Stokes waves revisited:exact solutions in the asymptotic limit

The Stokes perturbative solution of the nonlinear (boundary value dependent) surface gravity wave problem is known to provide results of reasonable accuracy to engineers in estimating the phase speed and amplitudes of such nonlinear waves. The weakling in this structure though is the presence of aperiodic “secular variation” in the solution that does not agree with the known periodic propagation of surface waves. This has historically necessitated increasingly higher-ordered (perturbative) approximations in the representation of the velocity profile. The present article ameliorates this long-standing theoretical insufficiency by invoking a compact exact n-ordered solution in the asymptotic infinite depth limit, primarily based on a representation structured around the third-ordered perturbative solution, that leads to a seamless extension to higher-order (e.g., fifth-order) forms existing in the literature. The result from this study is expected to improve phenomenological engineering estimates, now that any desired higher-ordered expansion may be compacted within the same representation, but without any aperiodicity in the spectral pattern of the wave guides.

An asymptotic test for the Conditional Value-at-Risk

Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditional Expectation in the case of continuous probability distributions) is an increasingly popular risk measure in the fields of actuarial science, banking and finance, and arguably a more suitable alternative to the currently widespread Value-at-Risk. In my paper, I present a brief literature survey, and propose a statistical test of the location of the CVaR, which may be applied by practising actuaries to test whether CVaR-based capital levels are in line with observed data. Finally, I conclude with numerical experiments and some questions for future research.

The European Parliament, membership expansions, and organizational change

The European Union (EU) is an extraordinary achievement. From a regional economic organization, it grew into a polity within fifty years. The original EU of six members expanded incrementally to 27 over forty years, and it now comprises a population of almost 500 million people. While the five expansions of the European Economic Community/European Community/European Union (EU) have received considerable scholarly attention, surprisingly little attention has been given to their impacts on "Europe's" only legislative body, currently known as the European Parliament (EP). More specifically, little is known about how waves of new members (from widely diverse parties and national backgrounds) affected—and were affected by—the EP's organizational structure and its internal processes. The purpose of this study therefore is to help fill this gap by describing and explaining how the various EEC/EC/EU expansions or "membership shocks" (1973, 1981, 1986, 1995, and 2004) affected the EP's organizational structure and its internal Rules of Procedure (RoP). The central research question of this dissertation is the following: What were the major structural and procedural effects of the five membership expansions of what eventually became the European Union on the European Parliament? This dissertation answers this question by using concepts and measures drawn from organizational theory. While other studies have applied concepts and hypotheses from organizational theory to legislatures, such an approach has never been used to analyze the EP, which is conceptualized here as a "membership organization." This study, through an analysis of the EP, demonstrates that organization theory can help us fully understand the effects of membership expansions on any membership organization. That is, understanding how this particular organization responded to change can inform not only how others in this class (legislatures) do so, but how this process unfolds in a variety of times and places. The principal findings of this study are as follows: (1) EP staff growth revealed an interesting pattern: Staff did not increase concurrently with EP membership. That is, it turned out that the rate of membership growth exceeded the rate of staff increase, suggesting professionalization of EP staff and their relative empowerment vis-à-vis MEPs; (2) The number of rules and the precision within them increased; (3) the largest number of EP rule changes focused on increasing EP efficiency; and (4) The authority was centralized in the hands of EP leadership, that is, the EP President, the Conference of Presidents and also two major political groups.

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. For this purpose, we use an underlying vector random coefficient autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model, to derive asymptotic theory for the quasi-maximum likelihood estimator. As an extension, we develop a new multivariate asymmetric long memory volatility model, and discuss the associated asymptotic properties.

Widespread range expansions shape latitudinal variation in insect thermal limits

I thank the authors of previous studies on global variation in insect thermal tolerances who have generously provided open access use of their data sets.

Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market

This paper provides the first investigation about bond mutual fund performance during recession and expansion periods separately. Based on multi-factor performance evaluation models, results show that bond funds significantly underperform the market during both phases of the business cycle. Nevertheless, unlike equity funds, bond funds exhibit considerably higher alphas during good economic states than during market downturns. These results, however, seem entirely driven by the global financial crisis subperiod. In contrast, during the recession associated to the Euro sovereign debt crisis, bond funds are able to accomplish neutral performance. This improved performance throughout the debt crisis seems to be related to more conservative investment strategies, which reflect an increase in managers’ risk aversion.

Asymptotic Change-Point Analysis of the Dependencies in Time Series

In recent papers, Wied and his coauthors have introduced change-point procedures to detect and estimate structural breaks in the correlation between time series. To prove the asymptotic distribution of the test statistic and stopping time as well as the change-point estimation rate, they use an extended functional Delta method and assume nearly constant expectations and variances of the time series. In this thesis, we allow asymptotically infinitely many structural breaks in the means and variances of the time series. For this setting, we present test statistics and stopping times which are used to determine whether or not the correlation between two time series is and stays constant, respectively. Additionally, we consider estimates for change-points in the correlations. The employed nonparametric statistics depend on the means and variances. These (nuisance) parameters are replaced by estimates in the course of this thesis. We avoid assuming a fixed form of these estimates but rather we use "blackbox" estimates, i.e. we derive results under assumptions that these estimates fulfill. These results are supplement with examples. This thesis is organized in seven sections. In Section 1, we motivate the issue and present the mathematical model. In Section 2, we consider a posteriori and sequential testing procedures, and investigate convergence rates for change-point estimation, always assuming that the means and the variances of the time series are known. In the following sections, the assumptions of known means and variances are relaxed. In Section 3, we present the assumptions for the mean and variance estimates that we will use for the mean in Section 4, for the variance in Section 5, and for both parameters in Section 6. Finally, in Section 7, a simulation study illustrates the finite sample behaviors of some testing procedures and estimates.

Series representations of the remainders in the expansions for certain functions with applications

We present a summary of the series representations of the remainders in the expansions in ascending powers of t of 2/(et+1)2/(et+1) , sech t and coth t and establish simple bounds for these remainders when t>0t>0 . Several applications of these expansions are given which enable us to deduce some inequalities and completely monotonic functions associated with the ratio of two gamma functions. In addition, we derive a (presumably new) quadratic recurrence relation for the Bernoulli numbers Bn.

Asymptotic scattering and duality in the one-dimensional three-state quantum Potts model on a lattice

We determine numerically the single-particle and the two-particle spectrum of the three-state quantum Potts model on a lattice by using the density matrix renormalization group method, and extract information on the asymptotic (small momentum) S-matrix of the quasiparticles. The low energy part of the finite size spectrum can be understood in terms of a simple effective model introduced in a previous work, and is consistent with an asymptotic S-matrix of an exchange form below a momentum scale p*. This scale appears to vanish faster than the Compton scale, mc, as one approaches the critical point, suggesting that a dangerously irrelevant operator may be responsible for the behaviour observed on the lattice.

Asymptotic preserving and time diminishing schemes for rarefied gas dynamic

In this work, we introduce a new class of numerical schemes for rarefied gas dynamic problems described by collisional kinetic equations. The idea consists in reformulating the problem using a micro-macro decomposition and successively in solving the microscopic part by using asymptotic preserving Monte Carlo methods. We consider two types of decompositions, the first leading to the Euler system of gas dynamics while the second to the Navier-Stokes equations for the macroscopic part. In addition, the particle method which solves the microscopic part is designed in such a way that the global scheme becomes computationally less expensive as the solution approaches the equilibrium state as opposite to standard methods for kinetic equations which computational cost increases with the number of interactions. At the same time, the statistical error due to the particle part of the solution decreases as the system approach the equilibrium state. This causes the method to degenerate to the sole solution of the macroscopic hydrodynamic equations (Euler or Navier-Stokes) in the limit of infinite number of collisions. In a last part, we will show the behaviors of this new approach in comparisons to standard Monte Carlo techniques for solving the kinetic equation by testing it on different problems which typically arise in rarefied gas dynamic simulations.

Asymptotic analysis of combined breather-kink modes in a Fermi-Pasta-Ulam chain

We find approximations to travelling breather solutions of the one-dimensional Fermi-Pasta-Ulam (FPU) lattice. Both bright breather and dark breather solutions are found. We find that the existence of localised (bright) solutions depends upon the coefficients of cubic and quartic terms of the potential energy, generalising an earlier inequality derived by James [CR Acad Sci Paris 332, 581, (2001)]. We use the method of multiple scales to reduce the equations of motion for the lattice to a nonlinear Schr{\"o}dinger equation at leading order and hence construct an asymptotic form for the breather. We show that in the absence of a cubic potential energy term, the lattice supports combined breathing-kink waveforms. The amplitude of breathing-kinks can be arbitrarily small, as opposed to traditional monotone kinks, which have a nonzero minimum amplitude in such systems. We also present numerical simulations of the lattice, verifying the shape and velocity of the travelling waveforms, and confirming the long-lived nature of all such modes.

Asymptotic stability of a coupled Advection-Diffusion-Reaction system arising in bioreactor processes.

In this work, we perform an asymptotic analysis of a coupled system of two Advection-Diffusion-Reaction equations with Danckwerts boundary conditions, which models the interaction between a microbial population (e.g., bacterias), called biomass, and a diluted organic contaminant (e.g., nitrates), called substrate, in a continuous flow bioreactor. This system exhibits, under suitable conditions, two stable equilibrium states: one steady state in which the biomass becomes extinct and no reaction is produced, called washout, and another steady state, which corresponds to the partial elimination of the substrate. We use the method of linearization to give sufficient conditions for the asymptotic stability of the two stable equilibrium configurations. Finally, we compare our asymptotic analysis with the usual asymptotic analysis associated to the continuous bioreactor when it is modeled with ordinary differential equations.

Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations

Aijt-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion processes by means of Hermite expansions with coe±cients determined by means of Taylor series. This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of moments. One advantage of this procedure is that it can be used e®ectively when the mathematical operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.