Logarithmic asymptotics for a single-server processing distinguishable sources

We consider a single-server first-in-first-out queue fed by a finite number of distinct sources of jobs. For a large class of short-range dependent and light-tailed distributed job processes, using functional large deviation techniques we prove a large deviation principle and logarithmic asymptotics for the joint waiting time and queue lengths distribution. We identify the paths that are most likely to lead to the rare events of large waiting times and long queue lengths. A number of examples are presented to illustrate salient features of the results.      

Bayesian parameter inference for models of the Black and Scholes type

In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying dS=SdX for some simple models of X. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as well as the likelihood function implied by the observed price history for the underlying. As an application of our framework, we compute the value at risk (VaR) and conditional VaR (CVaR) measures for the changes in the price of an option implied by the posterior distribution of the volatility of the underlying. The implied VaR and CVaR are more conservative than their classical counterpart, since it takes into account the estimation risk that arises due to parameter uncertainty. Copyright © 2008 John Wiley & Sons, Ltd.     

Comparison of techniques for assessing effects of loading uncertainty upon a long term phosphorous model

This paper compares the feasibility of applying three stochastic techniques to a linear water quality model. The Monte Carlo, first order analysis, and generation of moment equation techniques are applied to a long term phosphorus model of Lake Washington. The effect of uncertainty of the phosphorus loading term on simulated phosphorus levels is analysed. The simulated concentrations of phosphorus in the water column are very responsive to uncertainty in annual phosphorus loading, but the sediment concentrations are relatively insensitive. All three stochastic techniques produced identical results, but the level of preparatory and computational effort required varies considerably. The Monte Carlo technique requires the most computation time of the three stochastic techniques examined. The first order analysis and generation of moment equation techniques are shown to be precise and efficient methods of stochastic analysis. In this application they required less than one-thousandth the computer time of the Monte Carlo technique     

Predictive accuracy determination applied to a linear model phosphorus loading resulting from urban runoff

A case study of the application of an iterative technique for determination of predictive accuracy is presented. The method uses Monte Carlo simulations and split sampling techniques to verify model accuracy. Examination of the ability of a linear parametric runoff loading model's ability to project total phosphorus loadings reveals the sensitivity of the model to calibration procedures. Predictive reliability was found to vary widely as the number of rainfall events considered in the calibration process changed. Predictive reliability was substantially increased by imposing calibration constraints which ensured that a wide distribution of values of the independent variable were presented in the calibration pool.Although the linear model is theoretically weak in its representation of the runoff loading phenomenon, it displays relatively stable predictive capabilities which warrant its consideration for use in management studies. The predictive errors associated with loading projections limit the linear model's value to applications insensitive to errors in the loading projections for individual storm events. This study provides further evidence of the need to consider uncertainties associated with the modelling of water quality phenomena.     

Development of a rapid,multi-class method for the confirmatory analysis of anti-inflammatory drugs in bovine milk using liquid chromatography tandem mass spectrometry

A rapid liquid chromatography tandem mass spectrometry (LC–MS/MS) method has been developed and validated for the simultaneous identification, confirmation and quantitation of seven licensed anti-inflammatory drugs (AIDs) in bovine milk. The method was validated in accordance with the criteria defined in Commission Decision 2002/657/EC. Two classes of AIDs were investigated, corticosteroids and non-steroidal anti-inflammatory drugs (NSAIDs). The developed method is capable of detecting and confirming dexamethasone (DXM), betamethasone (BTM), prednisolone (PRED), tolfenamic acid (TLF), 5-hydroxy flunixin (5-OH-FLU), meloxicam (MLX) and 4-methyl amino antipyrine (4-MAA) at their associated maximum residue limits (MRLs). These compounds represent all the corticosteroids and NSAIDs licensed for use in bovine animals producing milk for human consumption. These compounds have never been analysed before in the same method and also 4-methyl amino antipyrine has never been analysed with the other licensed NSAIDs. The method can be considered rapid as permits the analysis of up to 30 samples in one day. Milk samples are extracted with acetonitrile; sodium chloride is added to aid partition of the milk and acetonitrile mixture. The acetonitrile extract is then subjected to liquid–liquid purification by the addition of hexane. The purified extract is finally evaporated to dryness and reconstituted in a water/acetonitrile mixture and determination is carried out by LC–MS/MS. Decision limit (CCα) values and detection capability (CCβ) values have been established for each compound.     

Determination of contact parameters for discrete element method simulations of granular systems

Both linear-spring-dashpot （LSD） and non-linear Hertzian-spring-dashpot （HSD） contact models are commonly used for the calculation of contact forces in Discrete Element Method （DEM） simulations of granular systems. Despite the popularity of these models, determination of suitable values for the contact parameters of the simulated particles such as stiffness, damping coefficient, coefficient of restitution, and simulation time step, is not altogether obvious. In this work the relationships between these contact parameters for a model system where a particle impacts on a flat base are examined. Recommendations are made concerning the determination of these contact parameters for use in DEM simulations.     

Stereodynamics and edge-to-face CH-pi aromatic interactions in o-phenethyl-substituted biaryls

As part of a search for systems that exhibit intramolecular aromatic edge-to-face interactions, a series of four biaryl compounds containing a phenethyl side chain were prepared. These compounds exist as a slowly interconverting mixture of two atropisomers due to steric hindrance to rotation about the biaryl bond. The more thermodynamically stable isomer exhibits an abnormal shielding of an ortho-proton in solution indicative of an edge-to-face CH-pi interaction with the terminal phenyl ring on the side chain. This tilted-T type of geometry was observed in the X-ray crystal structure of one of the compounds. The edge-to-face conformation in solution is estimated by variable temperature NMR studies to be energetically favored by ca. 1.6 kcal mol(-1) but entropically disfavored by ca. 5.0 cal K(-1) mol(-1).