Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin con- volution of functions de ned on (0;1), and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-di usion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.

Asymptotic integral kernel for ensembles of random normal matrices with radial potentials

The method of steepest descent is used to study the integral kernel of a family of normal random matrix ensembles with eigenvalue distribution P-N (z(1), ... , z(N)) = Z(N)(-1)e(-N)Sigma(N)(i=1) V-alpha(z(i)) Pi(1 <= i<j <= N) vertical bar z(i) - z(j)vertical bar(2), where V-alpha(z) = vertical bar z vertical bar(alpha), z epsilon C and alpha epsilon inverted left perpendicular0, infinity inverted right perpendicular. Asymptotic formulas with error estimate on sectors are obtained. A corollary of these expansions is a scaling limit for the n-point function in terms of the integral kernel for the classical Segal-Bargmann space. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.3688293]

Interplay between surface anisotropy and dipolar interactions in an assembly of nanomagnets

We study the interplay between the effects of surface anisotropy and dipolar interactions in monodisperse assemblies of nanomagnets with oriented anisotropy. We derive asymptotic formulas for the assembly magnetization, taking into account temperature, applied field, core and surface anisotropy, and dipolar interparticle interactions. We find that the interplay between surface anisotropy and dipolar interactions is well described by the analytical expression of the assembly magnetization derived here: the overall sign of the product of the two parameters governing the surface and the dipolar contributions determines whether intrinsic and collective terms compete or have synergistic effects on the magnetization. This is illustrated by the magnetization curves of γ-Fe2O3 nanoparticle assemblies in the low concentration limit.

Further Generalization of Kobayashi's Gamma Function

In this paper, we introduce a further generalization of the gamma function involving Gauss hypergeometric function 2F1 (a, b; c; z)

Asymptotic Property of Eigenvalues and Eigenfunctions of the Laplace Operator in Domain with a Perturbed Boundary

2000 Mathematics Subject Classification: 35J05, 35C15, 44P05

Tori embedded in S³ with dense asymptotic lines

In this paper are given examples of tori T² embedded in S³ with all their asymptotic lines dense.

LOCAL WELL POSEDNESS, ASYMPTOTIC BEHAVIOR AND ASYMPTOTIC BOOTSTRAPPING FOR A CLASS OF SEMILINEAR EVOLUTION EQUATIONS OF THE SECOND ORDER IN TIME

A class of semilinear evolution equations of the second order in time of the form u(tt)+Au+mu Au(t)+Au(tt) = f(u) is considered, where -A is the Dirichlet Laplacian, 92 is a smooth bounded domain in R(N) and f is an element of C(1) (R, R). A local well posedness result is proved in the Banach spaces W(0)(1,p)(Omega)xW(0)(1,P)(Omega) when f satisfies appropriate critical growth conditions. In the Hilbert setting, if f satisfies all additional dissipativeness condition, the nonlinear Semigroup of global solutions is shown to possess a gradient-like attractor. Existence and regularity of the global attractor are also investigated following the unified semigroup approach, bootstrapping and the interpolation-extrapolation techniques.

On the asymptotic enumeration of accessible automata

We simplify the known formula for the asymptotic estimate of the number of deterministic and accessible automata with n states over a k-letter alphabet. The proof relies on the theory of Lagrange inversion applied in the context of generalized binomial series.

Enterobacter sakazakii in Dried Infant Formulas and Milk Kitchens of Maternity Wards in Sao Paulo, Brazil

This study was the first conducted in Brazil to evaluate the presence of Enterobacter sakazakii in milk-based powdered infant formula manufactured for infants 0 to 6 months of age and to examine the conditions of formula preparation and service in three hospitals in Sao Paulo State, Brazil. Samples of dried and rehydrated infant formula, environments of milk kitchens, water, bottles and nipples, utensils, and hands of personnel were analyzed, and E. sakazakii and Enterobacteriaceae populations were determined. All samples of powdered infant formula purchased at retail contained E. sakazakii at <0.03 most probable number (MPN)/100 g. In hospital samples, E. sakazakii was found in one unopened formula can (0.3 MPN/100 g) and in the residue from one nursing bottle from hospital A. All other cans of formula from the same lot bought at a retail store contained E. sakazakii at <0.03 MPN/100 g. The pathogen also was found in one cleaning sponge from hospital B. Enterobacteriaceae populations ranged from 10(1) to 10(5) CFU/g in cleaning aids and <5 CFU/g in all formula types (dry or rehydrated), except for the sample that contained E. sakazakii, which also was contaminated with Enterobacteriaceae at 5 CFU/g. E. sakazakii isolates were not genetically related. In an experiment in which rehydrated formula was used as the growth medium, the temperature was that of the neonatal intensive care unit (25 C), and the incubation time was the average time that formula is left at room temperature while feeding the babies (up to 4 h), a 2-log increase in levels of E. sakazakii was found in the formula. Visual inspection of the facilities revealed that the hygienic conditions in the milk kitchens needed improvement. The length of time that formula is left at room temperature in the different hospitals while the babies in the neonatal intensive care unit are being fed (up to 4 h) may allow for the multiplication of E. sakazakii and thus may lead to an increased health risk for infants.

Study of sunless tanning formulas using molted snake skin as an alternative membrane model

Sunless tanning formulas have become increasingly popular in recent years for their ability to give people convincing tans without the dangers of skin cancer. Most sunless tanners currently on the market contain dihydroxyacetone (DHA), a keto sugar with three carbons. The temporary pigment provided by these formulasis designed to resemble a UV-induced tan. This study evaluated the effectiveness of carbomer gels and cold process self emulsifying bases on skin pigmentation, using different concentrations of a chemical system composed of DHA and N-acetyl tyrosine, which are found in moulted snake skins and their effectiveness was tested by Mexameter (R) MX 18. Eight different sunless tanning formulas were developed, four of which were gels and four of which were emulsions (base, base plus 4.0%, 5.0% and 6.0% (w/w) of a system of DHA and N-acetyl tyrosine). Tests to determine the extent of artificial tanning were done by applying 30 mg cm(-2) of each formula onto standard sizes of moulted snake skin (2.0 cm x 3.0 cm). A Mexameter (R) MX 18 was used to evaluate the extent of coloration in the moulted snake skin at T(0) (before the application) and after 24, 48, 72, 168, 192 and 216 h. The moulted snake skins can be used as an alternative membrane model for in vitro sunless tanning efficacy tests due to their similarity to the human stratum corneum. The DHA concentration was found to influence the initiation of the pigmentation in both sunless tanning systems (emulsion and gel) as well as the time required to increases by a given amount on the tanning index. In the emulsion system, the DHA concentration also influenced the final value on the tanning index. The type of system (emulsion or gel) has no influence on the final value in the tanning index after 216 h for samples with the same DHA concentration.

Stability of vitamin A during storage of enteral feeding formulas

Vitamin A (13-cis-retinol, all-trans-retinol and total carotenes) content was evaluated in 15 samples of enteral feeding formulas during 3-6,9 and 12 months of storage in closed containers, protected from light and at room temperature (22-30 degrees C). All formulas were nutritionally complete and/or recommended for different diseases. Equivalent batches were also evaluated after preparation and refrigerated storage for 24 h. Nutrient content did not decrease during both storage scenarios. Stability of vitamin A in the enteral feeding formulas, as determined in this study, is probably due to production and storage conditions, e.g. absence of oxygen in contact with the packaged product, the technological process used in the microencapsulation of vitamins, and protected storage in the absence of light and at a temperature maximum of 30 degrees C. (C) 2010 Elsevier Ltd. All rights reserved.

The transient response of a CSTR containing porous catalyst pellets. Asymptotic solutions

Transient response of a CSTR containing porous catalyst pellets is analyzed theoretically using a matched asymptotic expansion technique. This singular perturbation technique leads directly to the conditions under which the minima of reservoir concentration occur. The existence of the minima may be used to estimate some inherent parameters of the catalyst pellet.

Matrix elements of U(2n) generators in a multishell spin-orbit basis. III. General formulas

This is the third and final article in a series directed toward the evaluation of the U(2n) generator matrix elements (MEs) in a multishell spin/orbit basis. Such a basis is required for many-electron systems possessing a partitioned orbital space and where spin-dependence is important. The approach taken is based on the transformation properties of the U(2n) generators as an adjoint tensor operator of U(n) x U(2) and application of the Wigner-Eckart theorem. A complete set of adjoint coupling coefficients for the two-shell composite Gelfand-Paldus basis (which is appropriate to the many-electron problem) were obtained in the first and second articles of this series. Ln the first article we defined zero-shift coupling coefficients. These are proportional to the corresponding two-shell del-operator matrix elements. See P. J. Burton and and M. D. Gould, J. Chem. Phys., 104, 5112 (1996), for a discussion of the del-operator and its properties. Ln the second article of the series, the nonzero shift coupling coefficients were derived. Having obtained all the necessary coefficients, we now apply the formalism developed above to obtain the U(2n) generator MEs in a multishell spin-orbit basis. The methods used are based on the work of Gould et al. (see the above reference). (C) 1998 John Wiley & Sons, Inc.

Asymptotic limits of a self-dual Ginzburg-Landau functional in bounded domains

In the author's joint paper [HJS] with Jest and Struwe, we discuss asymtotic limits of a self-dual Ginzburg-Landau functional involving a section of a line bundle over a closed Riemann surface and a connection on this bundle. In this paper, the author generalizes the above results [HJS] to the case of bounded domains.