Large Deviations for processes on half-line

We consider a sequence of processes defined on half-line for all non negative t. We give sufficient conditions for Large Deviation Principle (LDP) to hold in the space of continuous functions with a new metric that is more sensitive to behaviour at infinity than the uniform metric. LDP is established for Random Walks, Diffusions, and CEV model of ruin, all defined on the half-line. LDP in this space is "more precise" than that with the usual metric of uniform convergence on compacts.Comment: 23 page

On the emergence of random initial conditions in fluid limits

The paper presents a phenomenon occurring in population processes that start near zero and have large carrying capacity. By the classical result of Kurtz~(1970), such processes, normalized by the carrying capacity, converge on finite intervals to the solutions of ordinary differential equations, also known as the fluid limit. When the initial population is small relative to carrying capacity, this limit is trivial. Here we show that, viewed at suitably chosen times increasing to infinity, the process converges to the fluid limit, governed by the same dynamics, but with a random initial condition. This random initial condition is related to the martingale limit of an associated linear birth and death process

Escape from the boundary in Markov population processes

Density dependent Markov population processes in large populations of size $N$ were shown by Kurtz (1970, 1971) to be well approximated over finite time intervals by the solution of the differential equations that describe their average drift, and to exhibit stochastic fluctuations about this deterministic solution on the scale $\sqrt N$ that can be approximated by a diffusion process. Here, motivated by an example from evolutionary biology, we are concerned with describing how such a process leaves an absorbing boundary. Initially, one or more of the populations is of size much smaller than $N$, and the length of time taken until all populations have sizes comparable to $N$ then becomes infinite as $N \to \infty$. Under suitable assumptions, we show that in the early stages of development, up to the time when all populations have sizes at least $N^{1-\alpha}$, for $1/3 < \alpha < 1$, the process can be accurately approximated in total variation by a Markov branching process. Thereafter, the process is well approximated by the deterministic solution starting from the original initial point, but with a random time delay. Analogous behaviour is also established for a Markov process approaching an equilibrium on a boundary, where one or more of the populations become extinct.Comment: 50 page

Dynamic PID loop control

The Horizontal Test Stand (HTS) SRF Cavity and Cryomodule 1 (CM1) of eight 9-cell, 1.3GHz SRF cavities are operating at Fermilab. For the cryogenic control system, how to hold liquid level constant in the cryostat by regulation of its Joule-Thompson JT-valve is very important after cryostat cool down to 2.0 K. The 72-cell cryostat liquid level response generally takes a long time delay after regulating its JT-valve; therefore, typical PID control loop should result in some cryostat parameter oscillations. This paper presents a type of PID parameter self-optimal and Time-Delay control method used to reduce cryogenic system parameters' oscillation.Comment: 7 pp. Cryogenic Engineering Conference and International Cryogenic Materials Conference CEC-ICMC 2011, 13-17 June 2011. Spokane, Washingto

Plate Fin Heat Exchanger Model with Axial Conduction and Variable Properties

Future superconducting radio frequency (SRF) cavities, as part of Project X at Fermilab, will be cooled to superfluid helium temperatures by a cryogenic distribution system supplying cold supercritical helium. To reduce vapor fraction during the final Joule-Thomson (J-T) expansion into the superfluid helium cooling bath, counter-flow, plate-fin heat exchangers will be utilized. Due to their compact size and ease of fabrication, plate-fin heat exchangers are an effective option. However, the design of compact and high-effectiveness cryogenic heat exchangers operating at liquid helium temperatures requires consideration of axial heat conduction along the direction of flow, in addition to variable fluid properties. Here we present a numerical model that includes the effects of axial conduction and variable properties for a plate fin heat exchanger. The model is used to guide design decisions on heat exchanger material choice and geometry. In addition, the J-T expansion process is modeled with the heat exchanger to analyze the effect of heat load and cryogenic supply parameters.Comment: 8 pp. Cryogenic Engineering Conference and International Cryogenic Materials Conference CEC-ICMC, 13-17 June 2011, Spokane, Washingto

Capital allocation for credit portfolios with kernel estimators

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the context of a partly continuous loss distribution (i.e. continuous except for a positive point mass on zero), we investigate how to combine kernel estimation methods with importance sampling to achieve more efficient (i.e. less volatile) estimation of VaR contributions.Comment: 22 pages, 12 tables, 1 figure, some amendment