Semi-Markov regime switching interest rate models and minimal entropy measure

In this paper, we present a discrete time regime switching binomial-like model of the term structure where the regime switches are governed by a discrete time semi-Markov process. We model the evolution of the prices of zero-coupon when given an initial term structure as in the model by Ho and Lee that we aim to extend. We discuss and derive conditions for the model to be arbitrage free and relate this to the notion of martingale measure. We explicitly show that due to the extra source of uncertainty coming from the underlying semi-Markov process, there are an infinite number of equivalent martingale measures. The notion of path independence is also studied in some detail, especially in the presence of regime switches. We deal with the market incompleteness by giving an explicit characterization of the minimal entropy martingale measure. We give an application to the pricing of a European bond option both in a Markov and semi-Markov framework. Finally, we draw some conclusions.     

Adaptive modeling, adaptive data assimilation and adaptive sampling

For efficient progress, model properties and measurement needs can adapt to oceanic events and interactions as they occur. The combination of models and data via data assimilation can also be adaptive. These adaptive concepts are discussed and exemplified within the context of comprehensive real-time ocean observing and prediction systems. Novel adaptive modeling approaches based on simplified maximum likelihood principles are developed and applied to physical and physical–biogeochemical dynamics. In the regional examples shown, they allow the joint calibration of parameter values and model structures. Adaptable components of the Error Subspace Statistical Estimation (ESSE) system are reviewed and illustrated. Results indicate that error estimates, ensemble sizes, error subspace ranks, covariance tapering parameters and stochastic error models can be calibrated by such quantitative adaptation. New adaptive sampling approaches and schemes are outlined. Illustrations suggest that these adaptive schemes can be used in real time with the potential for most efficient sampling.     

Commissioning of a multi‐beamline femtoslicing facility at SOLEIL

The investigation of ultrafast dynamics, taking place on the few to sub‐picosecond time scale, is today a very active research area pursued in a variety of scientific domains. With the recent advent of X‐ray free‐electron lasers (XFELs), providing very intense X‐ray pulses of duration as short as a few femtoseconds, this research field has gained further momentum. As a consequence, the demand for access strongly exceeds the capacity of the very few XFEL facilities existing worldwide. This situation motivates the development of alternative sub‐picosecond pulsed X‐ray sources among which femtoslicing facilities at synchrotron radiation storage rings are standing out due to their tunability over an extended photon energy range and their high stability. Following the success of the femtoslicing installations at ALS, BESSY‐II, SLS and UVSOR, SOLEIL decided to implement a femtoslicing facility. Several challenges were faced, including operation at the highest electron beam energy ever, and achievement of slice separation exclusively with the natural dispersion function of the storage ring. SOLEIL's setup also enables, for the first time, delivering sub‐picosecond pulses simultaneously to several beamlines. This last feature enlarges the experimental capabilities of the facility, which covers the soft and hard X‐ray photon energy range. In this paper, the commissioning of this original femtoslicing facility is reported. Furthermore, it is shown that the slicing‐induced THz signal can be used to derive a quantitative estimate for the degree of energy exchange between the femtosecond infrared laser pulse and the circulating electron bunch.     

Three paths toward the quantum angle operator

We examine mathematical questions around angle (or phase) operator associated with a number operator through a short list of basic requirements. We implement three methods of construction of quantum angle. The first one is based on operator theory and parallels the definition of angle for the upper half-circle through its cosine and completed by a sign inversion. The two other methods are integral quantization generalizing in a certain sense the Berezin–Klauder approaches. One method pertains to Weyl–Heisenberg integral quantization of the plane viewed as the phase space of the motion on the line. It depends on a family of “weight” functions on the plane. The third method rests upon coherent state quantization of the cylinder viewed as the phase space of the motion on the circle. The construction of these coherent states depends on a family of probability distributions on the line.     

Integrating microRNA and mRNA expression profiles of neuronal progenitors to identify regulatory networks underlying the onset of cortical neurogenesis

Background

While there is a general agreement that picture-plane inversion is more detrimental to face processing than to other seemingly complex visual objects, the origin of this effect is still largely debatable. Here, we address the question of whether face inversion reflects a quantitative or a qualitative change in processing mode by investigating the pattern of event-related potential (ERP) response changes with picture plane rotation of face and house pictures. Thorough analyses of topographical (Scalp Current Density maps, SCD) and dipole source modeling were also conducted.

Results

We find that whilst stimulus orientation affected in a similar fashion participants' response latencies to make face and house decisions, only the ERPs in the N170 latency range were modulated by picture plane rotation of faces. The pattern of N170 amplitude and latency enhancement to misrotated faces displayed a curvilinear shape with an almost linear increase for rotations from 0° to 90° and a dip at 112.5° up to 180° rotations. A similar discontinuity function was also described for SCD occipito-temporal and temporal current foci with no topographic distribution changes, suggesting that upright and misrotated faces activated similar brain sources. This was confirmed by dipole source analyses showing the involvement of bilateral sources in the fusiform and middle occipital gyri, the activity of which was differentially affected by face rotation.

Conclusion

Our N170 findings provide support for both the quantitative and qualitative accounts for face rotation effects. Although the qualitative explanation predicted the curvilinear shape of N170 modulations by face misrotations, topographical and source modeling findings suggest that the same brain regions, and thus the same mechanisms, are probably at work when processing upright and rotated faces. Taken collectively, our results indicate that the same processing mechanisms may be involved across the whole range of face orientations, but would operate in a non-linear fashion. Finally, the response tuning of the N170 to rotated faces extends previous reports and further demonstrates that face inversion affects perceptual analyses of faces, which is reflected within the time range of the N170 component.     

A least square finite element formulation of the collimated irradiation in frequency domain for optical tomography applications

This paper presents an extension of the least square finite element formulation associated to the discrete ordinates method to solve collimated irradiation problems in frequency domain. The features of the method are shown with a separation of the intensity into its collimated and scattered parts for a better handling of discontinuities due to the boundary conditions of Dirichlet type used in optical tomography applications. Numerical tests are used to gauge the accuracy of the model in both isotropic and anisotropic scattering media, with and without frequency modulation. The results show that the method is accurate compared to some reference solutions.