Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull–White model

In the present Note, we study the asymptotic behavior of the distribution density of the stock price process in the Hull–White model. The leading terms in the asymptotic expansions at zero and infinity are found for such a density and the corresponding error estimates are given. Similar problems are solved for time averages of the volatility process, which are also of interest in the study of Asian options. To cite this article: A. Gulisashvili, E.M. Stein, C. R. Acad. Sci. Paris, Ser. I 343 (2006).     

Demineralisation of a semianthracite char with molten salts/HCl: A study by X-ray diffraction

The effects of chemical heat treatments of a semianthracite char (AC) on the composition of the mineral fraction of the material are investigated. The starting char was first treated with a mixture of LiCl/KCl or LiCl/KCl/CaO at 743, 873 or 1173 K and the products obtained were then washed thoroughly with distilled water. A small fraction of these samples were treated with 10⁻³ M HCl solution. The composition changes were studied by X-ray diffraction. The predominant mineral components initially present in the starting char are quartz, mullite, muscovite and/or kaolinite and oldhamite. The treatments of AC resulted in significant changes in the mineral fraction of the material, in particular when LiCl/KCl/CaO was used. In this case, spurrite, γ-calcium orthosilicate and gehlenite were formed, which were eliminated by treatment with 10⁻³ M HCl solution.     

双奇核188Au的准粒子带结构研究

利用在束γ谱学实验技术, 通过¹⁷³Yb(¹⁹F,4nγ)反应 布居了¹⁸⁸Au的高自旋态, 并对其准粒子带结构进行了研究. 基于实验测量结果, 对原有的双奇核¹⁸⁸Au能级纲图做了较大的修改. 通过系统性比较, 对15⁺以上的能级结构进行了讨论.     

A note on the Σ1 spectrum of a theory

Let T be a suitable system of classical set theory. We will show, that the Σ₁ spectrum of T, i.e. the set of ordinals having good Σ₁ definition in T is an initial segment of the ordinals. Received: 11 October 1999 / Published online: 12 December 2001     

Synthesis and crystal structure of bis(di-n-butyldithiocarbamato)(1,10-phenanthroline)cadmium(II)

A new mixed-ligand complex, Cd(S₂CN(C₄H₉)₂)₂Phen, is synthesized and investigated by thermal, element, and IR analyses and by diffractometry of polycrystals (DRON-3M, CuK_α radiation, Ni filter). The crystal structure was determined on a CAD-4 Enraf-Nonius automatic diffractometer (MoK_α radiation, θ from 1.5 to 25?, 2325 nonzero independent reflections, 190 refined parameters, R = 0.036 for I > 2Σ(I)). Crystal data for C₃₀H₄₄CdN₄S₄ : a = 15.592(3), b = 22.724(5), c = 9.922(2) å, space group Pbcn, V = 3515.5(12) å₃, Z = 4, M = 701.33, d_calc = 1.325 g/cm³. The structure involves monomeric molecules in which the cadmium atom has a distorted octahedral environment.     

Performance and simulation of an on-board guided-wave optical processor for airborne SAR applications

This paper describes the performance and simulation of a compact integrated optical processor for the real-time reconstruction of two-dimensional images in airborne stripmap synthetic aperture radar applications. The functional behavior of the processor is explained in some detail. The design criteria are briefly given. The simulation step allowed the main processor characteristics and properties to be identified. A number of comparisons were obtained in airborne SAR mission scenarios between the predictions of the optical device and those achieved by the modern electronic digital approach, based on the wavefront reconstruction method by matched filtering.     

Adhesion measurement of thin films by a modified laser spallation technique: theoretical analysis and experimental investigation

Laser driven shocks can lead to a dynamic failure, called film spallation. Here, we use a modified laser spallation set-up to measure the dynamic adhesion of thin films and we propose a novel diagnostic technology. Based on correlation theory, new spallation criteria for characterizing the progressive damage at the interface between the film and the substrate are established, such as interface delamination, film spallation and film expulsion. With the help of the theory, the degree of damage and the dimension of damage (i.e. fracture), such as the minimum width of delamination radius, the thickness of the film etc., are estimated. Experiments are carried out on epoxy/stainless steel and epoxy/Al, and the experimental results show that their dynamic bonding strengths are about 25 MPa and 20 MPa, respectively. The detailed results, analyses and discussions are presented in this paper. Received: 6 February 2001 / Accepted: 3 December 2001 / Published online: 11 February 2002     

Barrier-free intermolecular proton transfer in the uracil-glycine complex induced by excess electron attachment

The photoelectron spectra (PES) of anions of uracil-glycine and uracil-phenylalanine complexes reveal broad features with maxima at 1.8 and 2.0 eV. The results of ab initio density functional B3LYP and second order M?ller-Plesset theory calculations indicate that the excess electron occupies a π^* orbital localized on uracil. The excess electron attachment to the complex can induce a barrier-free proton transfer (BFPT) from the carboxylic group of glycine to the O8 atom of uracil. As a result, the four most stable structures of the anion of uracil-glycine complex can be characterized as the neutral radical of hydrogenated uracil solvated by the anion of deprotonated glycine. The similarity between the PES spectra for the uracil complexes with glycine and phenylalanine suggests that the BFPT is also operative in the case of the latter anionic species. The BFPT to the O8 atom of uracil may be related to the damage of nucleic acid bases by low energy electrons because the O8 atom is involved in a hydrogen bond with adenine in the standard Watson-Crick pairing scheme. Received 6 April 2002 Published online 13 September 2002     

Controlling global stochasticity of Hamiltonian systems by nonlinear perturbation

A method of controlling global stochasticity in Hamiltonian systems by applying nonlinear perturbation is proposed. With the well-known standard map we demonstrate that this control method can convert global stochasticity into regular motion in a wide chaotic region for arbitrary initial condition, in which the control signal remains very weak after a few kicks. The system in which chaos has been controlled approximates to the original Hamiltonian system, and this approach appears robust against small external noise. The mechanism underlying this high control efficiency is intuitively explained. Received 15 January 2002 Published online 6 June 2002     

Tunneling and EPR linewidths due to dislocations in Mn acetate

We compute the width and shape of the EPR and tunneling resonances due to dislocations in Mn₁₂ acetate crystals. Uncorrelated dislocations produce the Gaussian shape of resonances while dislocations bound in pairs produce the Lorentzian shape. We stress that the uniaxial spin Hamiltonian together with crystal defects can explain the totality of experimental data on Mn₁₂. Received 2 August 2001 / Received in final form 15 March 2002 Published online 17 September 2002