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.     

Generalized lattice model of liquid state and its relation to Ginzburg–Landau theory

Basic principles of the generalized lattice model of multicomponent condensed systems are formulated. Short-range parts of interatomic interactions are taken into account by means of the geometric constraints method. Long-range parts of the interactions are taken into account in mean field approximation. The expression for Helmholtz free energy is obtained. A system of integral equations for the equilibrium distributions of components is derived. The asymptotic properties of its solutions are investigated. Moment expansion of interatomic interactions and localization of integral terms in free energy is obtained. A Ginzburg–Landau-like functional of free energy is derived.     

Structure and electrochemical behaviour of 4,7-diazaheptyl-trimethoxy-silane and vinyl-trialkoxy-silane adsorbed at silver surface

Novel self-assembled monolayers were obtained on silver using 4,7-diazaheptyl-trimethoxy-silane (SiN) and vinyl-trialkoxy-silane (SiVA, where the alkyl group is 3,6,9,12,15,18,21,24,27,30,33,36,39,42,45,48,51,54,57,60-eicozaoxa- hexaheptaconan). It was shown that thus modified metal surface was protected against electrooxidation. A densely packed monolayer remained stable and did not desorb from the Ag electrode on the potential cycling. The structure of SiN and SiVA as well as their complexes with Li⁺ cations were calculated and visualised by the AM1d and PM5 semi-empirical methods.     

具有急慢性阶段的MSIS流行病模型阈值和稳定性结果

系统研究了具有急性和慢性两个阶段的MSIS流行病模型.由两节构成,第1节建立和研究了具有急慢性阶段的MSIS流行病模型;第2节在第1节的基础上建立和研究了具有慢性病病程的MSIS流行病模型.第1节的模型是四个常微分方程构成的方程组.第2节的模型既含有常微分方程,又含有偏微分方程.运用微分方程和积分方程中的理论和方法,得到了这两个模型再生数R0的表达式.证明了当R0<1时,无病平衡态是全局渐近稳定性,给出了各模型地方病平衡态的存在性和稳定性条件.     

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.     

Feedback controlled periodic states for different kinds of photorefractive nonlinear response

We investigate analytically and numerically the influence of the type of the photorefractive nonlinear response on the periodic states (attractors) which occur during feedback controlled 2W-coupling and correspond to almost 100% diffraction efficiency of the dynamic index grating. In addition to the case of the local response typical, for example, for LiNbO₃ crystals we consider the cases of nonlocal (diffusive) response (BaTiO₃, SBN) and resonant response (DC-biased BSO, BTO, and BGO crystals). It is shown that the conditions for the transition to the periodic states and their apparent characteristics are strongly different for the two limiting cases above. Received 16 July 2002 / Received in final form 29 October 2002 Published online 4 March 2003     

A theoretical study of the ion pair SN2 reaction between lithium isocyanates with methyl fluoride with inversion and retention mechanism

This paper is devoted to a detailed theoretical study of an ion pair S_N2 reaction LiNCO+CH₃F in the gas phase and in solution at the level of MP2(full)/6-31+G**//HF/6-31+G**. Two possible reaction mechanisms, inversion and retention, are discussed. There are eight possible reaction pathways. The inversion mechanism is more favorable no matter in the gas phase or in solution based on analyses of the transition structures. Methyl isocyanate should form preferentially in the gas phase and more stable methyl cyanate is the main product in solution. The retardation of the reaction in solvents was attributed to the difference in solvation in the separated reactants and in the transition state.     

Phenylene dendrimers and novel hyperbranched polyphenylenes as light emissive materials for blue OLEDs

New materials based on low-generation polyphenylene dendrimers with the light emission in the blue spectrum range were synthesized and examined for an efficient organic light emitting diodes (OLED) application. It has been shown that the ratio of p-phenylene groups with high fluorescence parameters to 1,3,5-triphenylbenzene groups with low fluorescent parameters may be the possible reason for the experimental variations of relative quantum yield of photoluminescence in the compounds explored. The quantum yield value is increased with a number of dendrimer generations up to 50–70%. The role of bromine atoms as the luminescence quenchers have been demonstrated, which is important for synthesis route choice.     

Index Heuristics for Multiclass M/G/1 Systems with Nonpreemptive Service and Convex Holding Costs

We consider the optimal service control of a multiclass M/G/1 queueing system in which customers are served nonpreemptively and the system cost rate is additive across classes and increasing convex in the numbers present in each class. Following Whittle's approach to a class of restless bandit problems, we develop a Langrangian relaxation of the service control problem which serves to motivate the development of a class of index heuristics. The index for a particular customer class is characterised as a fair charge for service of that class. The paper develops these indices and reports an extensive numerical investigation which exhibits strong performance of the index heuristics for both discounted and average costs.     

广义Sierpinski集

本文考察了包括平面上的各种广义 Cantor集 ,Sierpinski集和包括某些连续不可微曲线在内的广义 Sierpinski集 .由相似变换 ,导出了它们的级数表达式 ,并利用它和字符串空间的对应关系 ,计算出它们的Hausdorff维数