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.     

Inverse Problem for a Mathematical Model of Adsorption Dynamics

A mixed problem is considered for a system of partial differential equations modeling the process of adsorption dynamics. An existence and uniqueness theorem is proved for this problem, and the solution properties are investigated. The inverse problem is posed, involving the determination of the system coefficient given additional information about the solution. A uniqueness theorem is proved for the solution of the inverse problem.__________Translated from Prikladnaya Matematika i Informatika, No. 16, pp. 5 – 14, 2004.     

Representations of Positive Projections II

In this paper we obtain a number of Maharam-type slice integral representations, with respect to scalar measures, for positive projections in Dedekind complete vector lattices and f-algebras. AMS Classification: 47B65, 46A40, 06F25     

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).     

Vascular morphology by three-dimensional magnetic resonance imaging

A three-dimensional examination of blood vessels is provided using MR data from seven cases. The vascular surfaces are constructed with an algorithm that automatically follows the selected artery or vein and generates a projected three-dimensional gradient shaded image. Fast 3DFT pulse sequences were optimized to enhance the time-of-flight contrast of the intravascular region. By increasing the surface threshold value in a three-dimensional head study, the flesh of a patient's face was peeled away to demonstrate the superfacial temporal artery. Gated cardiac images show the great vessels and cardiac chambers. A three-dimensional view of the aorta shows an irregular surface in the vicinity of an adrenal tumor. 3D MR exams provide a non-invasive technique for assessing vascular morphology in a clinical setting.     

Liquid–gas critical phenomena under confinement: small-angle neutron scattering studies of CO2 in aerogel

Small angle neutron scattering (SANS) is a well-established technique for investigating the behavior of confined binary liquid solutions, as it can probe the correlation length and susceptibility in pores on length scales 1 – 100 nm. We applied SANS to explore the influence of confinement on critical behavior of an individual fluid carbon dioxide (CO₂) in a highly porous aerogel. The results demonstrate that quenched disorder induced by aerogel significantly depresses density fluctuations. Despite the negligible volume occupied by aerogel (< 4%), the macroscopic phase separation of confined CO₂ into coexisting liquid and gaseous phases is suppressed and below the critical temperature of the bulk fluid frozen methastable microdomains are formed. Experimental data show that critical adsorption is as important as the effect of confinement in defining the behavior of confined fluids.     

Fonctions analytiques Cliffordiennes

We define analytic functions within Clifford Algebras CL, and study their trigonometric properties. We write the addition formulas when their arguments, A and B in CL, commute, this generalizes ordinary trigonometry. We examine in particular the case A² = 1.      

Isometric Isomorphisms Between Banach Algebras Related to a Certain Class of Clifford Topological Semigroups

In the present paper it is shown that if S₁ and S₂ are two Clifford topological semigroups satisfying certain conditions and T is an isometric isomorphism of LUC(S₁*) onto LUC(S₂*), then T maps S₁ topologically isomorphically onto S₂. Furthermore, T maps M ^l _n(S₁) (M(S₁), respectively) isometrically isomorphically onto M ^l _n(S₂) (M(S₂), respectively). Indeed, we have obtained a generalization of a well-known result of Ghahramani, Lau and Losert for locally compact groups to a more general setting of Clifford topological semigroups.     

Sorption of technetium and rhenium on natural sorbents under aerobic conditions

The uptake of technetium on bentonite materials has been studied from the point of view of the characterization of long-term radioactive elements behavior in nuclear waste repository. It is generally known that bentonite materials show an excellent cation-exchange capacity and on the other hand a poor uptake of anions. The aim of our research has been to find out the conditions suitable for technetium sorption on selected bentonite under oxidizing conditions. The influence of the addition of different materials (e.g., activated carbon, graphite, Fe²⁺, Fe) with bentonite, the effect of solid:aqueous phase ratio and a pH value on the percentage of technetium uptake and on the K _d values were tested.This revised version was published online in November 2005 with corrections to the Cover Date.