Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Analysis of Nonlinear Optical Properties of Photonic Crystal Beam-splitters

The paper analyses electromagnetic wave propagation through nonlinear photonic crystal beam-splitters. Different lattice configurations of Y-junction beam-splitters are simulated and propagation properties are investigated with introducing nonlinearity with varying the rod size in crystal lattice. It is seen that nonlinear photonic crystal shows a considerable band-gap even at low refractive contrast. The division of power in both arms of beam-splitters can be controlled by varying the nonlinearity.

Determination of the sign of the order parameter from MAS spectra of oriented molecules

The use of the intensities of the spinning sidebands in the magic-angle spinning spectra of oriented molecules is proposed for the determination of the signs of the order parameters. The method is demonstrated for benzene and chloroform oriented in nematic phases of liquid crystals. On the basis of the theoretical expressions derived for the various order sidebands, the applicability of the method for different experimental conditions is discussed.

Exact nonlinear travelling hydromagnetic wave solutions

Exact travelling wave solutions for hydromagnetic waves in an exponentially stratified incompressible medium are obtained. With the help of two integrals it becomes possible to reduce the system of seven nonlinear PDE's to a second order nonlinear ODE which describes an one dimensional harmonic oscillator with a nonlinear friction term. This equation is studied in detail in the phase plane. The travelling waves are periodic only when they propagate either horizontally or vertically. The reduced second order nonlinear differential equation describing the travelling waves in inhomogeneous conducting media has rather ubiquitous nature in that it also appears in other geophysical systems such as internal waves, Rossby waves and topographic Rossby waves in the ocean.

Aperiodic Variability in the Cane-Zebiak Model: A Diagnostic Study

The finite predictability of the coupled ocean-atmosphere system is determined by its aperiodic variability. To gain insight regarding the predictability of such a system, a series of diagnostic studies has been carried out to investigate the role of convergence feedback in producing the aperiodic behavior of the standard version of the Cane-Zebiak model. In this model, an increase in sea surface temperature (SST) increases atmospheric heating by enhancing local evaporation (SST anomaly feedback) and low-level convergence (convergence feedback). The convergence feedback is a nonlinear function of the background mean convergence field. For the set of standard parameters used in the model, it is shown that the convergence feedback contributes importantly to the aperiodic behaviour of the model. As the strength of the convergence feedback is increased from zero to its standard value, the model variability goes from a periodic regime to an aperiodic regime through a broadening of the frequency spectrum around the basic periodicity of about 4 years. Examination of the forcing associated with the convergence feedback reveals that it is intermittent, with relatively large amplitude only during 2 or 3 months in the early part of the calendar year. This seasonality in the efficiency of the convergence feedback is related to the strong seasonality of the mean convergence over the eastern Pacific. It is shown that if the mean convergence field is fixed at its March value, aperiodic behavior is produced even in the absence of annual cycles in the other mean fields. On the, other hand, if the mean convergence field is fixed at its September value, the coupled model evolution remains close to periodic, even in the presence of the annual cycle in the other fields. The role of convergence feedback on the aperiodic variability of the model for other parameter regimes is also examined. It is shown that a range exists in the strength of the SST anomaly feedback for which the model variability is aperiodic even without the convergence feedback. It appears that in the absence of convergence feedback, enhancement of the strength of the air-sea coupling in the model through other physical processes also results in aperiodicity in the model.

Coupled substitution of niobium and silicon in potassium titanyl phosphate and arsenate (KTiOPO4 and KTiOAsO4. Synthesis and nonlinear optical properties of KTi1-xNbxOX1-xSixO4 (X = P, As)

Coupled substitution of Nb(V) and Si(IV) for Ti(IV) and P(V)/As(V) in KTiOP04 (KTP) and KTiOAsO4 (KTA) giving new series of nonlinear optical materials, KTi1-xNbxOX1-xSixO4 (X=P,As), has been investigated. Substitution up to x = 0.40 readily occurs, the members retaining the orthorhombic (Pna2(1)) structure of KTP. The second harmonic generation (SHG) property of the parent KTP and KTA is not adversely affected by the coupled substitution. SHG intensity of the powder samples of the X = P series shows a slight increase with x up to x = 0.15; for 0.15 < x less-than-or-equal-to 0.40, there is a decrease in SHG intensity as compared to that for KTP. A similar trend in SHG intensity is seen for the arsenic analogs.

Kaon B parameter with Wilson fermions

We calculate the kaon B parameter in quenched lattice QCD at beta=6.0 using Wilson fermions at kappa=0.154 and 0.155. We use two kinds of nonlocal (''smeared'') sources for quark propagators to calculate the matrix elements between states of definite momentum. The use of smeared sources yields results with much smaller errors than obtained in previous calculations with Wilson fermions. By combining results for p=(0,0,0) and p=(0,0,1), we show that one can carry out the noperturbative subtraction necessary to remove the dominant lattice artifacts induced by the chiral-symmetry-breaking term in the Wilson action. Our final results are in good agreement with those obtained using staggered fermions. We also present results for B parameters of the DELTAI = 3/2 part of the electromagnetic penguin operators, and preliminary results for B(K) in the presence of two flavors of dynamical quarks.

Decentralized Parallel Operation of Inverters Sharing Unbalanced and Nonlinear Loads

In this paper, a wireless control strategy for parallel operation of three-phase four-wire inverters is proposed. A generalized situation is considered where the inverters are of unequal power ratings and the loads are nonlinear and unbalanced in nature. The proposed control algorithm exploits the potential of sinusoidal domain proportional+multiresonant controller ( in the inner voltage regulation loop) to make the system suitable for nonlinear and unbalanced loads with a simple and generalized structure of virtual output-impedance loop. The decentralized operation is achieved by using three-phase P/Q droop characteristics. The overall control algorithm helps to limit the harmonic contents and the degree of unbalance in the output-voltage waveform and to achieve excellent power-sharing accuracy in spite of mismatch in the inverter output impedances. Moreover, a synchronized turn on with consequent change over to the droop mode is applied for the new incoming unit in order to limit the circulating current completely. The simulation and experimental results from-1 kVA and -0.5 kVA paralleled units validate the effectiveness of the scheme.

Nonlinear finite element analysis of reinforced concrete corbel

Reinforced concrete corbels have been analysed using the nonlinear finite element method. An elasto-plastic-cracking constitutive formulation using Huber-Hencky-Mises yield surface augmented with a tension cut-off is employed. Smeared-fixed cracking with mesh-dependent strain softening is employed to obtain objective results. Multiple non-orthogonal cracking and opening and closing of cracks are permitted. The model and the formulation are verified with respect to available numerical solution for an RC corbel. Results of analyses of nine reinforced concrete corbels are presented and compared with experimental results. Nonlinear finite element analysis of reinforced concrete structures is shown to be a complement and also a feasible alternative to laboratory testing.

Nonlinear hydrodynamics of a hard-sphere fluid near the glass transition

We conduct a numerical study of the dynamic behavior of a dense hard-sphere fluid by deriving and integrating a set of Langevin equations. The statics of the system is described by a free-energy functional of the Ramakrishnan-Yussouff form. We find that the system exhibits glassy behavior as evidenced through a stretched exponential decay and a two-stage relaxation of the density correlation function. The characteristic times grow with increasing density according to the Vogel-Fulcher law. The wave-number dependence of the kinetics is extensively explored. The connection of our results with experiment, mode-coupling theory, and molecular-dynamics results is discussed.

Spectral approach for the soliton and periodic solutions of the nonlinear wave equation

A spectral method that obtains the soliton and periodic solutions to the nonlinear wave equation is presented. The results show that the nonlinear group velocity is a function of the frequency shift as well as of the soliton power. When the frequency shift is a function of time, a solution in terms of the Jacobian elliptic function is obtained. This solution is periodic in nature, and, to generate such an optical pulse train, one must simultaneously amplitude- and frequency-modulate the optical carrier. Finally, we extend the method to include the effect of self-steepening.

Banded spatiotemporal chaos in sheared nematogenic fluids

We present the results of a numerical study of a model of the hydrodynamics of a sheared nematogenic fluid, taking into account the effects of order-parameter stresses on the velocity profile but allowing spatial variations only in the gradient direction. When parameter values are such that the stress from orientational distortions is comparable to the bare viscous stress, the system exhibits steady states with the characteristics of shear banding. In addition, nonlinearity in the coupling of extensional flow to orientation leads to the appearance of a new steady state in which the features of both spatiotemporal chaos and shear banding are present.

Aspects of coherent states of nonlinear algebras

Various aspects of coherent states of nonlinear su(2) and su(1,1) algebras are studied. It is shown that the nonlinear su(1,1) Barut-Girardello and Perelomov coherent states are related by a Laplace transform. We then concentrate on the derivation and analysis of the statistical and geometrical properties of these states. The Berry's phase for the nonlinear coherent states is also derived. (C) 2010 American Institute of Physics. doi:10.1063/1.3514118]