Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model

ABSTRACT

In this article, we present a methodology to simulate the evolution of interest rates under real-world probability measure. More precisely, using the multidimensional Shifted Lognormal LIBOR market model and a specification of the market price of risk vector process, we explain how to perform simulations of the real-world forward rates in the future, using the Euler?Maruyama scheme with a predictor?corrector strategy. The proposed methodology allows for the presence of negative interest rates as currently observed in the markets.     

基于MAM的白光OLED恒定应力加速寿命试验研究

为了短时间内获得白光有机发光显示器(OLED)的可靠性寿命信息,通过对其开展三组恒定电流应力加速寿命试验采集样品失效试验数据,应用对数正态分布函数描述白光OLED的寿命分布。在图分析法(MAM)的基础上,基于自行开发的寿命预测软件,绘制了对数正态概率双坐标纸,计算出白光OLED的平均寿命和中位寿命。数值结果表明,白光OLED寿命服从对数正态分布,加速寿命方程符合逆幂定律,精确计算的加速参数使得对其寿命的快速估算成为可能。结果可为生产厂商和用户提供参考和指导。     

New equation of adsorption for the calculation of parameters of microporous structure

A new equation describing the equilibrium adsorption of vapors of substances with different physicochemical properties was obtained on the basis of the lognormal distribution of pore volume within the theory of volume filling of micropores. Unlike the existing equations, this equation is more general since it is not related to a specific geometrical model of pores. Adsorption isotherms described by this equation for active carbons with wide pore-size distributions have smaller mean square deviations than those calculated using the Dubinin-Stoeckli equation.Translated fromIzvestiya Akademii Nauk. Seriya Khimicheskaya, No. 10, pp. 1931–1933, October, 1995.This study was financially supported by the Russian Foundation for Basic Research (Project No. 94-03-09550).     

Consolidation Statistics Investigation via Thin Layer Method Analysis

In this paper, the Thin Layer Method (TLM) is adapted for solving one-dimensional primary consolidation problems. It is also combined with a stochastic formulation integrating Monte Carlo simulations to investigate primary consolidation of a random heterogeneous soil profile. This latter is modeled as a set of superposed layers extending horizontally to infinity, and having random properties. Spatial variability of soil properties is considered in the vertical direction only. Soil properties of interest are elastic modulus and soil permeability, modeled herein as spatially random fields. Lognormal distribution is chosen because it is suitable for strictly non-negative random variables, and enables analyzing the large variability of such properties. The statistics regarding final settlement and its corresponding time are investigated by performing a parametric study, which integrates the influence of variation coefficient of both elastic modulus and soil permeability, and vertical correlation length. Obtained results indicate that heterogeneity significantly influences primary consolidation of the soil profile, generating a quite different way of soil grain rearrangement and water pressure dissipation in comparison to the homogeneous case, and causing a delay in the consolidation process.     

Measuring particle size distribution using LED-illumination

A particle/droplet image analysis (PDIA) system employing LED-illumination was designed. Freezing the moving droplets using high speed camera instead of stroboscopic illumination, the system had no requirement to synchronize the backlight and the camera. It featured low cost, low power consumption and simple optical configuration in comparison to laser-based systems. Only focused droplets in images were counted. Given the sample size of the system was relatively small, an upper-limit lognormal distribution was used to fit the actual data to represent the spray patterns. The accuracy of the diameter measurement was verified using precisely manufactured balls. Comparisons with two laser-based systems were given and the system’s capacity to distinct spray patterns were demonstrated in nozzle classification experiments.     

Performance of an energy detector over η-μ/lognormal composite channel with cooperative sensing

The η-μ/lognormal composite distribution corresponds to a physical realistic scenario where the multipath effect is characterised by well-known η-μ generalised model and shadowing effect is captured by the lognormal (LN) distribution. In this work, an approximate closed-form of η-μ/LN distribution is derived using Gauss-Hermite (GH) integration. Further, the derived probability density function is utilised to develop the closed-form expression as well as infinite series representation of the average probability of energy detection (PD) and average area under the receiver operating characteristics curve (AUC) along with their respective upper bound of the truncation error. Maximal ratio combining (MRC) microdiversity technique is applied over η-μ/LN composite fading model and then its average PD is derived. In order to reduce the total probability of error, the optimisation of the detection threshold parameter is done. The result clearly shows the significant improvement in the detection probability when the optimised threshold parameter is used. Further, an extensive analysis of the optimisation of the cooperative spectrum sensing (CSS) over η-μ/LN distribution with ‘v-out-of-U’ rule at fusion center assuming erroneous feedback channels is also carried out. The closed-form expressions are validated by comparing them with exact results and Monte Carlo simulation.     

随机信号双参数脉冲模型的分形特征

为了研究随机信号的统计特性,以幅度、宽度两个相对独立的特征参数为基本概念,建立随机信号的双参数脉冲模型.采用PCI-9812高速数据采集卡,对空气中悬浮颗粒随机性光散射脉冲信号、光电传感器本底噪声随机信号进行计数分布的统计分析.实验结果表明,随机性脉冲信号幅度、宽度子集的计数分布以很高的精度与以自然数为自变量的对数正态分布符合;进一步的计算结果表明,在脉冲信号幅度、宽度定义域内,随机脉冲信号集合的两个特征参数之间存在非线性变换关系,即随机信号的双参数统计分布具有非整数维分形特征. 关键词： 分形 双参数 对数正态分布 随机脉冲信号     

贫困测度动态研究

把贫困测度作为样本的函数,即是一个统计量,进而探讨其均值和方差,以及在某一区间的概率.利用中国营养与健康调查8个年度的数据,计算贫困测度的均值.和传统的贫困测度相比,贫困测度作为统计量更多地综合了样本的信息,将静态的贫困测度转化为动态的统计量,为我国扶贫工作提供决策依据更具有理论价值和现实意义.