Exploring the conditional performance of UK unit trusts

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.

Exploitation of symbolic information in interprocedural dependence analysis

The requirement for a very accurate dependence analysis to underpin software tools to aid the generation of efficient parallel implementations of scalar code is argued. The current status of dependence analysis is shown to be inadequate for the generation of efficient parallel code, causing too many conservative assumptions to be made. This paper summarises the limitations of conventional dependence analysis techniques, and then describes a series of extensions which enable the production of a much more accurate dependence graph. The extensions include analysis of symbolic variables, the development of a symbolic inequality disproof algorithm and its exploitation in a symbolic Banerjee inequality test; the use of inference engine proofs; the exploitation of exact dependence and dependence pre-domination attributes; interprocedural array analysis; conditional variable definition tracing; integer array tracing and division calculations. Analysis case studies on typical numerical code is shown to reduce the total dependencies estimated from conventional analysis by up to 50%. The techniques described in this paper have been embedded within a suite of tools, CAPTools, which combines analysis with user knowledge to produce efficient parallel implementations of numerical mesh based codes.

Generalized Markov branching processes

A generalized Markov Brnching Process (GMBP) is a Markov branching model where the infinitesimal branching rates are modified with an interaction index. It is proved that there always exists only one GMBP. An associated differential-integral equation is derived. The extinction probalility and the mean and conditional mean extinction times are obtained. Ergodicity and stability of GMBP with resurrection are also considered. Easy checking criteria are established for ordinary and strong ergodicty. The equilibrium distribution is given in an elegant closed form. The probability meaning of our results is clear and thus explained.

Uniqueness and extinction properties of generalised Markov branching processes

This paper focuses on the basic problems regarding uniqueness and extinction properties for generalised Markov branching processes. The uniqueness criterion is firstly established and a differential–integral equation satisfied by the transition functions of such processes is derived. The extinction probability is then obtained. A closed form is presented for both the mean extinction time and the conditional mean extinction time. It turns out that these important quantities are closely related to the elementary gamma function.

A prognostic assessment method for power electronics modules

This paper describes a prognostic method which combines the physics of failure models with probability reasoning algorithm. The measured real time data (temperature vs. time) was used as the loading profile for the PoF simulations. The response surface equation of the accumulated plastic strain in the solder interconnect in terms of two variables (average temperature, and temperature amplitude) was constructed. This response surface equation was incorporated into the lifetime model of solder interconnect, and therefore the remaining life time of the solder component under current loading condition was predicted. The predictions from PoF models were also used to calculate the conditional probability table for a Bayesian Network, which was used to take into account of the impacts of the health observations of each product in lifetime prediction. The prognostic prediction in the end was expressed as the probability for the product to survive the expected future usage. As a demonstration, this method was applied to an IGBT power module used for aircraft applications.

Probabilistic approach in weighted Markov branching processes

This note provides a new probabilistic approach in discussing the weighted Markov branching process (WMBP) which is a natural generalisation of the ordinary Markov branching process. Using this approach, some important characteristics regarding the hitting times of such processes can be easily obtained. In particular, the closed forms for the mean extinction time and conditional mean extinction time are presented. The explosion behaviour of the process is investigated and the mean explosion time is derived. The mean global holding time and the mean total survival time are also obtained. The close link between these newly developed processes and the well-known compound Poisson processes is investigated. It is revealed that any weighted Markov branching process (WMBP) is a random time change of a compound Poisson process.