7 resultados para Brownian Motion with Returns to Zero

em Aston University Research Archive


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A method of all-optical passive quasi-regeneration in transoceanic 40 Gbit/s return-to-zero transmission systems with strong dispersion management was described. The use of in-line nonlinear optical loop mirrors (NOLM) by the method was demonstrated. The quasi-regeneration of signals performed by NOLMs was found to improve the systems's performance.

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In a Data Envelopment Analysis model, some of the weights used to compute the efficiency of a unit can have zero or negligible value despite of the importance of the corresponding input or output. This paper offers an approach to preventing inputs and outputs from being ignored in the DEA assessment under the multiple input and output VRS environment, building on an approach introduced in Allen and Thanassoulis (2004) for single input multiple output CRS cases. The proposed method is based on the idea of introducing unobserved DMUs created by adjusting input and output levels of certain observed relatively efficient DMUs, in a manner which reflects a combination of technical information and the decision maker's value judgements. In contrast to many alternative techniques used to constrain weights and/or improve envelopment in DEA, this approach allows one to impose local information on production trade-offs, which are in line with the general VRS technology. The suggested procedure is illustrated using real data. © 2011 Elsevier B.V. All rights reserved.

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Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.

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We consider return-to-zero (RZ) pulses with random phase modulation propagating in a nonlinear channel (modelled by the integrable nonlinear Schrödinger equation, NLSE). We suggest two different models for the phase fluctuations of the optical field: (i) Gaussian short-correlated fluctuations and (ii) generalized telegraph process. Using the rectangular-shaped pulse form we demonstrate that the presence of phase fluctuations of both types strongly influences the number of solitons generated in the channel. It is also shown that increasing the correlation time for the random phase fluctuations affects the coherent content of a pulse in a non-trivial way. The result obtained has potential consequences for all-optical processing and design of optical decision elements.

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In the last twenty or so years the results of theory and experiment have produced much information on the characteristics of gas-surface interactions relevant to a satellite in hyperthermal free-molecular flow. This thesis contains reviews of the rarefied gas dynamics applicable to satellites and has attempted to compare existing models of gas-surface interaction with contemporary knowledge of such systems. It is shown that a more natural approach would be to characterise the gas-surface interaction using the normal and tangential momentum accommodation coefficients, igma' and igma respectively, specifically in the form igma = constant , igma' = igma'0 -igma'1sec i where i is the angle subtended between the incident flow and the surface normal and igma,igma'0 and igma'1 are constants. Adopting these relationships, the effects of atmospheric lift on inclination, i, and atmospheric drag on the semi-major axis, a, and eccentricity, e, have been investigated. Applications to ANS-1 (1974-70A) show that the observed perturbation in i can be ascribed primarily to non-zero igma'1 whilst perturbations in a and e produce constraint equations between the three parameters. The numerical results seem to imply that a good theoretical orbit is achieved despite a much lower drag coefficient than anticipated by earlier theories.

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The authors present the impact of asymmetric filtering of strong (e.g. 35 GHz) optical filters on the performance of 42.7 Gb/s 67% (carrier suppressed return to zero)-differential phase shift keying systems. The performance is examined (in an amplified spontaneous emission (ASE) noise-limited regime and in the presence of chromatic dispersion) when offsetting the filter at the receiver by substantial amounts via balanced, constructive and destructive single-ended detections. It is found that with a slight offset (vestigial side band) or an offset of almost half of the modulation frequency (single-side band), there is a significant improvement in the calculated 'Q'. © The Institution of Engineering and Technology 2013.

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A novel multichannel carrier-suppressed return-to-zero (CSRZ) to non-return-to-zero (NRZ) format conversion scheme based on a single custom-designed fiber Bragg grating (FBG) with comb spectra is proposed. The spectral response of each channel is designed according to the algebraic difference between the CSRZ and NRZ spectra outlines. The tailored group delays are introduced to minimize the maximum refractive index modulation. Numerical results show that four-channel 200-GHz-spaced CSRZ signals at 40 Gbits/s can be converted into NRZ signals with high Q-factor and wide-range robustness. It is shown that our proposed FBG is robust to deviations of bandwidth and central wavelength detuning. Another important merit of this scheme is that the pattern effects are efficiently reduced owing to the well-designed spectra response.