Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

The semi‐iterative method applied to the hyper‐power iteration

The semi‐iterative method (SIM) is applied to the hyper‐power (HP) iteration, and necessary and sufficient conditions are given for the convergence of the semi‐iterative–hyper‐power (SIM–HP) iteration. The root convergence rate is computed for both the HP and SIM–HP methods, and the quotient convergence rate is given for the HP iteration. Copyright © 2005 John Wiley & Sons, Ltd.     

Free probability and the von Neumann algebrasof free groups

This short note summarizes the circumstances of the birth of free probability theory andsome of the recent achievements.     

Simulation of viscous water column collapse using adapting hierarchical grids

An adaptive hierarchical grid‐based method for predicting complex free surface flows is used to simulate collapse of a water column. Adapting quadtree grids are combined with a high‐resolution interface‐capturing approach and pressure‐based coupling of the Navier–Stokes equations. The Navier–Stokes flow solution scheme is verified for simulation of flow in a lid‐driven cavity at Re=1000. Two approaches to the coupling of the Navier–Stokes equations are investigated as are alternative face velocity and hanging node interpolations. Collapse of a water column as well as collapse of a water column and its subsequent interaction with an obstacle are simulated. The calculations are made on uniform and adapting quadtree grids, and the accuracy of the quadtree calculations is shown to be the same as those made on the equivalent uniform grids. Results are in excellent agreement with experimental and other numerical data. A sharp interface is maintained at the free surface. The new adapting quadtree‐based method achieves a considerable saving in the size of the computational grid and CPU time in comparison with calculations made on equivalent uniform grids. Copyright © 2005 John Wiley & Sons, Ltd.     

Hamiltonian N2‐locally connected claw‐free graphs

A graph G is N₂‐locally connected if for every vertex ν in G, the edges not incident with ν but having at least one end adjacent to ν in G induce a connected graph. In 1990, Ryjá?ek conjectured that every 3‐connected N₂‐locally connected claw‐free graph is Hamiltonian. This conjecture is proved in this note. © 2004 Wiley Periodicals, Inc. J Graph Theory 48: 142–146, 2005     

Enhancing the Bolzon–Schrefler–Zienkiewicz Constitutive Model for Partially Saturated Soil

This paper presents an enhanced version of the elasto-plastic model for partially saturated soil first proposed by Bolzon, Schrefler and Zienkiewicz in 1996, “BSZ” model, which uses the effective stress tensor and suction as independent stress variables. It is recalled that the effective stress tensor proposed by Lewis and Schrefler in 1982 is thermodynamically consistent and, compared with other choices of stress tensors, results particularly suitable for partially saturated soil mechanics. A hydraulic constitutive relationship and a hydraulic hysteresis are introduced in the model, to take into account the irreversible deformation during cyclic drying and wetting until structural collapse. For this reason the plastic rate of strain is split into the sum of two components: one depending on the effective stress tensor and the other one on suction. This is the new feature of the BSZ model. This enhanced model is then cast into a thermodynamical framework at macroscopic level and it is shown that it is possible to derive the constitutive law from the Helmholtz free energy and a dissipation function, both for associative and non- associative plasticity. Finally the model predictions have been compared with experimental data for Sion slime, with particular emphasis on the deviatoric part, and model predictions of hysteretic behaviour have been investigated in case of a wetting and drying cycle on compacted betonite–kaolin.     

Energy Spectrum Width and Nonequilibrium Energy of Rayleigh Waves Scattered on a Two-Dimensional Near-Surface Electron Layer

We obtain expressions for the energy spectrum widths of Rayleigh waves corresponding to their deformational coupling to Fermi and Boltzmann electrons in a two-dimensional layer near the surface of a semibounded solid. We evaluate the nonequilibrium energy of Rayleigh waves that depends on these widths and is caused by the same coupling to the corresponding hot electrons. We show that this energy is independent of the degeneracy degree of the electrons and is given by the mean energy of free Rayleigh waves heated up to temperature of the electrons. We find conditions under which the thermodynamics is determined by this nonequilibrium energy of Rayleigh waves in films of a certain thickness with Fermi electrons near the surface and by the equilibrium energy of bulk phonons in thicker samples. All the results are obtained using the Keldysh diagram technique applied to the case of semibounded media.