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.     

论恒力作用下质点的相对论运动

在相对论情况下，讨论了受恒力作用的质点的运动规律。     

Tribute to Endre Csáki and Pál Révész

Summary This article provides a glimpse of some of the highlights of the joint work of Endre Csáki and Pál Révész since 1979. The topics of this short exploration of the rich stochastic milieu of this inspiring collaboration revolve around Brownian motion, random walks and their long excursions, local times and additive functionals, iterated processes, almost sure local and global central limit theorems, integral functionals of geometric stochastic processes, favourite sites--favourite values and jump sizes for random walk and Brownian motion, random walking in a random scenery, and large void zones and occupation times for coalescing random walks.     

大直径长钻孔桩孔底压浆技术的探讨

分析了某工程桩底缺陷形成的原因,介绍了桩底补强过程中的造孔、清淤、压浆及验证的具体做法。     

Direct numerical simulation of settling of a large solid particle during bioconvection

Settling of a large solid particle in bioconvection flow caused by gyrotactic microorganisms is investigated. The particle is released from the top of the bioconvection chamber; its settling pattern depends on whether it is released in the centre of the bioconvection plume or at its periphery. The Chimera method is utilized; a subgrid is generated around a moving particle. The method suggested by Liu and Wang (Comput. Fluid 2004; 33 :223–255) is further developed to account for the presence of a moving boundary in the streamfunction‐vorticity formulation using the finite‐difference method. A number of cases for different release positions of the particle are computed. It is demonstrated that bioconvection can either accelerate or decelerate settling of the particle depending on the initial position of the particle relative to the plume centre. It is also shown that the particle impacts bioconvection plume by changing its shape and location in the chamber. Copyright © 2005 John Wiley & Sons, Ltd.     

LES of turbulent heat transfer: proper convection numerical schemes for temperature transport

Large eddy simulations of two basic configurations (decay of isotropic turbulence, and the academic plane channel flow) with heat transfer have been performed comparing several convection numerical schemes, in order to discuss their ability to evaluate temperature fluctuations properly. Results are compared with the available incompressible heat transfer direct numerical simulation data. It is shown that the use of regularizing schemes (such as high order upwind type schemes) for the temperature transport equation in combination with centered schemes for momentum transport equation gives better results than the use of centred schemes for both equations. Copyright © 2004 John Wiley & Sons, Ltd.     

On Weak Solutions of an Integral Equation Driven by a p-Semimartingale of Special Type

We consider the integral equation driven by a standard Brownian motion and by a fractional Brownian motion. Sufficient conditions under which the equation has a weak solution are obtained.     

In-time motion adjustment in laser cladding manufacturing process for improving dimensional accuracy and surface finish of the formed part

This paper presents in-time motion adjustment in laser cladding manufacturing process as a means to improve dimensional accuracy and surface finish of the built part. Defects occurring during laser cladding degrade the part quality such as dimensional accuracy and surface finish. In this paper, in-time motion adjustment strategy was presented to remedy and eliminate defects occurring during laser cladding to improve the dimensional accuracy and surface finish. Based on the relationship between the motion of laser head relative to the growing part and other parameters in effects on clad profile, the laser traverse speed, stand-off distance and laser approach orientation to the existing clad layer were adjusted by instructions from a close-loop control system in real time to remedy and eliminate defects. The results of the experiments verified the effects of in-time motion adjustment on dimensional accuracy and surface finish.     

Large deviations and the generalized processor sharing scheduling for a two-queue system

We establish the optimal asymptotic decay rate of per-session queue length tail distributions for a two-queue system where a single constant rate server serves the two queues using the Generalized Processor Sharing (GPS) scheduling discipline. The result is obtained using the sample-path large deviation principle and has implications in call admission control for high-speed communication networks. This revised version was published online in June 2006 with corrections to the Cover Date.     

GIRSANOV'S THEOREM ON ABSTRACT WIENER SPACES

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