Limiting conditional distributions for birth-death processes

In a recent paper one of us identified all of the quasi-stationary distributions for a non-explosive, evanescent birth-death process for which absorption is certain, and established conditions for the existence of the corresponding limiting conditional distributions. Our purpose is to extend these results in a number of directions. We shall consider separately two cases depending on whether or not the process is evanescent. In the former case we shall relax the condition that absorption is certain. Furthermore, we shall allow for the possibility that the minimal process might be explosive, so that the transition rates alone will not necessarily determine the birth-death process uniquely. Although we shall be concerned mainly with the minimal process, our most general results hold for any birth-death process whose transition probabilities satisfy both the backward and the forward Kolmogorov differential equations

On multicurve models for the term structure

In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the clean-valuation pricing of FRAs and CAPs (linear and nonlinear derivatives) with one of the main goals being also that of exhibiting an "adjustment factor" when passing from the one-curve to the two-curve setting. The model itself corresponds to short rate modeling where the short rate and a short rate spread are driven by affine factors; this allows for correlation between short rate and short rate spread as well as to exploit the convenient affine structure methodology. We briefly comment also on the calibration of the model parameters, including the correlation factor.Comment: 16 page

Using Markov Chains for link prediction in adaptive web sites

The large number of Web pages on many Web sites has raised navigational problems. Markov chains have recently been used to model user navigational behavior on the World Wide Web (WWW). In this paper, we propose a method for constructing a Markov model of a Web site based on past visitor behavior. We use the Markov model to make link predictions that assist new users to navigate the Web site. An algorithm for transition probability matrix compression has been used to cluster Web pages with similar transition behaviors and compress the transition matrix to an optimal size for efficient probability calculation in link prediction. A maximal forward path method is used to further improve the efficiency of link prediction. Link prediction has been implemented in an online system called ONE (Online Navigation Explorer) to assist users' navigation in the adaptive Web site

Influence of fibers on the dust dislodgement efficiency of bag filters

In recent years non-woven bag filters have been used in waste incinerators for the efficient collection of dust and removal of detrimental gas. However, dust collection efficiency decreases with time until the bag filters are no longer effective. Dust adhering to the fabric is a major determinant of bag filter life. In the present study a flat filter was used to study the relationship between various parameters of a bag filter structure and its dust dislodgement efficiency. The results confirm that fiber linear density, modulus of elasticity, and the form of the fiber cross-section of the felt can each affect the dust collection efficiency of a bag filter. Higher fiber linear density in a bag filter prevents dust from penetrating the filter, and this allows the dust to be more easily dislodged from the filter. Examination of various forms of fiber cross-section indicates that for the same fiber linear density the triangular form is better than the circular form. A lower Young's modulus allows the fiber to bend more easily and prevents the dust from penetrating the filter. Fiber linear density, fiber modulus of elasticity and form of the fiber cross-section are the variables affecting bag filter efficiency.ArticleTEXTILE RESEARCH JOURNAL. 84(7):764-771 (2014)journal articl

Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model

The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In particular, we consider a Gaussian factor model where the short rate and the spreads are second order polynomials of Gaussian factor processes. This leads to an exponentially quadratic model class that is less well known than the exponentially affine class. In the latter class the factors enter linearly and for positivity one considers square root factor processes. While the square root factors in the affine class have more involved distributions, in the quadratic class the factors remain Gaussian and this leads to various advantages, in particular for derivative pricing. After some preliminaries on martingale modeling in the multi-curve setup, we concentrate on pricing of linear and optional derivatives. For linear derivatives, we exhibit an adjustment factor that allows one to pass from pre-crisis single curve values to the corresponding post-crisis multi-curve values

Understanding the Session Durability in Peer-to-Peer Storage System

This paper emphasizes that instead of long-term availability and reliability, the short-term session durability analysis will greatly impact the design of the real large-scale Peer-to-Peer storage system. In this paper, we use a Markov chain to model the session durability, and then derive the session durability probability distribution. Subsequently, we show the difference between our analysis and the traditional Mean Time to Failure (MTTF) analysis, from which we conclude that the misuse of MTTF analysis will greatly mislead our understanding of the session durability. We further show the impact of session durability analysis on the real system design. To our best knowledge, this is the first time ever to discuss the effects of session durability in large-scale Peer-to-Peer storage system.Computer Science, Theory & MethodsSCI(E)EICPCI-S(ISTP)

Tumor Uptake Study of 18F-labeled N-Acetylneuraminic Acids

開始ページ、終了ページ: 冊子体のページ付

Effect of Iodine Doping on Bi2_{2}Sr2_{2}Ca1_{1}Cu2_{2}Ox_{x}: Charge Transfer or Interlayer Coupling?

A comparative study has been made of iodine-intercalated Bi$_{2}$Sr$_{2}$Ca$_{1}$Cu$_{2}$O$_{x}$ single crystal and 1 atm O$_{2}$ annealed Bi$_{2}$Sr$_{2}$Ca$_{1}$Cu$_{1}$O$_{x}$ single crystal using AC susceptibility measurement, X-ray photoemission (XPS) and angle-resolved ultraviolet photoemission spectroscopy (ARUPS). AC susceptibility measurement indicates that O$_{2}$-doped samples studied have T$_{c}$ of 84 $^{o}$K, whereas T$_{c}$ of Iodine-doped samples studied are 80 $^{o}$K. XPS Cu 2p core level data establish that the hole concentration in the CuO$_{2}$ planes are essentially the same for these two kinds of samples. ARUPS measurements show that electronic structure of the normal states near the Fermi level has been strongly affected by iodine intercalation. We conclude that the dominant effect of iodine doping is to alter the interlayer coupling.Comment: LBL 9 pages, APS_Revtex. 5 Figures, available upon request. UW-Madison preprin

Euclidean Distances, soft and spectral Clustering on Weighted Graphs

We define a class of Euclidean distances on weighted graphs, enabling to perform thermodynamic soft graph clustering. The class can be constructed form the "raw coordinates" encountered in spectral clustering, and can be extended by means of higher-dimensional embeddings (Schoenberg transformations). Geographical flow data, properly conditioned, illustrate the procedure as well as visualization aspects.Comment: accepted for presentation (and further publication) at the ECML PKDD 2010 conferenc