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.     

Probability Interpretation of the Integral of Fractional Order

We establish a relation between stable distributions in probability theory and the fractional integral. Moreover, it turns out that the parameter of the stable distribution coincides with the exponent of the fractional integral. It follows from an analysis of the obtained results that equations with the fractional time derivative describe the evolution of some physical system whose time degree of freedom becomes stochastic, i.e., presents a sum of random time intervals subject to a stable probability distribution. We discuss relations between the fractal Cantor set (Cantor strips) and the fractional integral. We show that the possibility to use this relation as an approximation of the fractional integral is rather limited.     

Analysis of a 2D “liquid”plasma lattice

Adustyplasmacanbedefinedasacomplicatedplasmacontainingsmallsolidmattercalleddustgrainsordustparticles,whichareusuallychargednegatively,duetoelectronshighermobilitythanion,bycollectingelectronsandionsfromthebackgroundplasma.Theuniverseisfilledwithdustyplasmassuchasplanetaryrings,comettails,andnebulae.Also,inindustrialplasmaprocessing,particulatessuspendedinplasmaarethemajorcontaminationinsemiconductormanufacture.Studiesondustyplasmahavebeenextendedtofar-flungtopicssuchaswaves,instabilities,stro…     

Upper bounds on correlation decay for one-dimensional long-range spin-glass models

Some recent results on one-dimensional spin-glass models with polynomially decreasing interactions are described.     

Investigations of low- and high-spin states of <Superscript>132</Superscript>La

The fusion evaporation reaction ¹²²Sn(¹⁴N, 4n)¹³²La was used to populate the high-spin states of ¹³²La at the beam energy of 60 MeV. A new band consisting of mostly E2 transitions has been discovered. This band has the interesting links to the ground state 2^- and the isomeric state 6^-. A new transition of energy 351 keV connecting the low-spin states of the positive-parity band based on the πh _11/2 ⊗ νh _11/2 particle configuration, has been found. This has played a very important role in resolving the existing ambiguities and inconsistencies in the spin assignment of the band head. Received: 12 August 2002 / Accepted: 18 March 2003 / Published online: 7 May 2003     

水平均匀大气中多束光在接收面上的相关性及其对光强起伏的影响

在科尔莫戈罗夫理论的基础上，推广了光束在接收面上相关函数的物理含义。分析了多光束在接收面上的相关性。并在此基础上形成多光束光强起伏方差的解析表达式。分析结果表明，随着信道间距的增加，信道相关性下降。到达接收面的光强起伏方差降低；当信道完全重合，即相关系数变为1时，叠加后的光强起伏方差没有明显降低。与单光束时没有区别；在允许范围内增加光束数目可降低光强起伏。     

There are infinitely many limit points of the fractional parts of powers

Suppose that α > 1 is an algebraic number and ξ > 0 is a real number. We prove that the sequence of fractional partsξα ⁿ , n = 1, 2, 3, …, has infinitely many limit points except when α is a PV-number and ξ ∈ ℚ(α). For ξ = 1 and α being a rational non-integer number, this result was proved by Vijayaraghavan.     

Radial and angular correlation in heliumlike ions

In the framework of nonrelativistic variational formalism a new type of basis set is proposed, to estimate separately the effect of radial and angular correlations on the ground‐state energy for helium isoelectronic sequence H^? to Ar¹⁶⁺. Effect of radial correlation is incorporated by using multiexponential functions arising from product basis sets suitably formed out of Slater‐type one‐particle orbitals. The angular correlation can be switched on by incorporating an expansion in terms of basis involving interparticle coordinates. With a set of six‐term Slater‐type one‐particle basis and five‐term interparticle expansion, the ground‐state energy of helium is estimated as ?2.9037236 (a.u.) compared with the multiterm variational estimates ?2.9037244 (a.u.) due to Pekeris and Thakkar and Smith and Drake. Matrix elements of different operators in the ground state have been calculated and found to be in good agreement with available accurate results. © 2003 Wiley Periodicals, Inc. Int J Quantum Chem, 2003     

Fractional Derivatives Applied to Phase-Space Reconstructions

The concept and application of phase-space reconstructions are reviewed. Fractional derivatives are then proposed for the purpose of reconstructing dynamics from a single observed time history. A procedure is presented in which the fractional derivatives of time series data are obtained in the frequency domain. The method is applied to the Lorenz system. The ability of the method to unfold the data is assessed by the method of global false nearest neighbors. The reconstructed data is used to compute recurrences and correlation dimensions. The reconstruction is compared to the commonly used method of delays in order to assess the choice of reconstruction parameters, and also the quality of results.     

Robust Speed Control of a Low Damped Electromechanical System Based on CRONE Control: Application to a Four Mass Experimental Test Bench

Robust speed control of a low damped electromechanical system with backlash is studied, controlled load angular speed being not measured. The proposed control strategy combines a Luenberger observer (load angular speed and load torque disturbance estimations) and a robust CRONE controller. The observer provides estimation of the load angular speed and of the disturbance torque applied on the load. Through the computation of only three independent parameters (as many as a PID controller), the CRONE controller permits to ensure the robust speed control of the load in spite of plant parametric variations and speed observation errors. The proposed control strategy is applied to a four mass experimental test bench.