An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet

Abstract

By using the white noise theory for a fractional Brownian sheet, we derive an Itô formula for the generalized functionals for the fractional Brownian sheet with arbitrary Hurst parameters H ₁, H ₂ ∈ (0,1). As an application, we give the integral representations for two versions of local times of a fractional Brownian sheet, respectively.     

Differentiation formula in Stratonovich version for fractional Brownian sheet

We introduce two types of the Stratonovich stochastic integrals for two-parameter processes, and investigate the relationship of these Stratonovich integrals and various types of Skorohod integrals with respect to a fractional Brownian sheet. By using this relationship, we derive a differentiation formula in the Stratonovich sense for fractional Brownian sheet through Itô formula. Also the relationship between the two types of the Stratonovich integrals will be obtained and used to derive a differentiation formula in the Stratonovich sense. In this case, our proof is based on the repeated applications of differentiation formulas in the Stratonovich form for one-parameter Gaussian processes.     

Stationary binary subdivision schemes using radial basis function interpolation

A new family of interpolatory stationary subdivision schemes is introduced by using radial basis function interpolation. This work extends earlier studies on interpolatory stationary subdivision schemes in two aspects. First, it provides a wider class of interpolatory schemes; each 2L-point interpolatory scheme has the freedom of choosing a degree (say, m) of polynomial reproducing. Depending on the combination (2L,m), the proposed scheme suggests different subdivision rules. Second, the scheme turns out to be a 2L-point interpolatory scheme with a tension parameter. The conditions for convergence and smoothness are also studied. Dedicated to Prof. Charles A. Micchelli on the occasion of his 60th birthday Mathematics subject classifications (2000) 41A05, 41A25, 41A30, 65D10, 65D17. Byung-Gook Lee: This work was done as a part of Information & Communication fundamental Technology Research Program supported by Ministry of the Information & Communication in Republic of Korea. Jungho Yoon: Corresponding author. Supported by the Korea Science and Engineering Foundation grant (KOSEF R06-2002-012-01001).     

Mapped WENO schemes based on a new smoothness indicator for Hamilton–Jacobi equations

In this paper, we introduce an improved version of mapped weighted essentially non-oscillatory (WENO) schemes for solving Hamilton–Jacobi equations. To this end, we first discuss new smoothness indicators for WENO construction. Then the new smoothness indicators are combined with the mapping function developed by Henrick et al. (2005) [31]. The proposed scheme yields fifth-order accuracy in smooth regions and sharply resolve discontinuities in the derivatives. Numerical experiments are provided to demonstrate the performance of the proposed schemes on a variety of one-dimensional and two-dimensional problems.     

Simulation of two‐phase flow–body interaction problems using direct forcing/fictitious domain–level set method

In the present paper, a direct forcing/fictitious domain (DF/FD)–level set method is proposed to simulate the twophase flow–body interaction. The DF/FD does not sacrifice accuracy and robustness by employing a discrete δ (Dirac delta) function to transfer quantities between the Eulerian nodes and Lagrangian points explicitly as the immersed boundary method. The advantages of this approach are the simple concept, the easy implementation and the utilization of original governing equation without modification. The main idea is to combine DF/FD method with the level set method in the Cartesian coordinates. We present the results of a number of test cases to illustrate the effectiveness of the proposed method for single‐phase flow–body interaction problem and the two‐phase flows with a stationary body. Eventually, the simulations of various water entry problems have been conducted to validate the capability and the accuracy of the present method on solving the twophase flow–body interaction. Consequently, the present results are found to be in good agreement with those of previous studies. Copyright © 2013 John Wiley & Sons, Ltd.     

Evaluation of the performance of a soft X-ray charger for the bipolar charging of nanoparticles

The use of soft X-rays in a neutrahzer represents an alternative technique that could replace conventional radioactive sources.In this study,we evaluated the charging characteristics of a soft X-ray aerosol neutralize!.In addition,the results from the evaluation of the soft X-ray charger were compared with results obtained using a neutralizer incorporating an ²⁴¹Am radioactive source.The tandem differential mobility analyzer technique was used previously to determine the size-dependent positive,negative,and neutral charge fractions of a soft X-ray neutralizer.This technique was used to show that the neutral fractions obtained using the soft X-ray charger agreed well with the predictions of bipolar diffusion charging theory,and that the soft X-ray charger could be used as a neutralizer for a scanning mobility particle sizer system.     

An answer to a question of A. Lubin: The lifting problem for commuting subnormals

In this paper, we give an answer to a long-standing open question on the lifting problem for commuting subnormals (due to A. Lubin): The subnormality for the sum of commuting subnormal operators does not guarantee the existence of commuting normal extensions.     

Local duality theorem for q-ary 1-perfect codes

In this paper, we derive the relationship between local weight enumerator of q-ary 1-perfect code in a face and that in the orthogonal face. As an application of our result, we compute the local weight enumerators of a shortened, doubly-shortened, and triply-shortened q-ary 1-perfect code.     

Multifactor Heston's stochastic volatility model for European option pricing

In this study, we extend the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254] by incorporating a slow varying factor of volatility. The resulting model can be viewed as a multifactor extension of the Heston model with two additional factors driving the volatility levels. An asymptotic analysis consisting of singular and regular perturbation expansions is developed to obtain an approximation to European option prices. We also find explicit expressions for some essential functions that are available only in integral formulas in the work of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254]. This finding basically leads to considerable reduction in computational time for numerical calculation as well as calibration problems. An accuracy result of the asymptotic approximation is also provided. For numerical illustration, the multifactor Heston model is calibrated to index options on the market, and we find that the resulting implied volatility surfaces fit the market data better than those produced by the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254], particularly for long‐maturity call options.