Estimation in the continuous time mover‐stayer model with an application to bond ratings migration

The usual tool for modelling bond ratings migration is a discrete, time‐homogeneous Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behaviour among rating categories and that the movement behaviour does not change over time. However, among recognized sources of heterogeneity in ratings migration is age of a bond (time elapsed since issuance). It has been observed that young bonds have a lower propensity to change ratings, and thus to default, than more seasoned bonds. The aim of this paper is to introduce a continuous, time‐non‐homogeneous model for bond ratings migration, which also incorporates a simple form of population heterogeneity. The specific form of heterogeneity postulated by the proposed model appears to be suitable for modelling the effect of age of a bond on its propensity to change ratings. This model, called a mover–stayer model, is an extension of a Markov chain. This paper derives the maximum likelihood estimators for the parameters of a continuous time mover–stayer model based on a sample of independent continuously monitored histories of the process, and develops the likelihood ratio statistic for discriminating between the Markov chain and the mover–stayer model. The methods are illustrated using a sample of rating histories of young corporate issuers. For these issuers the default probabilities predicted by the Markov chain and mover–stayer models are different. In particular for 1–4 years old bonds the mover–stayer model estimates substantially lower default probabilities from rating C than a Markov chain. Copyright © 2004 John Wiley & Sons, Ltd.     

量子算法的NMR实现方法

量子计算机是一种以量子耦合方式进行信息处理的装置[1 ] 。原则上 ,它能利用量子相干干涉方法以比传统计算机更快的速度进行诸如大数的因式分解、未排序数据库中的数据搜索等工作[2 ] 。建造大型量子计算机的主要困难是噪音、去耦和制造工艺。一方面 ,虽然离子陷阱和光学腔实验方法大有希望 ,但这些方法都还没有成功实现过量子计算。另一方面 ,因为隔离于自然环境 ,核自旋可以成为很好的“量子比特” ,可能以非传统方式使用核磁共振 (NMR)技术实现量子计算。本文介绍一种用NMR方法实现量子计算的方法 ,该方法能够用比传统方法少的步骤解决一个纯数学问题。基于该方法的简单量子计算机使用比传统计算机使用更少的函数“调用”判断一未知函数的类别。     

Ultraslow phonon-assisted collapse of tubular image states

We predict ultraslow collapse of “tubular image states” (TIS) on material surfaces. TIS are bound Rydberg-like electronic states formed at large distances (∼30 nm) from the surfaces of suspended circularly-symmetric nanowires, such as metallic C nanotubes. The states are formed in potential wells, resulting from a combination of the TIS-electron attraction to image charges in the nanotube and its centrifugal repulsion, caused by spinning around the tube. We demonstrate that TIS can collapse on the tube surface by passing their angular momentum l to circularly polarized flexural phonons excited in the tube. Our analysis shows that for highly detached TIS with l ? 6 the relaxation lifetimes are of the order of 10 ns-1 μs, while for l < 6 these lifetimes are reduced by several orders of magnitude.     

Numerical analysis of turbulent structure in compound meandering open channel by algebraic Reynolds stress model

The turbulent flow in a compound meandering channel with a rectangular cross section is one of the most complicated turbulent flows, because the flow behaviour is influenced by several kinds of forces, including centrifugal forces, pressure‐driven forces and shear stresses generated by momentum transfer between the main channel and the flood plain. Numerical analysis has been performed for the fully developed turbulent flow in a compound meandering open‐channel flow using an algebraic Reynolds stress model. The boundary‐fitted coordinate system is introduced as a method for coordinate transformation in order to set the boundary conditions along the complicated shape of the meandering open channel. The turbulence model consists of transport equations for turbulent energy and dissipation, in conjunction with an algebraic stress model based on the Reynolds stress transport equations. With reference to the pressure–strain term, we have made use of a modified pressure–strain term. The boundary condition of the fluctuating vertical velocity is set to zero not only for the free surface, but also for computational grid points next to the free surface, because experimental results have shown that the fluctuating vertical velocity approaches zero near the free surface. In order to examine the validity of the present numerical method and the turbulent model, the calculated results are compared with experimental data measured by laser Doppler anemometer. In addition, the compound meandering open channel is clarified somewhat based on the calculated results. As a result of the analysis, the present algebraic Reynolds stress model is shown to be able to reasonably predict the turbulent flow in a compound meandering open channel. Copyright © 2005 John Wiley & Sons, Ltd.     

Zero Dissipative, Explicit Numerov-Type Methods for Second Order IVPs with Oscillating Solutions

New explicit, zero dissipative, hybrid Numerov type methods are presented in this paper. We derive these methods using an alternative which avoids the use of costly high accuracy interpolatory nodes. We only need the Taylor expansion at some internal points then. The method is of sixth algebraic order at a cost of seven stages per step while their phase lag order is fourteen. The zero dissipation condition is satisfied, so the methods possess an non empty interval of periodicity. Numerical results over some well known problems in physics and mechanics indicate the superiority of the new method.     

非等间距序列建模过程中存在的问题及改进

在研究非等间距序列的基础上 ,本文将非等间距累加运用于非等间距序列的建模过程中 ,使原有模型得到改进 .实例表明 ,改进后模型的精度有了很大提高     

Crystallization and morphology of poly(vinylidene fluoride)/poly(3‐hydroxybutyrate) blends. I. Spherulitic morphology and growth by polarized microscopy

The development of the poly(3‐hydroxybutyrate) (PHB) morphology in the presence of already existent poly(vinylidene fluoride) (PVDF) spherulites was studied by two‐stage solidification with two separate crystallization temperatures. PVDF formed irregular dendrites at lower temperatures and regular, banded spherulites at elevated temperatures. The transition temperature of the spherulitic morphology from dendrites to regular, banded spherulites increased with increasing PVDF content. A remarkable amount of PHB was included in the PVDF dendrites, whereas PHB was rejected into the remaining melt from the banded spherulites. When PVDF crystallized as banded spherulites, PHB could consequently crystallize only around them, if at all. In contrast, PHB crystallized with a common growth front, starting from a defined site in the interfibrillar regions of volume‐filling PVDF dendrites. It formed by itself dendritic spherulites that included a large number of PVDF spherulites. For blends with a PHB content of more than 80 wt %, for which the PVDF dendrites were not volume‐filling, PHB first formed regular spherulites. Their growth started from outside the PVDF dendrites but could later interpenetrate them, and this made their own morphology dendritic. These PHB spherulites melted stepwise because the lamellae inside the PVDF dendrites melted at a lower temperature than those from outside. This reflected the regularity of the two fractions of the lamellae because that of those inside the dendrites of PVDF was controlled by the intraspherulitic order of PVDF, whereas that from outside was only controlled by the temperature and the melt composition. The described morphologies developed without mutual nucleating efficiency of the components. © 2003 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 41: 873–882, 2003     

半导体激光自混频干涉式传感器中的干涉与调制

应用F-P模型，阐述了半导体激光自混频干涉式传感器的干涉与调制过程，同时给出了相应的计算．     

Synthesis and properties of the nanocomposite of zink oxide and poly(amic acid)

The composite comprised of zinc oxide quantum dots and poly(amic acid) (PAAc) was prepared and studied by X-rays diffraction, X-ray photoelectron spectroscopy, light scattering, UV absorbance and UV fluorescence. The UV absorbance of the ZnO/PAAc composite was found to be much larger than that of its components taken separately. The fluorescence of the ZnO/PAAc composite was found to be shifted to longer wavelengthes in comparison with pure ZnO. The presence of the dopant dodecylbenzenesulfonic acid was found to affect the observed fluorescence.