Unspanned Stochastic Volatility in the Multi-factor CIR Model

Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While [1] showed that no two-factor Cox-Ingersoll-Ross (CIR) model can exhibit USV, it has been unknown to date whether CIR models with more than two factors can exhibit USV or not. We formally review USV and relate it to bond market incompleteness. We provide necessary and sufficient conditions for a multi-factor CIR model to exhibit USV. We then construct a class of three-factor CIR models that exhibit USV. This answers in the affirmative the above previously open question. We also show that multi-factor CIR models with diagonal drift matrix cannot exhibit USV

An experimental study of particle sedimentation using ultrasonic speckle velocimetry

Ultrasonic speckle velocimetry (USV) is a non-invasive technique that allows the measurement of fluid velocity in flow and also that of powders under sedimentation. To improve the USV method, we studied the sedimentation of polymethyl methacrylate and silica particles in water. Then, we built a sedimentation cell and characterized the diameter distribution of the particles. Subsequently, we carried out a specific study to optimize the USV procedure, the signal processing and data analysis. Space and temporal resolution and USV dynamics are also discussed with regard to the optimization conditions. We found that USV is a useful technique to measure velocities between 10−5 and 1 m s−1, using appropriate ultrasonic transducers. The space resolution is fixed by the length and the percentage of overlapping of the analyzed speckle windows and varies between 48 and 536 μm for the different studied particle families. Furthermore, we found that a 0.1 ns temporal resolution could be obtained after a zero padding signal processing. In the context of our sedimentation experiments, we showed that the velocities measured by USV are in close agreement with those measured by particle image velocimetry and theory

"Identification of Stochastic Sequential Bargaining Models"

Stochastic sequential bargaining games (Merlo and Wilson (1995, 1998)) have found wide applications in various fields including political economy and macroeconomics due to their flexibility in explaining delays in reaching agreement. In this paper, we present new results in nonparametric identification of such models under different scenarios of data availability. First, with complete data on players’ decisions, the sizes of the surplus to be shared (cakes) and the agreed allocations, both the mapping from states to the total surplus (i.e. the "cake function") and the players’ common discount rate are identified, if the unobservable state variable (USV) is independent of observable ones (OSV), and the total surplus is strictly increasing in the USV conditional on the OSV. Second, when the cake size is only observed under agreements and is additively separable in OSV and USV, the contribution by OSV is identified provided the USV distribution satisfies some distributional exclusion restrictions. Third, if data only report when an agreement is reached but never report the cake sizes, we propose a simple algorithm that exploits exogenously given shape restrictions on the cake function and the independence of USV from OSV to recover all rationalizable probabilities for reaching an agreement under counterfactual state transitions. Numerical examples show the set of rationalizable counterfactual outcomes so recovered can be informative.Nonparametric identification, non-cooperative bargaining, stochastic sequential bargaining, rationalizable counterfactual outcomes

Sistem Navigasi pada Unmanned Surface Vehicle untuk Pemantauan Daerah Perairan

Intisari — Daerah perairan, khususnya sungai, memiliki peranan penting untuk kehidupan manusia. Untuk mencegah kerusakan pada daerah tersebut, maka ada baiknya jika dilakukan pemantauan dan pengukuran secara berkala untuk beberapa parameter yang dapat memberi tanda atau peringatan dini terhadap ketidak normalan yang terjadi daerah ini sehingga dapat dilakukan antisipasi secara tepat dan cepat. Atas ide inilah diciptakan sebuah Unmanned Surface Vehicle yang ditujukan untuk mempermudah proses pemantauan daerah perairan. USV yang digunakan yaitu USV elektrik yang dilengkapi APM 2.5 dengan firmware ardurover untuk sistem autopilot. Sistem autopilot pada USV meliputi mode Auto, manual, guided dan hold. Sebelum USV menjalankan misi, dilakukan pengujian-pengujian terhadap sensor-sensor yang dipakai. Kemudian pengujian perairan dilakukan dengan membuat 6 misi dengan letak waypoint yang berbeda sehingga USV dapat menuju titik waypoint yang diinginkan. Didapatkan eror radius rata-rata setiap waypoint sebesar 2,2 meter. USV ini juga dilengkapi dengan sistem FPV sehingga pemantauan dapat lebih mudah dilakukan dengan melihat kamera yang terpasang pada USV dan ditampilkan pada monitor 7” dengan bantuan video sender.Kata kunci— daerah perairan, Unmanned Surface Vehicle (USV), APM 2.5, Sistem FPV Abstract — Water area, especially river, has an important role for human life. To prevent the damage to that area, it is better if we do the monitoring and measurement periodically to some of parameters that can give a sign or early warning against abnormality that occurs in this area, so we can accurately and quickly anticipate. From this idea, we created an Unmanned Surface Vehicle that is intended to facilitate monitoring process in water area. USV that we are use is electric USV equipped with APM 2.5 firmware ardurover as an autopilot system. Autopilot system on USV covered with Auto mode, Manual mode, Guided mode and Hold mode. Before USV take the mission, every sensors in this USV are being tested. Then USV can take the water area mission by making 6 mission with different waypoints location  so that usv can go towards desired waypoints. Average error radius obtained from  mission is 2,2 meter every waypoints. This USV also equipped with FPV system so that monitoring proses can easily done by looking at the camera mounted on the USV. Keywords— Water area, Unmanned Surface Vehicle (USV), APM 2.5, FPV Syste

A novel cooperative platform design for coupled USV-UAV systems

International audienceThis paper presents a novel cooperative USV-UAV platform to form a powerful combination, which offers foundations for collaborative task executed by the coupled USV-UAV systems. Adjustable buoys and unique carrier deck for the USV are designed to guarantee landing safety and transportation of UAV. The deck of USV is equipped with a series of sensors, and a multi-ultrasonic joint dynamic positioning algorithm is introduced for resolving the positioning problem of the coupled USV-UAV systems. To fulfill effective guidance for the landing operation of UAV, we design a hierarchical landing guide point generation algorithm to obtain a sequence of guide points. By employing the above sequential guide points, high quality paths are planned for the UAV. Cooperative dynamic positioning process of the USV-UAV systems is elucidated, and then UAV can achieve landing on the deck of USV steadily. Our cooperative USV-UAV platform is validated by simulation and water experiments. Index Terms-USV-UAV platform. Multi-ultrasonic joint dynamic positioning algorithm. Hierarchical landing guide point generation algorithm. Cooperative positioning

Verifying collision avoidance behaviours for unmanned surface vehicles using probabilistic model checking

Collision avoidance is an essential safety requirement for unmanned surface vehicles (USVs). Normally, its practical verification is non-trivial, due to the stochastic behaviours of both the USVs and the intruders. This paper presents the probabilistic timed automata (PTAs) based formalism for three collision avoidance behaviours of USVs in uncertain dynamic environments, which are associated with the crossing situation in COLREGs. Steering right, acceleration, and deceleration are considered potential evasive manoeuvres. The state-of-the-art prism model checker is applied to analyse the underlying models. This work provides a framework and practical application of the probabilistic model checking for decision making in collision avoidance for USVs

University Student Volunteering (USV): Instruments for Its Comprehensive Diagnosis (ICD-USV)

University Student Volunteering (USV) requires attention to guarantee its pedagogic quality and its fulfilment of community service. However, a review of the literature reveals a lack of tools for assessing the quality of USV. Thus, our research question was: how can we evaluate the efficacy of volunteer programs in higher education? This article follows a qualitative methodology through an evaluative case study of the creation of a set of instruments for the comprehensive diagnostic of USV (ICD-USV) with a 360° perspective, which provide feedback and feedforward for the development of USV, thus offering indicators of its quality. The application of the ICD-USV at a Spanish university and the participation of one volunteer student, five participating entities' technicians and two USV unit managers allowed for the identification of new analysis criteria for the adequate management of a USV program. Measures that could be used to guarantee the quality of basic, pedagogic, logistic and processual criteria, and to address the proposals and difficulties detected, are suggested