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.

Light scattering in random media with wavelength-scale structures : astronomical and industrial applications

Light scattering, or scattering and absorption of electromagnetic waves, is an important tool in all remote-sensing observations. In astronomy, the light scattered or absorbed by a distant object can be the only source of information. In Solar-system studies, the light-scattering methods are employed when interpreting observations of atmosphereless bodies such as asteroids, atmospheres of planets, and cometary or interplanetary dust. Our Earth is constantly monitored from artificial satellites at different wavelengths. With remote sensing of Earth the light-scattering methods are not the only source of information: there is always the possibility to make in situ measurements. The satellite-based remote sensing is, however, superior in the sense of speed and coverage if only the scattered signal can be reliably interpreted. The optical properties of many industrial products play a key role in their quality. Especially for products such as paint and paper, the ability to obscure the background and to reflect light is of utmost importance. High-grade papers are evaluated based on their brightness, opacity, color, and gloss. In product development, there is a need for computer-based simulation methods that could predict the optical properties and, therefore, could be used in optimizing the quality while reducing the material costs. With paper, for instance, pilot experiments with an actual paper machine can be very time- and resource-consuming. The light-scattering methods presented in this thesis solve rigorously the interaction of light and material with wavelength-scale structures. These methods are computationally demanding, thus the speed and accuracy of the methods play a key role. Different implementations of the discrete-dipole approximation are compared in the thesis and the results provide practical guidelines in choosing a suitable code. In addition, a novel method is presented for the numerical computations of orientation-averaged light-scattering properties of a particle, and the method is compared against existing techniques. Simulation of light scattering for various targets and the possible problems arising from the finite size of the model target are discussed in the thesis. Scattering by single particles and small clusters is considered, as well as scattering in particulate media, and scattering in continuous media with porosity or surface roughness. Various techniques for modeling the scattering media are presented and the results are applied to optimizing the structure of paper. However, the same methods can be applied in light-scattering studies of Solar-system regoliths or cometary dust, or in any remote-sensing problem involving light scattering in random media with wavelength-scale structures.

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.

Theory of the effects of destruction of localization by inelastic scattering in the resistivity of pure thin potassium wires

Measurements of the electrical resistivity of thin potassium wires at temperatures near 1 K have revealed a minimum in the resistivity as a function of temperature. By proposing that the electrons in these wires have undergone localization, albeit with large localization length, and that inelastic-scattering events destroy the coherence of that state, we can explain both the magnitude and shape of the temperature-dependent resistivity data. Localization of electrons in these wires is to be expected because, due to the high purity of the potassium, the elastic mean free path is comparable to the diameters of the thinnest samples, making the Thouless length lT (or inelastic diffusion length) much larger than the diameter, so that the wire is effectively one dimensional. The inelastic events effectively break the wire into a series of localized segments, whose resistances can be added to obtain the total resistance of the wire. The ensemble-averaged resistance for all possible segmented wires, weighted with a Poisson distribution of inelastic-scattering lengths along the wire, yields a length dependence for the resistance that is proportional to [L3/lin(T)], provided that lin(T)?L, where L is the sample length and lin(T) is some effective temperature-dependent one-dimensional inelastic-scattering length. A more sophisticated approach using a Poisson distribution in inelastic-scattering times, which takes into account the diffusive motion of the electrons along the wire through the Thouless length, yields a length- and temperature-dependent resistivity proportional to (L/lT)4 under appropriate conditions. Inelastic-scattering lifetimes are inferred from the temperature-dependent bulk resistivities (i.e., those of thicker, effectively three-dimensional samples), assuming that a minimum amount of energy must be exchanged for a collision to be effective in destroying the phase coherence of the localized state. If the dominant inelastic mechanism is electron-electron scattering, then our result, given the appropriate choice of the channel number parameter, is consistent with the data. If electron-phason scattering were of comparable importance, then our results would remain consistent. However, the inelastic-scattering lifetime inferred from bulk resistivity data is too short. This is because the electron-phason mechanism dominates in the inelastic-scattering rate, although the two mechanisms may be of comparable importance for the bulk resistivity. Possible reasons why the electron-phason mechanism might be less effective in thin wires than in bulk are discussed.

A New Approach to the Problem of Scattering of Water Waves by Vertical Barriers

Using a modified Green's function technique the two well-known basic problems of scattering of surface water waves by vertical barriers are reduced to the problem of solving a pair of uncoupled integral equations involving the “jump” and “sum” of the limiting values of the velocity potential on the two sides of the barriers in each case. These integral equations are then solved, in closed form, by the aid of an integral transform technique involving a general trigonometric kernel as applicable to the problems associated with a radiation condition.

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.

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.

Influence of Raman scattering on the cross phase modulation in optical fibers

The effect of Raman scattering on co-propagation of two short optical pulses is considered. The intra pulse Raman scattering causes the self-frequency shift of each pulse. The effect of the inter pulse Raman scattering is to enhance the frequency shift while the stimulated Raman scattering (SRS) term suppresses (enhances) the frequency shift if the center frequency difference between the optical pulses falls to the right (left) of the Raman gain peak. An expression for the frequency shift as a function of the propagation distance is obtained.

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.

Polarization Changes of Radiation through Stimulated Raman Scattering

We study change in the polarization of electromagnetic waves due to the stimulated Raman scattering in a plasma. In this process an electromagnetic wave undergoes coherent scattering off an electron plasma wave. It is found that some of the observed polarization properties such as the rapid temporal variations, sense reversal, rotation of the plane of polarization, and change of nature of polarization in the case of pulsars and quasars could be accounted for through stimulated Raman scattering.

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.

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]