Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Structure and superconductivity in FexCu1−xBa2YCu2O7+y superconductors synthesized by high pressure

Comprehensive studies of X-ray diffraction, oxygen content, superconductivity and Mössbauer effect have been made on Fe_xCu_1−xBa₂YCu₂O_7+y superconductors (0.00≤x≤0.70) synthesized by ambient (AM) and high pressure (HP). Results indicate that all the HP-samples have tetragonal structure, smaller lattice parameter c and unit-cell volume than the AM-samples. The studies of oxygen content, and Mössbauer spectroscopy indicate that the HP-samples have higher oxygen content, carrier concentration and average valence of Fe than the AM-samples. Moreover, for the HP-samples more Fe atoms located in CuO_x chains have fivefold-oxygen coordination. These are important reasons for the enhancement of T_c in the HP-samples.     

On the non existence of monotone linear schema for some linear parabolic equations

In this Note, we present a result concerning the non existence of linear monotone schema with fixed stencil on regular meshes for some linear parabolic equation in two dimensions. The parabolic equations of interest arise from non isotropic diffusion modelling. A corollary is that no linear monotone 9 points-schemes can be designed for the one-dimensional heat equation emerged in the plane with an arbitrary direction of diffusion. Some applications of this result are provided: for the Fokker–Planck–Lorentz model for electrons in the context of plasma physics; all linear monotone scheme for the one-dimensional hyperbolic heat equation treated as a two-dimensional problem are not consistent in the diffusion limit for an arbitrary direction of propagation. We also examine the case of the Landau equation. To cite this article: C. Buet, S. Cordier, C. R. Acad. Sci. Paris, Ser. I 340 (2005).     

Propriétés statistiques des entiers friables

Let Ψ(x,y) (resp. Ψ_m(x,y)) denote the number of integers not exceeding x that are y-friable, i.e. have no prime factor exceeding y (resp. and are coprime to m). Evaluating the ratio Ψ_m(x/d,y)/Ψ(x,y) for 1≤slantd≤slantx, m≥slant 1, x≥slant y≥slant 2, turns out to be a crucial step for estimating arithmetic sums over friable integers. Here, it is crucial to obtain formulae with a very wide range of validity. In this paper, several uniform estimates are provided for the aforementioned ratio, which supersede all previously known results. Applications are given to averages of various arithmetic functions over friable integers which in turn improve corresponding results from the literature. The technique employed rests mainly on the saddle-point method, which is an efficient and specific tool for the required design.2000 Mathematics Subject Classification: Primary—11N25; Secondary—11K65, 11N37     

Search for a reliable methodology for PSD determination based on a combined molecular simulation-regularization-experimental approach: The case of PHTS materials

We present here a methodology for searching a robust pore size distribution (PSD) for adsorbent materials. The method is based on a combination of individual adsorption isotherms, obtained from Grand Canonical Monte Carlo simulations, a regularization procedure to invert the adsorption integral equation (Tikhonov regularization solved by singular value decomposition), and the needed experimental adsorption isotherm. The selection of several parameters from the available choices to start the procedure are discussed here: the size of the kernel (number of individual pores and number of experimental adsorption points to be included), the fulfillment of the Discrete Picard condition, and the L-curve criteria, all leading to find a reliable and robust PSD. The procedure is applied to plugged hexagonal templated silicas (PHTS), synthesized, and characterized in our laboratory.     

Beyond the quark model of hadrons from lattice QCD

Lattice QCD can give direct information on OZI-violating contributions to mesons. Here we explore the contributions that split flavour singlet and non-singlet meson masses. I discuss in detail the spectrum and decays for scalar mesons (i.e. including glueball effects). I also review the status of hybrid mesons and their decays.Received: 30 September 2002, Published online: 22 October 2003PACS: 12.38.Gc Lattice QCD calculations - 12.39.Mk Glueball and nonstandard multi-quark/gluon states