(G, λ)-Extremal Processes and Their Relationship with Max-Stable Processes

2000 Mathematics Subject Classification: 60G70, 60G18.

On Self-Similar Extremal Processes

We study the limit behaviour of the sequence of extremal processes under a regularity condition on the norming sequence ζn and asymptotic negligibility of the max-increments of Yn.

Relationship between Extremal and Sum Processes Generated by the same Point Process

2000 Mathematics Subject Classification: Primary 60G51, secondary 60G70, 60F17.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Processes controlling atmospheric dispersion through city centres

We develop a process-based model for the dispersion of a passive scalar in the turbulent flow around the buildings of a city centre. The street network model is based on dividing the airspace of the streets and intersections into boxes, within which the turbulence renders the air well mixed. Mean flow advection through the network of street and intersection boxes then mediates further lateral dispersion. At the same time turbulent mixing in the vertical detrains scalar from the streets and intersections into the turbulent boundary layer above the buildings. When the geometry is regular, the street network model has an analytical solution that describes the variation in concentration in a near-field downwind of a single source, where the majority of scalar lies below roof level. The power of the analytical solution is that it demonstrates how the concentration is determined by only three parameters. The plume direction parameter describes the branching of scalar at the street intersections and hence determines the direction of the plume centreline, which may be very different from the above-roof wind direction. The transmission parameter determines the distance travelled before the majority of scalar is detrained into the atmospheric boundary layer above roof level and conventional atmospheric turbulence takes over as the dominant mixing process. Finally, a normalised source strength multiplies this pattern of concentration. This analytical solution converges to a Gaussian plume after a large number of intersections have been traversed, providing theoretical justification for previous studies that have developed empirical fits to Gaussian plume models. The analytical solution is shown to compare well with very high-resolution simulations and with wind tunnel experiments, although re-entrainment of scalar previously detrained into the boundary layer above roofs, which is not accounted for in the analytical solution, is shown to become an important process further downwind from the source.

Processes driving intraseasonal displacements of the eastern edge of the warm pool: the contribution of westerly wind events

We investigate the processes responsible for the intraseasonal displacements of the eastern edge of the western Pacific warm pool (WPEE), which appear to play a role in the onset and development of El Niño events. We use 25 years of output from an ocean general circulation model experiment that is able to accurately capture the observed displacements of the WPEE, sea level anomalies, and upper ocean zonal currents at intraseasonal time scales in the western and central Pacific Ocean. Our results confirm that WPEE displacements driven by westerly wind events (WWEs) are largely controlled by zonal advection. This paper has also two novel findings: first, the zonal current anomalies responsible for the WPEE advection are driven primarily by local wind stress anomalies and not by intraseasonal wind-forced Kelvin waves as has been shown in most previous studies. Second, we find that intraseasonal WPEE fluctuations that are not related to WWEs are generally caused by intraseasonal variations in net heat flux, in contrast to interannual WPEE displacements that are largely driven by zonal advection. This study hence raises an interesting question: can surface heat flux-induced zonal WPEE motions contribute to El Niño–Southern Oscillation evolution, as WWEs have been shown to be able to do?

Investigation of generation -recombination noise and related processes in aluminum gallium arsenide TEGFETs and Hall structures with quantum wells

Experimental and theoretical studies regarding noise processes in various kinds of AlGaAs/GaAs heterostructures with a quantum well are reported. The measurement processes, involving a Fast Fourier Transform and analog wave analyzer in the frequency range from 10 Hz to 1 MHz, a computerized data storage and processing system, and cryostat in the temperature range from 78 K to 300 K are described in detail. The current noise spectra are obtained with the “three-point method”, using a Quan-Tech and avalanche noise source for calibration. ^ The properties of both GaAs and AlGaAs materials and field effect transistors, based on the two-dimensional electron gas in the interface quantum well, are discussed. Extensive measurements are performed in three types of heterostructures, viz., Hall structures with a large spacer layer, modulation-doped non-gated FETs, and more standard gated FETs; all structures are grown by MBE techniques. ^ The Hall structures show Lorentzian generation-recombination noise spectra with near temperature independent relaxation times. This noise is attributed to g-r processes in the 2D electron gas. For the TEGFET structures, we observe several Lorentzian g-r noise components which have strongly temperature dependent relaxation times. This noise is attributed to trapping processes in the doped AlGaAs layer. The trap level energies are determined from an Arrhenius plot of log (τT2) versus 1/T as well as from the plateau values. The theory to interpret these measurements and to extract the defect level data is reviewed and further developed. Good agreement with the data is found for all reported devices. ^

Analysis of current voltage characteristics of MWIR homojunction photodiodes for uncooled operation

Dark currents n(+)/v/p(+) Hg0.69Cd0.Te-31 mid wave infrared photodiodes were measured at room temperature. The diodes exhibited negative differential resistance at room-temperature, but with increasing leakage currents as a function of reverse bias. The current-voltage characteristics were simulated and fitted by incorporating trap assisted tunneling via traps and Shockley-Read-Hall generation recombination process due to dislocations in the carrier transport equations. The thermal suppression of carriers was simulated by taking energy level of trap (E-t), trap density (N-t) and the doping concentrations of n(+) and v regions as fitting parameters. Values of E-t and N-t were 0.78E(g) and similar to 6-9 x 10(14) cm(-3) respectively for most of the diodes. Variable temperature current voltage measurements on variable area diode array (VADA) structures confirmed the fact that variation in zero bias resistance area product (R(0)A) is related to g-r processes originating from variation in concentration and kind of defects that intersect a junction area. (C) 2012 Elsevier B.V. All rights reserved.

Exploring novel methods to achieve sensitivity limits for high operating temperature infrared detectors

A review of high operating temperature (HOT) infrared (IR) photon detector technology vis-a-vis material requirements, device design and state of the art achieved is presented in this article. The HOT photon detector concept offers the promise of operation at temperatures above 120 K to near room temperature. Advantages are reduction in system size, weight, cost and increase in system reliability. A theoretical study of the thermal generation-recombination (g-r) processes such as Auger and defect related Shockley Read Hall (SRH) recombination responsible for increasing dark current in HgCdTe detectors is presented. Results of theoretical analysis are used to evaluate performance of long wavelength (LW) and mid wavelength (MW) IR detectors at high operating temperatures. (C) 2013 Elsevier B.V. All rights reserved.

Knowledge effect on firm performance in manufacturing and service firms

This thesis seeks to examine the difference between manufacturing and service firms with respect to the effects of knowledge on performance, and the influence of market turbulence in this relationship. Empirical data, resulting from a survey, was collected from more than 1,206 firms, involving several sectors. Two samples were analyzed, one with 334 manufacturing and other with 509 service firms. The findings indicate no significant difference in the importance of knowledge on performance between these sectors in the absence of market turbulence: knowledge development (KD) has a stronger effect than culture of competitiveness (CC) on firm performance. However, under market turbulence, manufacturers differ from service providers. The positive effect of KD is enhanced, while the positive effect of CC remains the same for manufacturing firms. On the other hand, the positive effect of KD is diminished, while the positive effect of CC is enhanced for service firms. This supports the argument concerning differences in the nature of manufacturing and service industries. From a managerial point of view, results confirm the importance of knowledge, irrespective of firm sector or market turbulence. However, while industrial firms should center efforts on KD, service firms must find a balance where knowledge development (e.g. norms, processes, routines) does not impair their culture of competitiveness (e.g. learning, innovation, action). The thesis contributes to existing literature by proposing that: (1) the positive effect of knowledge on performance is confirmed; (2) under turbulent markets manufacturing and service firms have different responses concerning the influence of knowledge on performance; (3) a multidimensional performance construct based on cost, profitability, and growth is an interesting way to evaluate firm sustained competitive advantage, rather than one-dimensional constructs; (4) the CC x KD interaction, found relevant for supply chains in previous studies, is not supported for firms; (5) differences in unit of analysis, e.g. from supply chains to firms, result in different effects of KD and CC on firm performance; (6) existing scales can be improved with the addition of more diverse indicators, capturing a wider range of concepts (e.g. information transfer measurement); and (7) results from previous studies are supported for Brazilian firms, contributing for theory generalization.

Time scales in cognitive neuroscience

Cognitive neuroscience boils down to describing the ways in which cognitive function results from brain activity. In turn, brain activity shows complex fluctuations, with structure at many spatio-temporal scales. Exactly how cognitive function inherits the physical dimensions of neural activity, though, is highly non-trivial, and so are generally the corresponding dimensions of cognitive phenomena. As for any physical phenomenon, when studying cognitive function, the first conceptual step should be that of establishing its dimensions. Here, we provide a systematic presentation of the temporal aspects of task-related brain activity, from the smallest scale of the brain imaging technique's resolution, to the observation time of a given experiment, through the characteristic time scales of the process under study. We first review some standard assumptions on the temporal scales of cognitive function. In spite of their general use, these assumptions hold true to a high degree of approximation for many cognitive (viz. fast perceptual) processes, but have their limitations for other ones (e.g., thinking or reasoning). We define in a rigorous way the temporal quantifiers of cognition at all scales, and illustrate how they qualitatively vary as a function of the properties of the cognitive process under study. We propose that each phenomenon should be approached with its own set of theoretical, methodological and analytical tools. In particular, we show that when treating cognitive processes such as thinking or reasoning, complex properties of ongoing brain activity, which can be drastically simplified when considering fast (e.g., perceptual) processes, start playing a major role, and not only characterize the temporal properties of task-related brain activity, but also determine the conditions for proper observation of the phenomena. Finally, some implications on the design of experiments, data analyses, and the choice of recording parameters are discussed.

An iterative agent bidding mechanism for responsive manufacturing

In today's market, the global competition has put manufacturing businesses in great pressures to respond rapidly to dynamic variations in demand patterns across products and changing product mixes. To achieve substantial responsiveness, the manufacturing activities associated with production planning and control must be integrated dynamically, efficiently and cost-effectively. This paper presents an iterative agent bidding mechanism, which performs dynamic integration of process planning and production scheduling to generate optimised process plans and schedules in response to dynamic changes in the market and production environment. The iterative bidding procedure is carried out based on currency-like metrics in which all operations (e.g. machining processes) to be performed are assigned with virtual currency values, and resource agents bid for the operations if the costs incurred for performing them are lower than the currency values. The currency values are adjusted iteratively and resource agents re-bid for the operations based on the new set of currency values until the total production cost is minimised. A simulated annealing optimisation technique is employed to optimise the currency values iteratively. The feasibility of the proposed methodology has been validated using a test case and results obtained have proven the method outperforming non-agent-based methods.

Nonlinear Normalization in Limit Theorems for Extremes

2000 Mathematics Subject Classification: 60G70, 60F05.

Upper and Lower Bounds for Ruin Probability

In this note we discuss upper and lower bound for the ruin probability in an insurance model with very heavy-tailed claims and interarrival times.

Multiple Dipole Source Models for Scalp-Recorded Event-Related Potentials: Example from Complex Visual Processing in the Human Brain

2000 Mathematics Subject Classification: 62P10, 92C20