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.

Evolution in the time series of vortex velocity fluctuations across different regimes of vortex flow

Investigations of vortex velocity fluctuation in time domain have revealed a presence of low frequency velocity fluctuations which evolve with the different driven phases of the vortex state in a single crystal of 2H-NbSe2. The observation of velocity fluctuations with a characteristic low frequency is associated with the onset of nonlinear nature of vortex flow deep in the driven elastic vortex state. (C) 2009 Elsevier B.V. All rights reserved.

Model Hamiltonians for nonlinear optical properties of conjugated polymers

Quantum cell models for delocalized electrons provide a unified approach to the large NLO responses of conjugated polymers and pi-pi* spectra of conjugated molecules. We discuss exact NLO coefficients of infinite chains with noninteracting pi-electrons and finite chains with molecular Coulomb interactions V(R) in order to compare exact and self-consistent-field results, to follow the evolution from molecular to polymeric responses, and to model vibronic contributions in third-harmonic-generation spectra. We relate polymer fluorescence to the alternation delta of transfer integrals t(1+/-delta) along the chain and discuss correlated excited states and energy thresholds of conjugated polymers.

Kinetics of hydrogen evolution on submicron size Co, Ni, Pd and CoNi alloy powder electrodes by d.c. polarization and a.c. impedance studies

Submicron size Co, Ni and Co-Ni alloy powders have been synthesized by the polyol method using the corresponding metal malonates and Pd powder by reduction of PdOx in methanol. The kinetics of the hydrogen evolution reaction ( HER) in 6 M KOH electrolyte have been studied on electrodes made from the pressed powders. The d.c. polarization measurements have resulted in a value close to 120 mV decade(-1) for the Tafel slope, suggesting that the HER follows the Volmer-Heyrovsky mechanism. The values of exchange current density (i(o)) are in the range 1-10 mA cm(-2) for electrodes fabricated in the study. The a.c. impedance spectra measured at several potentials in the HER region showed a single semicircle in the Nyquist plots. Exchange current density (i(o)) and energy transfer coefficient (alpha) have been calculated by employing a nonlinear least square-fitting program.

Continuous-time Single Network Adaptive Critic for Regulator Design of Nonlinear Control Affine Systems

An optimal control law for a general nonlinear system can be obtained by solving Hamilton-Jacobi-Bellman equation. However, it is difficult to obtain an analytical solution of this equation even for a moderately complex system. In this paper, we propose a continuoustime single network adaptive critic scheme for nonlinear control affine systems where the optimal cost-to-go function is approximated using a parametric positive semi-definite function. Unlike earlier approaches, a continuous-time weight update law is derived from the HJB equation. The stability of the system is analysed during the evolution of weights using Lyapunov theory. The effectiveness of the scheme is demonstrated through simulation examples.

Transverse single spin asymmetry in e plus p(up arrow) -> e plus J/psi plus X and transverse momentum dependent evolution of the Sivers function

We extend our analysis of transverse single spin asymmetry in electroproduction of J/psi to include the effect of the scale evolution of the transverse momentum dependent (TMD) parton distribution functions and gluon Sivers function. We estimate single spin asymmetry for JLab, HERMES, COMPASS, and eRHIC energies using the color evaporation model of charmonium production, using an analytically obtained approximate solution of TMD evolution equations discussed in the literature. We find that there is a reduction in the asymmetry compared with our predictions for the earlier case considered by us, wherein the Q(2) dependence came only from DGLAP evolution of the unpolarized gluon densities and a different parametrization of the TMD Sivers function was used.

Transverse single spin asymmetry in e+p↑→e+J/ψ+X and transverse momentum dependent evolution of the Sivers function

We extend our analysis of transverse single spin asymmetry in electroproduction of J/ψ to include the effect of the scale evolution of the transverse momentum dependent (TMD) parton distribution functions and gluon Sivers function. We estimate single spin asymmetry for JLab, HERMES, COMPASS, and eRHIC energies using the color evaporation model of charmonium production, using an analytically obtained approximate solution of TMD evolution equations discussed in the literature. We find that there is a reduction in the asymmetry compared with our predictions for the earlier case considered by us, wherein the Q2 dependence came only from DGLAP evolution of the unpolarized gluon densities and a different parametrization of the TMD Sivers function was used.

Effect of Rayleigh numbers on the evolution of double-diffusive salt fingers

This is a transient two-dimensional numerical study of double-diffusive salt fingers in a two-layer heat-salt system for a wide range of initial density stability ratio (R-rho 0) and thermal Rayleigh numbers (Ra-T similar to 10(3) - 10(11)). Salt fingers have been studied for several decades now, but several perplexing features of this rich and complex system remain unexplained. The work in question studies this problem and shows the morphological variation in fingers from low to high thermal Rayleigh numbers, which have been missed by the previous investigators. Considerable variations in convective structures and evolution pattern were observed in the range of Ra-T used in the simulation. Evolution of salt fingers was studied by monitoring the finger structures, kinetic energy, vertical profiles, velocity fields, and transient variation of R-rho(t). The results show that large scale convection that limits the finger length was observed only at high Rayleigh numbers. The transition from nonlinear to linear convection occurs at about Ra-T similar to 10(8). Contrary to the popular notion, R-rho(t) first decrease during diffusion before the onset time and then increase when convection begins at the interface. Decrease in R-rho(t) is substantial at low Ra-T and it decreases even below unity resulting in overturning of the system. Interestingly, all the finger system passes through the same state before the onset of convection irrespective of Rayleigh number and density stability ratio of the system. (C) 2014 AIP Publishing LLC.

Transverse single spin asymmetry in e plus p up arrow -> e plus J/psi plus X and Q(2) evolution of Sivers function-II

We present estimates of single spin asymmetry in the electroproduction of J/psi taking into account the transverse momentum-dependent (TMD) evolution of the gluon Sivers function. We estimate single spin asymmetry for JLab, HERMES, COMPASS and eRHIC energies using the color evaporation model of J/psi. We have calculated the asymmetry using recent parameters extracted by Echevarria et al. using the Collins-Soper-Sterman approach to TMD evolution. These recent TMD evolution fits are based on the evolution kernel in which the perturbative part is resummed up to next-to-leading logarithmic accuracy. We have also estimated the asymmetry by using parameters which had been obtained by a fit by Anselmino et al., using both an exact numerical and an approximate analytical solution of the TMD evolution equations. We find that the variation among the different estimates obtained using TMD evolution is much smaller than between these on one hand and the estimates obtained using DGLAP evolution on the other. Even though the use of TMD evolution causes an overall reduction in asymmetries compared to the ones obtained without it, they remain sizable. Overall, upon use of TMD evolution, predictions for asymmetries stabilize.

Instability Analysis of Nonlinear Surface Waves in a Circular Cylindrical Container Subjected to a Vertical Excitation

Singular perturbation theory of two-time scale expansions was developed both in inviscid and weak viscous fluids to investigate the motion of single surface standing wave in a liquid-filled circular cylindrical vessel, which is subject to a vertical periodical oscillation. Firstly, it is assumed that the fluid in the circular cylindrical vessel is inviscid, incompressible and the motion is irrotational, a nonlinear evolution equation of slowly varying complex amplitude, which incorporates cubic nonlinear term, external excitation and the influence of surface tension, was derived from solvability condition of high-order approximation. It shows that when forced frequency is low, the effect of surface tension on mode selection of surface wave is not important. However, when forced frequency is high, the influence of surface tension is significant, and can not be neglected. This proved that the surface tension has the function, which causes free surface returning to equilibrium location. Theoretical results much close to experimental results when the surface tension is considered. In fact, the damping will appear in actual physical system due to dissipation of viscosity of fluid. Based upon weakly viscous fluids assumption, the fluid field was divided into an outer potential flow region and an inner boundary layer region. A linear amplitude equation of slowly varying complex amplitude, which incorporates damping term and external excitation, was derived from linearized Navier-Stokes equation. The analytical expression of damping coefficient was determined and the relation between damping and other related parameters (such as viscosity, forced amplitude and depth of fluid) was presented. The nonlinear amplitude equation and a dispersion, which had been derived from the inviscid fluid approximation, were modified by adding linear damping. It was found that the modified results much reasonably close to experimental results. Moreover, the influence both of the surface tension and the weak viscosity on the mode formation was described by comparing theoretical and experimental results. The results show that when the forcing frequency is low, the viscosity of the fluid is prominent for the mode selection. However, when the forcing frequency is high, the surface tension of the fluid is prominent. Finally, instability of the surface wave is analyzed and properties of the solutions of the modified amplitude equation are determined together with phase-plane trajectories. A necessary condition of forming stable surface wave is obtained and unstable regions are illustrated. (c) 2005 Elsevier SAS. All rights reserved.

A Viscoelastic Constitutive Model with Nonlinear Evolutionary Internal Variables

Based on the internal variable theory, a viscoelastic constitutive model of a highly deformable continuous medium is proposed. A set of second rank tensorial internal state variables corresponding to Biot's strain is introduced, and a nonlinear evolution

Evolution-induced catastrophe and its predictability

Both earthquake prediction and failure prediction of disordered brittle media are difficult and complicated problems and they might have something in common. In order to search for clues for earthquake prediction, the common features of failure in a simple nonlinear dynamical model resembling disordered brittle media are examined. It is found that the failure manifests evolution-induced catastrophe (EIC), i.e., the abrupt transition from globally stable (GS) accumulation of damage to catastrophic failure. A distinct feature is the significant uncertainty of catastrophe, called sample-specificity. Consequently, it is impossible to make a deterministic prediction macroscopically. This is similar to the question of predictability of earthquakes. However, our model shows that strong stress fluctuations may be an immediate precursor of catastrophic failure statistically. This might provide clues for earthquake forecasting.

Evolution of three-dimensional coherent structures in compressible axisymmetric jet

A high order difference scheme is used to simulate the spatially developing compressible axisymmetric jet. The results show that the Kelvin-Helmholtz instability appears first when the jet loses its stability, and then with development of jet the increase in nonlinear effects leads to the secondary instability and the formation of the streamwise vortices. The evolution of the three-dimensional coherent structure is presented. The computed results verify that in axisymmetric jet the secondary instability and formation of the streamwise vortices are the important physical mechanism of enhancing the flow mixing and transition occurring.

A Nonlinear Threshold Model Applied to Spallation Analysis

Spallation in heterogeneous media is a complex, dynamic process. Generally speaking, the spallation process is relevant to multiple scales and the diversity and coupling of physics at different scales present two fundamental difficulties for spallation modeling and simulation. More importantly, these difficulties can be greatly enhanced by the disordered heterogeneity on multi-scales. In this paper, a driven nonlinear threshold model for damage evolution in heterogeneous materials is presented and a trans-scale formulation of damage evolution is obtained. The damage evolution in spallation is analyzed with the formulation. Scaling of the formulation reveals that some dimensionless numbers govern the whole process of deformation and damage evolution. The effects of heterogeneity in terms of Weibull modulus on damage evolution in spallation process are also investigated.

Statistical and stochastic description of microvoid evolution observed in dynamic failure of ductile materials

A brief review is presented of statistical approaches on microdamage evolution. An experimental study of statistical microdamage evolution in two ductile materials under dynamic loading is carried out. The observation indicates that there are large differences in size and distribution of microvoids between these two materials. With this phenomenon in mind, kinetic equations governing the nucleation and growth of microvoids in nonlinear rate-dependent materials are combined with the balance law of void number to establish statistical differential equations that describe the evolution of microvoids' number density. The theoretical solution provides a reasonable explanation of the experimentally observed phenomenon. The effects of stochastic fluctuation which is influenced by the inhomogeneous microscopic structure of materials are subsequently examined (i.e. stochastic growth model). Based on the stochastic differential equation, a Fokker-Planck equation which governs the evolution of the transition probability is derived. The analytical solution for the transition probability is then obtained and the effects of stochastic fluctuation is discussed. The statistical and stochastic analyses may provide effective approaches to reveal the physics of damage evolution and dynamic failure process in ductile materials.