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.     

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.     

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.     

Convex Hamiltonian energy surfaces and their periodic trajectories

In this paper we introduce symplectic invariants for convex Hamiltonian energy surfaces and their periodic trajectories and show that these quentities satisfy several nontrivial relations. In particular we show that they can be used to prove multiplicity results for the number of periodic trajectories.This paper represents results obtained while holding a visiting position at the Courant Institute for Mathematical Sciences, New YorkResearch partially supported by NSF Grant No. DMS-8603149 and a Rutgers University Research Council Grant     

Untersuchungen zur Wechselwirkung von gasf?rmigem molekularem Iod mit Silberoberfl?chen mittels XPS und AES

Summary The adsorption of gaseous molecular iodine on clean silver surfaces proceeds in the first stage by dissociative chemisorption. After the formation of half a monolayer of chemisorbed iodine atoms the formation of silver iodide begins, which forms a very regular overlayer on top of the substrate. Both iodine species can be distinguished due to a difference in chemical shift of the M₄N₄, ₅N₄, ₅-Auger transitions. After completion of this overlayer further iodine uptake is slowed down significantly. Above an overlayer thickness of about 10 nm a further progress of the reaction cannot be followed anymore due to the limited information depth of XPS.     

Construction algorithms for polynomial lattice rules for multivariate integration

We introduce a new construction algorithm for digital nets for integration in certain weighted tensor product Hilbert spaces. The first weighted Hilbert space we consider is based on Walsh functions. Dick and Pillichshammer calculated the worst-case error for integration using digital nets for this space. Here we extend this result to a special construction method for digital nets based on polynomials over finite fields. This result allows us to find polynomials which yield a small worst-case error by computer search. We prove an upper bound on the worst-case error for digital nets obtained by such a search algorithm which shows that the convergence rate is best possible and that strong tractability holds under some condition on the weights.

We extend the results for the weighted Hilbert space based on Walsh functions to weighted Sobolev spaces. In this case we use randomly digitally shifted digital nets. The construction principle is the same as before, only the worst-case error is slightly different. Again digital nets obtained from our search algorithm yield a worst-case error achieving the optimal rate of convergence and as before strong tractability holds under some condition on the weights. These results show that such a construction of digital nets yields the until now best known results of this kind and that our construction methods are comparable to the construction methods known for lattice rules.

We conclude the article with numerical results comparing the expected worst-case error for randomly digitally shifted digital nets with those for randomly shifted lattice rules.