332,734 research outputs found

    Exact Simulation of Wishart Multidimensional Stochastic Volatility Model

    Full text link
    In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional characteristic function of the log-price given volatility level. In particular, we found an explicit expression for the conditional characteristic function for the Heston model. We perform numerical experiments to demonstrate the performance and accuracy of our method. As a result of numerical experiments, it is shown that our new method is much faster and reliable than Euler discretization method.Comment: 27 page

    Diffusive Shock Acceleration in Test-Particle Regime

    Get PDF
    We examine the test-particle solution for diffusive shock acceleration, based on simple models for thermal leakage injection and Alfv'enic drift. The critical injection rate, \xi_c, above which the cosmic ray (CR) pressure becomes dynamically significant, depends mainly on the sonic shock Mach number, M, and preshock gas temperature, T_1. In the hot-phase interstellar medium (ISM) and intracluster medium, \xi_c < 10^{-3} for shocks with M < 5, while \xi_c ~ 10^{-4}(T_1/10^6 K)^{1/2} for shocks with M > 10. For T_1=10^6 K, for example, the test-particle solution would be valid if the injection momentum, p_{inj} > 3.8 p_{th}. This leads to the postshock CR pressure less than 10% of the shock ram pressure. If the Alfv'en speed is comparable to the sound speed in the preshock flow, as in the hot-phase ISM, the power-law slope of CR spectrum can be significantly softer than the canonical test-particle slope. Then the CR spectrum at the shock can be approximated by the revised test-particle power-law with an exponential cutoff at the highest accelerated momentum, p_{max}(t). An analytic form of the exponential cutoff is also suggested.Comment: 17 pages, 5 figures, to appear in Ap

    Self-Similar Evolution of Cosmic-Ray-Modified Quasi-Parallel Plane Shocks

    Full text link
    Using an improved version of the previously introduced CRASH (Cosmic Ray Acceleration SHock) code, we have calculated the time evolution of cosmic-ray (CR) modified quasi-parallel plane shocks for Bohm-like diffusion, including self-consistent models of Alfven wave drift and dissipation, along with thermal leakage injection of CRs. The new simulations follow evolution of the CR distribution to much higher energies than our previous study, providing a better examination of evolutionary and asymptotic behaviors. The postshock CR pressure becomes constant after quick initial adjustment, since the evolution of the CR partial pressure expressed in terms of a momentum similarity variable is self-similar. The shock precursor, which scales as the diffusion length of the highest energy CRs, subsequently broadens approximately linearly with time, independent of diffusion model, so long as CRs continue to be accelerated to ever-higher energies. This means the nonlinear shock structure can be described approximately in terms of the similarity variable, x/(u_s t), where u_s is the shock speed once the postshock pressure reaches an approximate time asymptotic state. As before, the shock Mach number is the key parameter determining the evolution and the CR acceleration efficiency, although finite Alfven wave drift and wave energy dissipation in the shock precursor reduce the effective velocity change experienced by CRs, so reduce acceleration efficiency noticeably, thus, providing a second important parameter at low and moderate Mach numbers.Comment: 29 pages, 8 figure

    Young wall realization of crystal graphs for U_q(C_n^{(1)})

    Full text link
    We give a realization of crystal graphs for basic representations of the quantum affine algebra U_q(C_n^{(1)}) using combinatorics of Young walls. The notion of splitting blocks plays a crucial role in the construction of crystal graphs