Limit theorems in financial market models

Invariance principle states that a scaled simple random walk converges to the standard Brownian motion.In this article, we present a discrete time stochastic process, which reflects a microstructure of market dynamics, and prove a convergence to a scaling limit process with a drift term and a jump term. These terms are derived from a macroscopic condition on volumes traded in some time intervals. The mathematical tools for obtaining our results are Dobrushin-Hryniv theory and the method of cluster expansion developed in mathematical studies of statistical mechanics.     

Effects of microstructure on the temperature dependence of relative initial permeability of NiCuZn ferrites

In the present work, ferrites with compositions of (Ni_0.27Zn_0.64Cu_x)Fe_1.98O₄ (x=0.1, 0.2) were prepared by conventional ceramic methods. The relationship between the microstructure and the temperature dependence of relative initial permeability was investigated. It was found that intergranular pores in the ferrites generate large demagnetizing fields, reducing the temperature dependence of the effective anisotropy field H_eff, and decreasing the temperature dependence of the relative initial permeability accordingly. However, intragranular pores pin the movement of domain walls. Compared with the permeability induced by domain wall motion, the permeability that resulted from the spin rotation is more sensitive to temperature. As a result, the relative initial permeability of ferrites becomes more sensitive to temperature with increasing micropores within grains.     

Mechanistic study of the reaction of methyl peroxy radical (CH3O2) with formaldehyde (CH2O)

ABSTRACT

A direct dynamic study on the reactions of CH₃O₂?+?CH₂O was carried out over the temperature range of 300–1500?K. All stationary points were calculated with the M06-2X/6-311++G(d,p) level of theory and identified for local minimum. The energetic parameters were refined at QCISD (T)/cc-pVTZ and CCSD (T)/cc-pVTZ levels of theory. Three channels were explored and a reaction of hydrogen abstraction from CH₂O by CH₃O₂ was identified as dominant channel which involves the formation of a prereactive complex in the entrance channel. The rate coefficient of the dominant channel was calculated with TST and TST/Eck and the Eckart tunnelling effect is only important over the lower temperature region. The calculated rate coefficient of the dominant channel has positive temperature dependence and agrees reasonably with the available literature data.     

White and some colored marbles as alternative radiation shielding materials for applications

ABSTRACT

In this paper, the radiation shielding parameters such as linear attenuation coefficients (LAC, µ), mass attenuation coefficients (MAC, µ/ρ), effective atomic numbers (Z_eff), effective electron densities (N_eff), half value of layers (HVL), mean free paths (MFP) and buildup factors (exposure (EBF) and energy absorption (EABF)) were investigated for cream (M1), pink (M2), white (M3), maroon (M4) and green (M5) marbles. Attenuation coefficients were measured in the energy region 31.18–661.66 keV photon energies. The values of Z_eff and N_eff were then calculated using these coefficients with logarithmic interpolation method, and HVLs and MFPs were calculated using the values of LAC of marble samples at the same photon energies. The experimental results were compared with the theoretical values obtained from WinXCom program, and good agreements were observed between the experimental and theoretical results. HVLs and MFPs of all marble samples were compared with those of some concretes, glasses and commercial radiation shielding glasses (SCHOTT Co.). The studied marbles were better radiation shielding materials than standard shielding concretes due to lower HVL and MFP values lower than the ordinary concrete. Finally, EBFs and EABFs of the marbles were calculated in the energy region 0.015–1?MeV up to penetration depths of 40 mfps by Geometric Progression method (G-P), and the results were discussed in terms of photon energies and chemical compositions of the marbles.     

Computational study of the formation of aluminum-graphene nanocrystallites

The molecular dynamics method is used to study the formation of the Al/graphene nanocomposite in the structural grains of different size under the action of internal stresses. The behavior of graphene sheets inside an individual structural grain as well as in the process of two Al grains containing graphene are joined is investigated. The motion of graphene films, starting from the middle of the aluminum matrix, ends with their location at the crystallite boundaries. Graphene moves in the Al matrix along closely packed planes. In this case, graphene sheets acquire curvature. An intergrowth of graphene sheets is also observed. A contact between two Al-C nanocrystallites through a graphene interlayer is created. The self-diffusion coefficients of atoms and the partial potential energies increased with decreasing nanocrystallite size. The angular distribution of the nearest geometric neighbors and the distribution of distances to the nearest neighbors are determined using the construction of Voronoi polyhedra.     

基于波长调制-直接吸收光谱方法的CO分子1567 nm处谱线参数高精度标定

直接吸收光谱(DAS)可直接测量分子吸收率函数,并通过拟合吸收率函数确定待测气体参数.波长调制-直接吸收光谱(WM-DAS)在DAS基础上,结合了波长调制光谱(WMS)中谐波分析思想,利用傅里叶变换复现吸收率函数,可有效提高吸收率函数的测量精度.本文利用WM-DAS方法结合长光程气体吸收池,在室温低压条件下,对CO分子1567 nm处R5-R11近红外弱吸收谱线吸收率函数进行了精确复现,其拟合残差标准差低至3×10^-5,随后根据测得的吸收率函数对谱线的碰撞展宽、Dicke收敛以及速度依赖的碰撞展宽系数等光谱参数进行了高精度标定,并将其与高灵敏度的连续波腔衰荡光谱(CW-CRDS)测量结果进行了比较,实验结果表明该方法与CW-CRDS测量结果具有高度一致性,更具有系统简单、测量速度快、对环境要求低等优点.     

Side Information Generation Scheme Based on Coefficient Matrix Improvement Model in Transform Domain Distributed Video Coding

In order to effectively improve the quality of side information in distributed video coding, we propose a side information generation scheme based on a coefficient matrix improvement model. The discrete cosine transform coefficient bands of the Wyner–Ziv frame at the encoder side are divided into entropy coding coefficient bands and distributed video coding coefficient bands, and then the coefficients of entropy coding coefficient bands are sampled, which are divided into sampled coefficients and unsampled coefficients. For sampled coefficients, an adaptive arithmetic encoder is used for lossless compression. For unsampled coefficients and the coefficients of distributed video coding coefficient bands, the low density parity check accumulate encoder is used to calculate the parity bits, which are stored in the buffer and transmitted in small amount upon decoder request. At the decoder side, the optical flow method is used to generate the initial side information, and the initial side information is improved according to the sampled coefficients by using the coefficient matrix improvement model. The experimental results demonstrate that the proposed side information generation scheme based on the coefficient matrix improvement model can effectively improve the quality of side information, and the quality of the generated side information is improved by about 0.2–0.4 dB, thereby improving the overall performance of the distributed video coding system.     

Optimal estimation of the diffusion coefficient from non-averaged and averaged noisy magnitude data

The magnitude operation changes the signal distribution in MRI images from Gaussian to Rician. This introduces a bias that must be taken into account when estimating the apparent diffusion coefficient. Several estimators are known in the literature. In the present paper, two novel schemes are proposed. Both are based on simple least squares fitting of the measured signal, either to the median (MD) or to the maximum probability (MP) value of the Probability Density Function (PDF). Fitting to the mean (MN) or a high signal-to-noise ratio approximation to the mean (HS) is also possible. Special attention is paid to the case of averaged magnitude images. The PDF, which cannot be expressed in closed form, is analyzed numerically. A scheme for performing maximum likelihood (ML) estimation from averaged magnitude images is proposed. The performance of several estimators is evaluated by Monte Carlo (MC) simulations. We focus on typical clinical situations, where the number of acquisitions is limited. For non-averaged data the optimal choice is found to be MP or HS, whereas uncorrected schemes and the power image (PI) method should be avoided. For averaged data MD and ML perform equally well, whereas uncorrected schemes and HS are inadequate. MD provides easier implementation and higher computational efficiency than ML. Unbiased estimation of the diffusion coefficient allows high resolution diffusion tensor imaging (DTI) and may therefore help solving the problem of crossing fibers encountered in white matter tractography.     

Picosecond stimulated Raman scattering of BaWO4 crystal

In single-pass configuration, a picosecond pulse laser was used to investigate the stimulated Raman scattering in different BaWO₄ crystals. Using the thresholds for the first Stokes line along the a- and c-axis, the Raman gain coefficients of the BaWO₄ crystals were calculated along their respective direction. The higher Stokes (fourth) and anti-Stokes (third) lines were observed. Compared with other well-known Raman crystals, such as KGd(WO₄)₂ and Ba(NO₃)₂, BaWO₄ has favorable properties for scattering the pump radiation with picosecond pulse duration. The Raman gain coefficients of BaWO₄ are different, but do not vary for different transmission directions, which means that this Raman material can be selected more freely.     

Exact Stationary States of a Two-Dimensional Transport Model

Previous calculations of transport coefficients of particle systems in two or more dimensions have used computer simulations or various approximations, like those implicit in the Boltzmann equation or in the standard probability theory of diffusion. Here an exactly solved model of crystal growth in three dimensions is transformed into a 2D model of steady particle transport. Then the exact, many-body stationary distribution and exact transport coefficients can be found as well as correlation functions. The model is highly asymmetric. In the transverse direction, particles are strongly attracted, so that long transverse rows of particles tend to form at low temperature. Kinks in these rows are rare, so the transverse positions of kinks effectively move continuously on a large distance scale.