Mean-Variance Hedging Under Multiple Defaults Risk

We solve a mean-variance hedging problem in an incomplete market where multiple defaults can occur. For this purpose, we use a default-density modeling approach. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the dependence of the default times is modelled using a conditional density hypothesis. We prove the quadratic form of each value process between consecutive default times and recursively solve systems of coupled quadratic backward stochastic differential equations (BSDEs). We demonstrate the existence of these solutions using BSDE techniques. Then, using a verification theorem, we prove that the solutions of each subcontrol problem are related to the solution of our global mean-variance hedging problem. As a byproduct, we obtain an explicit formula for the optimal trading strategy. Finally, we illustrate our results for certain specific cases and for a multiple defaults case in particular.     

The dislocation equation as a generalization of Peierls equation

A fundamental equation is derived for the structure of dislocations in solids. With the interaction potential that can be obtained properly from the first principle, the equation provides a complete basis for a comprehensive study of the dislocation structure. In particular, the full structural feature and related properties of dislocation can be predicted theoretically, which makes it possible to compare precisely the theoretical results and what is produced by experiments or numerical simulations.     

Landau damping in a bounded magnetized plasma column

The damping decrement of Landau damping and the effect of thermal velocity on the frequency spectrum of a propagating wave in a bounded plasma column are investigated.The magnetized plasma column partially filling a cylindrical metallic tube is considered to be collisionless and non-degenerate.The Landau damping is due to the thermal motion of charge carriers and appears whenever the phase velocity of the plasma waves exceeds the thermal velocity of carriers.The analysis is based on a self-consistent kinetic theory and the solutions of the wave equation in a cylindrical plasma waveguide are presented using Vlasov and Maxwell equations.The hybrid mode dispersion equation for the cylindrical plasma waveguide is obtained through the application of appropriate boundary conditions to the plasma-vacuum interface.The dependence of Landau damping on plasma parameters and the effects of the metallic tube boundary on the dispersion characteristics of plasma and waveguide modes are investigated in detail through numerical calculations.     

Near-infrared spectroscopic measurements of volume expansion and composition of CO2-expanded ethyl acetate,acetone, tetrahydrofuran,acetonitrile, methanol-OD,and dimethyl sulfoxide

CO₂-expanded liquid (CXL) is a mixture of organic solvent with high-pressure CO₂ whose volume is increased by CO₂ dissolved in it. CXLs have attracted attention as tunable solvents, because the solvent properties can be widely controlled by the pressure. The volume expansion and the solubility of CO₂ were measured by near-infrared spectroscopy for 6 CXLs at various pressures up to 55 bar and 40 °C. The molarity of organic solvent was determined from the absorbance of the 3ν and 2ν + δ bands, and that of CO₂ was obtained from the area of the 3ν₃ band, whose peak shifted to higher frequency with increasing pressure due to a decrease in the molecular interaction around CO₂. The expansion coefficient was shown to be an increasing function of the pressure with larger slope at higher pressure, and the mole fraction of CO₂ in the liquid phase was an almost linearly increasing function of the pressure. The results were in quantitative agreement with the literature data measured by conventional sampling method, indicating the validity of the spectroscopic method.     

Prediction of polyurethane behaviour via time-temperature superposition: Meanings and limitations

Two main issues are essential nowadays for practitioners in the field of polymeric materials: how a polymer will behave under dynamic loading conditions and for how long a polymer is reliable. In this sense, the time-temperature superposition principle was applied to the main viscoelastic properties (E′, E″ and tan δ) of a series of polyurethane coatings (PU-DEG-TMP) tested for mechatronic devices. Polyurethanes are derived from an ester glycol (poly(ethylene adipate) glycol), an aromatic diisocyanate (4,4′-dibenzyldiisocyanate) and di/trifunctional chain extenders - diethylene glycol (DEG) and trimethylol propane (TMP). Despite polyurethane intrinsic rheologic complexity, the moduli/loss factor curves superimpose well over several decades of reduced frequency at the glass transition temperature (T_g), 0 °C and 15 °C, the last temperature being considered the midpoint of the practical testing range. Three criteria were for checking the applicability of the time-temperature superposition: the Cole-Cole plot, the similarity between the a_T calculated from both moduli (E′, E″) and the visual appearance of the final master curve. The presence of both hydrogen bonding and chemical joint points, along with some dangling chains put in a broader context the discussion of the microstructural features resulted from the application of the William-Landell-Ferry (WLF) equation.     

A size-modified poisson–boltzmann ion channel model in a solvent of multiple ionic species: Application to voltage-dependent anion channel

We present a new size-modified Poisson–Boltzmann ion channel (SMPBIC) model and use it to calculate the electrostatic potential, ionic concentrations, and electrostatic solvation free energy for a voltage-dependent anion channel (VDAC) on a biological membrane in a solution mixture of multiple ionic species. In particular, the new SMPBIC model adopts a membrane surface charge density and a natural Neumann boundary condition to reflect the charge effect of the membrane on the electrostatics of VDAC. To avoid the singularity difficulties caused by the atomic charges of VDAC, the new SMPBIC model is split into three submodels such that the solution of one of the submodels is obtained analytically and contains all the singularity points of the SMPBIC model. The other two submodels are then solved numerically much more efficiently than the original SMPBIC model. As an application of this SMPBIC submodel partitioning scheme, we derive a new formula for computing the electrostatic solvation free energy. Numerical results for a human VDAC isoform 1 (hVDAC1) in three different salt solutions, each with up to five different ionic species, confirm the significant effects of membrane surface charges on both the electrostatics and ionic concentrations. The results also show that the new SMPBIC model can describe well the anion selectivity property of hVDAC1, and that the new electrostatic solvation free energy formula can significantly improve the accuracy of the currently used formula. © 2019 Wiley Periodicals, Inc.     

Theoretic quantum information entropies for the generalized hyperbolic potential

The Shannon entropy (S) and the Fisher Information (I) entropies are investigated for a generalized hyperbolic potential in position and momentum spaces. First, the Schrodinger equation is solved exactly using the Nikiforov-Uvarov-Functional Analysis method to obtain the energy spectra and the corresponding wave function. By Fourier transforming the position space wave function, the corresponding momentum wave function was obtained for the low-lying states corresponding to the ground and first excited states. The positions and momentum of Shannon entropy and Fisher Information entropies were calculated numerically. Finally, the Bialynicki-Birula and Mycielski and the Stam-Cramer-Rao inequalities for the Shannon entropy and Fisher Information entropies, respectively, were tested and were found to be satisfied for all cases considered.     

Theoretical modeling of the chemical synthesis and detonation performance of polynitrocubane derivatives

Theoretical work was performed based on experimental methods described in the literature to simulate and explore feasible routes for the synthesis of energetic octanitrocubane (ONC) and polynitrocubane derivatives. In respective gaseous and liquidous environments, using cubane as the raw material, ONC was successfully synthesized through carboxylation, amination, oxidation and nitration stages, and the related reaction energy barriers were simultaneously acquired. In particular, the polyparametric calibrated gaseous molecular formation enthalpy and the group additivity approach-estimated molecular density were incorporated using the Kamlet-Jacobs equation to evaluate the detonation performance of polynitrocubane derivatives. Some high-energy-density derivatives were found to have superior characteristics as compared with traditional hexagon (RDX) and octagon (HMX) explosives.     

集中载荷作用下不同边界条件的弯曲厚矩形板的受迫振动

运用边界积分法研究了四边简支、两对边固定另两对边简支、四边固定三种复杂边界条件下厚矩形板的受迫振动问题,求解过程清晰,从而给出了受迫振动控制方程和挠曲面方程。通过在Matlab平台上进行数值计算,得出了图表形式的计算结果,并与有限元模拟值进行对照。研究表明,边界积分法用于求解厚矩形板的受迫振动问题的准确性,本文推导的控制方程和挠曲面方程的正确性,进而对工程实际中的各种相关问题具有一定的现实意义,也为求解此类问题提供了一种新途径,可以直接运用到工程实际中。     

Isobaric thermal expansivities of polyethylenes with various crystallinities over the pressure range from 0.1 to 300 MPa and over the temperature range from 303 to 393 K

A pressure-controlled scanning calorimeter (PCSC) has been applied for measuring the isobaric volume thermal expansivities (α_p) of crystalline polymers as a function of pressure up to 300 MPa at various temperatures. The measurements have been performed for several well-defined polyethylenes with various degrees of crystallinity at 302.6, 333.0, 362.6, and 393.0 K. The results are reported as values of coefficients in a correlation equation, which facilitates the use of reported data over large ranges of temperature and pressure. The general pressure-temperature behavior of α_p for all polyethylenes under study is such that α_p increases with temperature and decreases with pressure. The increase with temperature is smaller at high pressures and the isotherms of α_p have a tendency to converge at high pressures; α_p decreases linearly with the crystallinity of the polyethylene over the whole range of pressure and temperature under investigation. From the linear approximation of experimental data for polyethylenes with various crystallinities the estimated α_p for both crystal and amorphous phases of polyethylenes have been determined as a function of pressure up to 300 MPa at 302.6, 333.0, and 362.5 K. The obtained results have been compared with available literature crystallographic data and with the values derived from the Pastine theoretical equation of state for both crystalline and amorphous phases. © 1996 John Wiley & Sons, Inc.