A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

A hyperbolic function is introduced to reflect the attenuation effect of one firm's default to its partner.If two firms are competitors(copartners),the default inten- sity of one firm will decrease(increase)abruptly when the other firm defaults.As time goes on,the impact will decrease gradually until extinct.In this model,the joint distri- bution and marginal distributions of default times are derived by employing the change of measure,and the fair swap premium of a credit default swap(CDS)can be valued.     

Thermodynamics of nanoadsorption from solution: Theoretical and experimental research

In this study, the effect of nanoparticle size on adsorption thermodynamics was investigated. The results of theoretical and experimental studies show that particle size significantly affects the equilibrium constant and thermodynamic properties of nanoadsorption. Relationships between the equilibrium constant, thermodynamic properties and particle size were derived using the thermodynamic theory of nanoadsorption. The equilibrium constant and thermodynamic properties were obtained by investigating the adsorption of Cu²⁺ onto different sizes of nano-ZnO and the adsorption of Ag⁺ onto different sizes of nano-TiO₂. Good agreement was achieved between results obtained by experiments and predicted by theoretical analyses. The equilibrium constant and the molar Gibbs free energy of nanoadsorption were found to increase with smaller nanoparticle size. However, the effects of particle size on the molar enthalpy and the molar entropy are uncertain. In addition, the molar Gibbs free energy, the molar enthalpy, the molar entropy and the logarithm of the equilibrium constant are linearly related to the reciprocal of the diameter of the nanoparticle. The thermodynamic properties revealed in this study may provide important guidelines for research and application in the field of nanoadsorption.     

Understanding the thermal stability of human serum proteins with the related near-infrared spectral variables selected by Monte Carlo-uninformative variable elimination

Understanding the thermal stability of the proteins in human serum is essential since human serum is the important source of pharmaceutical proteins. Near-infrared (NIR) spectroscopy was applied to the investigation of thermal changes in secondary structure and hydration of human serum proteins. However, as a multicomponent system, the overlap of the broad NIR bands makes the structural analysis very difficult directly using the spectra of serum samples. Therefore, continuous wavelet transform (CWT) was used to improve the resolution of NIR spectra, and Monte Carlo-uninformative variable elimination (MC-UVE) method was applied to the selection of the variables associated with the proteins for the structural analysis. The variables (5956, 5867, 5815, 5747, 4525, 4401, 4359 and 4328 cm^-1) related to protein secondary structures and those (7074, 6951, 6827 and 6700 cm^-1) connected with water species were selected. Then, the thermal stability was analyzed through the intensity variations of the selected variables with temperature from 30 ℃ to 80 ℃. It was found that the variation of the spectral variables related to both α-helix and β-sheetchanges apparently around 60 ℃, indicating the beginning of the thermal denaturation and the transition from α-helix to β-sheet. Moreover, an obvious change was found around 60 ℃ for the content of the water specie S₃, i.e., the water cluster containing three hydrogen bonds. The result demonstrates that MC-UVE can identify the protein-related NIR spectral variables, and the water species may be a marker for investigation of the structural change of proteins in biochemical systems.     

Certain properties related to well posedness of switching diffusions

This work is devoted to switching diffusions that have two components (a continuous component and a discrete component). Different from the so-called Markovian switching diffusions, in the setup, the discrete component (the switching) depends on the continuous component (the diffusion process). The objective of this paper is to provide a number of properties related to the well posedness. First, the differentiability with respect to initial data of the continuous component is established. Then, further properties including uniform continuity with respect to initial data, and smoothness of certain functionals are obtained. Moreover, Feller property is obtained under only local Lipschitz continuity. Finally, an example of Lotka–Volterra model under regime switching is provided as an illustration.     

基于EV模型ND样本加权和的相合性

本文研究变系数EV模型的ND样本加权和的相合性问题.利用ND序列的Bernstein型不等式和截尾的方法,获得了ND样本加权和sum from i=1 to n(W_(ni)(t_0)Y_i)的强、弱相合性,推广了独立随机变量加权和的相合性.     

相依误差广义线性模型的M估计的Bahadur表示

考虑如下广义线性模型y_i=h(x~T_i,β)+e_i=1,2,…,n,其中e_i=G(…,ε_(i-1),ε_i),h是一个连续可导函数,ε_i是独立同分布的随机变量,并且它的期望为0,方差σ~2有限.本文给出了参数β的M估计,并且得到了该估计的Bahadur表示,该结论推广了线性模型的相关结论.应用M估计的Bahadur表示,得到了相依误差的线性回归模型,poisson模型,logistic模型和独立误差的广义线性模型等模型的渐近性质.     

A GENERAL FREQUENCY DEPENDENT DIGITAL OPTIMAL PREVIEW SERVO SYSTEM

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A defect correction approach to turbulence modeling

A method for resolving turbulent flow problems is presented, aiming at competing with the existing mathematical tractable Approximate Deconvolution Models in terms of accuracy, and outperforming these models in terms of the computational time needed. Full numerical analysis is performed, and the method is shown to be stable, easy to implement and parallelize, and computationally fast. The proposed method employs the defect correction approach to solve spatially filtered Navier–Stokes equations. A simple numerical test is provided that compares the method against the approximate deconvolution turbulence model (ADM). When resolving a fluid flow at high Reynolds number, the numerical example verifies the key feature of the method: while having the accuracy comparable to that of the ADM, the method computes in less than 80% of the time needed for the turbulence model—even before the parallelization.© 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 268–288, 2015     

Variable-step variable-order 3-stage Hermite-Birkhoff-Obrechkoff DDE solver of order 4 to 14

This article presents a solver for delay differential equations (DDEs) called HBO414DDE based on a hybrid variable-step variable-order 3-stage Hermite-Birkhoff-Obrechkoff ODE solver of order 4 to 14. The current version of our method solves DDEs with state dependent, non-vanishing, small, vanishing and asymptotically vanishing delays, except neutral type and initial value DDEs. Delayed values are computed using Hermite interpolation, small delays are dealt with by extrapolation, and discontinuities are located by a bisection method. HBO414DDE was tested on several problems and results were compared with those of known solvers like SYSDEL and the recent Matlab DDE solver ddesd and statistics show that it gives, most of the time, a smaller relative error than the other solvers for the same number of function evaluations.     

Asymptotic behavior of a differential operator with discontinuities at two points

In this paper, we study a Sturm–Liouville operator with eigenparameter‐dependent boundary conditions and transmission conditions at two interior points. By establishing a new operator A associated with the problem, we prove that the operator A is self‐adjoint in an appropriate space H, discuss completeness of its eigenfunctions in H, and obtain its Green function. Copyright © 2010 John Wiley & Sons, Ltd.