallow mantle sources contain recycled sediment. Isotope modelling demonstrates that the sub-Saharan lamproites originate from a MARID-style metasomatized peridotitic mantle source that underwent incompatible element enrichment at ca. 1 Ga, during tectonic activity associated with Rodinia supercontinent formation. Plume-sourced basaltic and picritic magmas of the 180 Ma Karoo LIP interacted with such K-rich hydrous lithospheric mantle domains, thereby attaining enriched incompatible element and radiogenic isotope compositions. Nd–Hf isotope mass balance suggests that up to 25% of MARID-sourced lamproite melt component contributed to some of the high-Ti flood volcanic units. Although large quantities of volatiles can be transferred from Earth’s mantle to the atmosphere via plume–lithosphere interactions, it is unlikely that outgassing of mantle-sourced sulphur can exceed the climatic impact caused by the release of much more abundant carbon from thick continental roots. Thus, the excess SO2 required to account for transient atmospheric cooling during the early Jurassic, coincident with the Karoo LIP event, must have had a thermogenic origin near the surface of Earth

Organic Molecules and Water in the Inner Disks of T Tauri Stars

We report high signal-to-noise Spitzer IRS spectra of a sample of eleven classical T Tauri stars. Molecular emission from rotational transitions of H2O and OH and ro-vibrational bands of simple organic molecules (CO2, HCN, C2H2) is common among the sources in the sample. The gas temperatures (200-800 K) and emitting areas we derive are consistent with the emission originating in a warm disk atmosphere in the inner planet formation region at radii < 2 AU. The H2O emission appears to form under a limited range of excitation conditions, as shown by the similarity in relative strengths of H2O features from star to star and the narrow range in derived temperature and column density. Emission from highly excited rotational levels of OH is present in all stars; the OH emission flux increases with the stellar accretion rate, and the OH/H2O flux ratio shows a relatively small scatter. We interpret these results as evidence for OH production via FUV photo-dissociation of H2O in the disk surface layers. No obvious explanation is found for the observed range in the relative emission strengths of different organic molecules or in their strength with respect to water. We put forward the possibility that these variations reflect a diversity in organic abundances due to star-to-star differences in the C/O ratio of the inner disk gas. Stars with the largest HCN/H2O flux ratios in our sample have the largest disk masses. We speculate that such a trend could result if higher mass disks are more efficient at planetesimal formation and sequestration of water in the outer disk, leading to enhanced C/O ratios and abundances of organic molecules in the inner disk. A comparison of our derived HCN to H2O column density ratio to comets, hot cores, and outer T Tauri star disks suggests that the inner disks are chemically active.Comment: Accepted for publication in The Astrophysical Journa

Spitzer spectral line mapping of the HH211 outflow

Aims: We employ archival Spitzer slit-scan observations of the HH211 outflow in order to investigate its warm gas content, assess the jet mass flux in the form of H2 and probe for the existence of an embedded atomic jet. Methods: Detected molecular and atomic lines are interpreted by means of emission line diagnostics and an existing grid of molecular shock models. The physical properties of the warm gas are compared against other molecular jet tracers and to the results of a similar study towards the L1448-C outflow. Results: We have detected and mapped the v=0-0 S(0) - S(7) H2 lines and fine-structure lines of S, Fe+, and Si+. H2 is detected down to 5" from the source and is characterized by a "cool" T~300K and a "warm" T~1000 K component, with an extinction Av ~ 8 mag. The amount of cool H2 towards the jet agrees with that estimated from CO assuming fully molecular gas. The warm component is well fitted by C-type shocks with a low beam filling factor ~ 0.01-0.04 and a mass-flux similar to the cool H2. The fine-structure line emission arises from dense gas with ionization fraction ~0.5 - 5 x 10e-3, suggestive of dissociative shocks. Line ratios to sulfur indicate that iron and silicon are depleted compared to solar abundances by a factor ~10-50. Conclusions: Spitzer spectral mapping observations reveal for the first time a cool H$_2$ component towards the CO jet of HH211 consistent with the CO material being fully molecular and warm at ~ 300 K. The maps also reveal for the first time the existence of an embedded atomic jet in the HH211 outflow that can be traced down to the central source position. Its significant iron and silicon depletion excludes an origin from within the dust sublimation zone around the protostar. The momentum-flux seems insufficient to entrain the CO jet, although current uncertainties on jet speed and shock conditions are too large for a definite conclusion.Comment: 13 pages, 10 figures, accepted for publication in A&

Enhanced ionization in small rare gas clusters

A detailed theoretical investigation of rare gas atom clusters under intense short laser pulses reveals that the mechanism of energy absorption is akin to {\it enhanced ionization} first discovered for diatomic molecules. The phenomenon is robust under changes of the atomic element (neon, argon, krypton, xenon), the number of atoms in the cluster (16 to 30 atoms have been studied) and the fluency of the laser pulse. In contrast to molecules it does not dissappear for circular polarization. We develop an analytical model relating the pulse length for maximum ionization to characteristic parameters of the cluster

Waves on the surface of the Orion molecular cloud

Massive stars influence their parental molecular cloud, and it has long been suspected that the development of hydrodynamical instabilities can compress or fragment the cloud. Identifying such instabilities has proved difficult. It has been suggested that elongated structures (such as the `pillars of creation') and other shapes arise because of instabilities, but alternative explanations are available. One key signature of an instability is a wave-like structure in the gas, which has hitherto not been seen. Here we report the presence of `waves' at the surface of the Orion molecular cloud near where massive stars are forming. The waves seem to be a Kelvin-Helmholtz instability that arises during the expansion of the nebula as gas heated and ionized by massive stars is blown over pre-existing molecular gas.Comment: Preprint of publication in Natur

Disentangling protostellar evolutionary stages in clustered environments using Spitzer-IRS spectra and comprehensive SED modeling

When studying the evolutionary stages of protostars that form in clusters, the role of any intracluster medium cannot be neglected. High foreground extinction can lead to situations where young stellar objects (YSOs) appear to be in earlier evolutionary stages than they actually are, particularly when using simple criteria like spectral indices. To address this issue, we have assembled detailed SED characterizations of a sample of 56 Spitzer-identified candidate YSOs in the clusters NGC 2264 and IC 348. For these, we use spectra obtained with the Infrared Spectrograph onboard the Spitzer Space Telescope and ancillary multi-wavelength photometry. The primary aim is twofold: 1) to discuss the role of spectral features, particularly those due to ices and silicates, in determining a YSO's evolutionary stage, and 2) to perform comprehensive modeling of spectral energy distributions (SEDs) enhanced by the IRS data. The SEDs consist of ancillary optical-to-submillimeter multi-wavelength data as well as an accurate description of the 9.7 micron silicate feature and of the mid-infrared continuum derived from line-free parts of the IRS spectra. We find that using this approach, we can distinguish genuine protostars in the cluster from T Tauri stars masquerading as protostars due to external foreground extinction. Our results underline the importance of photometric data in the far-infrared/submillimeter wavelength range, at sufficiently high angular resolution to more accurately classify cluster members. Such observations are becoming possible now with the advent of the Herschel Space Observatory.Comment: Accepted for publication in Ap

Safety and efficacy after switch to a saquinavir-containing antiretroviral regimen in protease inhibitor pretreated HIV-positive patients

<p>Abstract</p> <p>Objective</p> <p>The RAINBOW survey is a multinational observational study assessing the tolerability and efficacy of ritonavir-boosted saquinavir (SQV/r), using the 500 mg film-coated SQV formulation, in routine clinical practice. This analysis presents data from the German subgroup of protease inhibitor (PI)-pretreated, but SQV-naïve patients.</p> <p>Methods</p> <p>Multicenter, prospective, open-label, 48 week cohort study. Efficacy assessments included the proportion of patients with HIV-1 RNA < 50 and < 400 copies/mL and changes in CD4 cell count from baseline to week 48. Tolerability assessments included changes in liver enzymes and lipid levels from baseline to week 48.</p> <p>Results</p> <p>A total of 426 patients were included in the analysis. The proportion of patients with HIV RNA levels < 50 copies/mL at week 48 was 60.3% (compared with 31.7% at switch to SQV/r) (intent-to-treat, last observation carried forward analysis). After 48 weeks, median CD4 count increased by +61 cells/mm³from baseline (p < 0.01) and 60.3% of patients achieved HIV-1 RNA < 50 copies/mL. Median changes in fasting triglyceride levels (stratified according to baseline level) at week 48 were: +14 mg/dL (IQR -8; 57) for patients with baseline triglyceride < 200 mg/dL; -50 mg/dL (IQR -139; 0) for baseline triglyceride 200-750 mg/dL, and -656 mg/dL (IQR 1024; 0) for baseline triglyceride > 750 mg/dL (p < 0.01 for all). Median changes in fasting total cholesterol (TC) levels (stratified according to baseline) were +16 mg/dL (IQR -3; 43) for patients with baseline TC < 200 mg/dL (p < 0.01), -3 mg/dL (IQR -25; 25) for baseline TC 200-300 mg/dL (p = 0.4), and -47 mg/dL (IQR -87; -4) for baseline TC > 300 mg/dL (p < 0.01). No significant changes in liver enzymes or bilirubin were observed. SQV treatment was discontinued in 22% of patients, 6% due to side effects.</p> <p>Conclusions</p> <p>These data confirm the efficacy and tolerability of SQV/r in PI-experienced, SQV-naïve patients treated in a real-life clinical setting. Of particular relevance are the improvements in triglycerides and TC levels observed in patients with baseline grade III-IV elevations.</p