Probabilistic nonlinear analysis of CFR dams by MCS using Response Surface Method

This paper presents the probabilistic analysis of concrete-faced rockfill (CFR) dams according to the Monte Carlo Simulation (MCS) results which are obtained through the Response Surface Method (RSM). ANSYS finite element program is used to get displacement and principal stress components. First of all, some parametric studies are performed according to the simple and representative finite element model of dam body to obtain the optimum approximate model. Secondly, a sensitivity analysis is performed to get the most effective parameters on dam response. Then, RSM is used to obtain the approximate function through the selected parameters. After the performed analyses, star experimental design with quadratic function without mixed terms according to the k = 1 is determined as the most appropriate model. Finally, dam-foundation-reservoir interaction finite element model is constituted and probabilistic analyses are performed with MCS using the selected parameters, sampling method, function and arbitrary factor under gravity load for empty and full reservoir conditions. Geometrically and materially nonlinearity are considered in the analysis of dam-foundation-reservoir interaction system. Reservoir water is modeled by fluid finite elements based on the Lagrangian approach. Structural connections are modeled as welded contact and friction contact based on Coulomb’s friction law. Probabilistic displacements and stresses are presented and compared with deterministic results.     

A unified treatment of dividend payment problems under fixed cost and implementation delays

In this paper we study the dividend optimization problem for a corporation or a financial institution when the management faces (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein–Uhlenbeck and square-root processes. Since the cash flow structure of different companies have different qualitative behaviors, it makes sense to use different diffusions to model them. The delay causes significant difficulties to the optimization problem since the cash reservoir fluctuates during the delay period. We provide a uniform mathematical framework to analyze all the models and provide optimal threshold strategies at which the management initiates actions, i.e., declaration and payment of dividends. Our solution depends on a new characterization of the value function for one-dimensional diffusions and provide easily implementable algorithms to find the optimal control and the value function.     

Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives

Abstract

We develop two parsimonious models for pricing multi-name credit derivatives. We derive closed form expression for the loss distribution, which then can be used in determining the prices of tranche and index swaps and more exotic derivatives on these contracts. Our starting point is the model of Ding et al., 2008, which takes the loss process as a time-changed birth process. We introduce stochastic parameter variations into the intensity of the loss process and use the multi-time scale approach of Fouque et al., 2003 Fouque, J.-P., Papanicolaou, G., Sircar, R. and Solna, K. 2003. Multiscale stochastic volatility asymptotics. SIAM Journal of Multiscale Modeling and Simulation, 2(1): 22–42.  [Google Scholar] and obtain explicit perturbation approximations to the loss distribution. We demonstrate the competence of our approach by calibrating it to the CDX index data.     

A Nanotubular Metal–Organic Framework with a Narrow Bandgap from Extended Conjugation**

A one-dimensional nanotubular metal–organic framework (MOF) [Ni(Cu-H₄TPPA)]⋅2 (CH₃)₂NH₂⁺ (H₈TPPA=5,10,15,20-tetrakis[p-phenylphosphonic acid] porphyrin) constructed by using the arylphosphonic acid H₈TPPA is reported. The structure of this MOF, known as GTUB-4 , was solved by using single-crystal X-ray diffraction and its geometric accessible surface area was calculated to be 1102 m² g⁻¹, making it the phosphonate MOF with the highest reported surface area. Due to the extended conjugation of its porphyrin core, GTUB-4 possesses narrow indirect and direct bandgaps (1.9 eV and 2.16 eV, respectively) in the semiconductor regime. Thermogravimetric analysis suggests that GTUB-4 is thermally stable up to 400 °C. Owing to its high surface area, low bandgap, and high thermal stability, GTUB-4 could find applications as electrodes in supercapacitors.     

Sequential tracking of a hidden Markov chain using point process observations

We study finite horizon optimal switching problems for hidden Markov chain models with point process observations. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state variable using Bayesian updates over the discrete observations. Such a model has applications in economic policy making, staffing under variable demand levels and generalized Poisson disorder problems. We show regularity of the value function and explicitly characterize an optimal strategy. We also provide an efficient numerical scheme and illustrate our results with several computational examples.     

Ultrasensitive measurements of microbial rhodopsin photocycles using photochromic FRET

Microbial rhodopsins are an important class of light-activated transmembrane proteins whose function is typically studied on bulk samples. Herein, we apply photochromic fluorescence resonance energy transfer to investigate the dynamics of these proteins with sensitivity approaching the single-molecule limit. The brightness of a covalently linked organic fluorophore is modulated by changes in the absorption spectrum of the endogenous retinal chromophore that occur as the molecule undergoes a light-activated photocycle. We studied the photocycles of blue-absorbing proteorhodopsin and sensory rhodopsin II (SRII). Clusters of 2-3 molecules of SRII clearly showed a light-induced photocycle. Single molecules of SRII showed a photocycle upon signal averaging over several illumination cycles.     

Temperature-programmed oxidation of equilibrium fluid catalytic cracking catalysts

Characterization of coke on equilibrium, fluid catalytic cracking (FCC) catalysts contaminated with metals was investigated using temperature-programmed oxidation (TPO). TPO spectra of spent equilibrium catalysts from cracking of sour imported heavy gas oil (SIHGO) were deconvoluted into four peaks (Peak K, L, M and N). The four peaks were assigned to different types of coke on the catalyst. Peak L in the TPO spectrum was assigned to the 'contaminant' coke in the vicinity of metals. The amount of contaminant coke (Peak L) correlates with metal-contaminant concentration. The size of Peak L which is related to amount of contaminant coke decreased significantly for the spent highly contaminated catalyst pretreated with hydrogen and methane prior to cracking reactions as compared to the non-pretreated catalysts. Since both hydrogen and methane pretreatment can reduce oxidation state of the vanadium that present at high concentrations on the equilibrium catalysts the decrease in the amount of contaminant-coke represented by Peak L was explained by the reduction of the oxidation state of vanadium. Less contaminant coke was produced after the equilibrium catalysts were pretreated using hydrogen and methane gases since reduced vanadium has lower dehydrogenation activity compared to oxidized vanadium. This revised version was published online in August 2006 with corrections to the Cover Date.     

Characterization and recovery of tartaric acid from wastes of wine and grape juice industries

Tartaric acid is mainly used in food, pharmaceuticals and cosmetics industries. In this study, the waste samples, which contain tartaric acid, from the wastes of wine and grape juice industries were characterized by using TG, DSC, FTIR and XRD techniques. HPLC was used to determine tartaric acid content of samples. The decomposition temperatures of waste samples were found to be relatively higher compared with that of pure tartaric acid. This difference in decomposition temperatures was attributed to the presence of potassium tartrate since high potassium content was detected with ICP-AES.     

Estimation of stochastic nonlinear dynamic response of rock-fill dams with uncertain material parameters for non-stationary random seismic excitation

This research investigates the effect of uncertain material parameters on the stochastic, dynamic response of a rock-fill dam-foundation system subjected to non-stationary random excitation. The uncertain material parameter of particular interest is the shear modulus, developed from a lognormal distribution model. The stochastic seismic response model of the dam-foundation system, with uncertain material parameters and subjected to random loads is the result of a Monte Carlo simulation method. The nonlinear behavior model arises from an equivalent linear method, which considers the nonlinear variation of soil shear modulus and soil damping as a function of shear strain. Specification of the non-stationary stochastic process arises from a simulation method, which generates artificial earthquake accelerograms obtained from the product of a deterministic function of time and a stationary process. The artificial earthquake ground acceleration records reflect the characteristics of soft, medium and firm soil types. Comparison of the numerical results from these approaches provides stochasticity in earthquake seismic excitation and randomness in material parameter (shear modulus) cases. Further, the results indicate that both these cases generally influence the nonlinear dynamic response of rock-fill dams to a non-stationary seismic excitation.