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At least 847 records · Page 47

Valuing catastrophe bonds involving correlation and CIR interest rate model

Natural catastrophes lead to problems of insurance and reinsurance industry. Classic insurance mechanisms are often inadequate for dealing with consequences of catastrophic events. Therefore, new financial instruments, including catastrophe bonds (cat bonds), were developed. In this paper we price the catastrophe bonds with a generalized payoff structure, assuming that the bondholder’s payoff depends on an underlying asset driven by a stochastic jump-diffusion process. Simultaneously, the risk-free spot interest rate has also a stochastic form and is described by the multi-factor Cox–Ingersoll–Ross model. We assume the possibility of correlation between the Brownian part of the underlying asset and the components of the interest rate model. Using stochastic methods, we prove the valuation formula, which can be applied to the cat bonds with various payoff functions. We use adaptive Monte Carlo simulations to analyze the numerical properties of the obtained pricing formula for various settings, including some similar to the practical cases.

97 MATHEMATICS AND COMPUTING↗

Role of quantum statistics in multi-particle decay dynamics

The role of quantum statistics in the decay dynamics of a multi-particle state, which is suddenly released from a confining potential, is investigated. For an initially confined double particle state, the exact dynamics is presented for both bosons and fermions. The time-evolution of the probability to measure two-particle is evaluated and some counterintuitive features are discussed. For instance, it is shown that although there is a higher chance of finding the two bosons (as oppose to fermions, and even distinguishable particles) at the initial trap region, there is a higher chance (higher than fermions) of finding them on two opposite sides of the trap as if the repulsion between bosons is higher than the repulsion between fermions. The results are demonstrated by numerical simulations and are calculated analytically in the short-time approximation. Furthermore, experimental validation is suggested.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

Functionalization of SBA-15 mesoporous silica by Cu-phosphonate units: Probing of synthesis route

Mesoporous silica SBA-15 containing propyl-copper phosphonate units was investigated. The structure of mesoporous samples was tested by N{sub 2} isothermal sorption (BET and BHJ analysis), TEM microscopy and X-Ray scattering. Quantitative analysis EDX has given information about proportions between component atoms in the sample. Quantitative elemental analysis has been carried out to support EDX. To examine bounding between copper atoms and phosphonic units the Raman spectroscopy was carried out. As a support of Raman scattering, the theoretical calculations were made based on density functional theory, with the B3LYP method. By comparison of the calculated vibrational spectra of the molecule with experimental results, distribution of the active units inside silica matrix has been determined. - Graphical abstract: The present study is devoted to mesoporous silica SBA-15 containing propyl-copper phosphonate units. The species were investigated to confirm of synthesis procedure correctness by the micro-Raman technique combined with DFT numerical simulations. Complementary research was carried out to test the structure of mesoporous samples. - Highlights: • SBA-15 silica functionalized with propyl-copper phosphonate units was synthesized. • Synthesis efficiency probed by Raman study supported with DFT simulations. • Homogenous distribution of active units was proved. • Synthesis route enables precise control of distance between copper ions.

37 INORGANIC, ORGANIC, PHYSICAL, AND ANALYTICAL CH↗

Diffraction-induced subradiant transverse-magnetic lattice plasmon modes in metal nanoparticle arrays

This Letter reports theoretical and experimental study of transverse-magnetic-like lattice plasmon modes originating from diffraction in periodic two dimensional arrays of metal nanoparticles. These modes lead to the transmission and reflection spectra exhibiting narrow linewidth Fano-like resonances which can appear as maxima, minima, or can have asymmetric peak-and-dip profile. The dependencies of the position and lineshape of the resonance on the lattice periodicity and angle of incidence are investigated. Numerical simulations of electric field distributions for different excitation conditions of lattice plasmon modes are also performed.

75 CONDENSED MATTER PHYSICS, SUPERCONDUCTIVITY AND↗

Model reduction for slow–fast stochastic systems with metastable behaviour

The quasi-steady-state approximation (or stochastic averaging principle) is a useful tool in the study of multiscale stochastic systems, giving a practical method by which to reduce the number of degrees of freedom in a model. The method is extended here to slow–fast systems in which the fast variables exhibit metastable behaviour. The key parameter that determines the form of the reduced model is the ratio of the timescale for the switching of the fast variables between metastable states to the timescale for the evolution of the slow variables. The method is illustrated with two examples: one from biochemistry (a fast-species-mediated chemical switch coupled to a slower varying species), and one from ecology (a predator–prey system). Numerical simulations of each model reduction are compared with those of the full system.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

A new equation of state with light nuclei and their weak interactions in core-collapse supernova simulations

We perform numerical experiments to investigate the influence of inelastic neutrino reactions with light nuclei on the standing accretion shock instability. The time evolutions of shock waves are calculated with a simple light-bulb approximation for the neutrino transport and a multi-nuclei equation of state. The neutrino absorptions and inelastic interactions with deuterons, tritons, helions and alpha particles are taken into account in the hydrodynamical simulations in addition to the ordinary charged-current interactions with nucleons. Axial symmetry is assumed but no equatorial symmetry is imposed. We show that the heating rates of deuterons reach as high as ∼ 10% of those of nucleons around the bottom of the gain region. On the other hands, alpha particles heat the matter near the shock wave, which is important when the shock wave expands and density and temperature of matter become low. It is also found that the models with heating by light nuclei have different evolutions from those without it in non-linear evolution phase. The matter in the gain region has various densities and temperatures and there appear regions that are locally rich in deuterons and alpha particles. These results indicate that the inelastic reactions of light nuclei, especially deuterons, should be incorporated in the simulations of core-collapse supernovae.

79 ASTRONOMY AND ASTROPHYSICS↗

Vibrational and electronic collisional-radiative model in air for Earth entry problems

The two-temperature collisional-radiative model CoRaM-AIR, working over a wide range for pressure and temperatures, has been developed for the flow conditions around a space vehicle entering the Earth's atmosphere. The species N{sub 2}, O{sub 2}, NO, N, O, Ar, N{sub 2}{sup +}, O{sub 2}{sup +}, NO{sup +}, N{sup +}, O{sup +}, Ar{sup +}, and free electrons are taken into account. The model is vibrationally specific on the ground electronic state of N{sub 2}, O{sub 2}, and NO, and electronically specific for all species, with a total of 169 vibrational states and 829 electronic states, respectively. A wide set of elementary processes is considered under electron and heavy particle impact given the temperatures involved (up to 30 000 K). This set corresponds to almost 700 000 forward and backward elementary processes. The relaxation from initial thermal or chemical nonequilibrium is studied for dissociation-ionization situations in conditions related to the FIRE II flight experiment. Boltzmann plots clearly prove that the vibrational and electronic excitation distributions are far from being Boltzmanian. In particular, high-lying vibrational levels remain underpopulated for most of the duration of the relaxation. This relaxation can be separated in a first phase characterized by the dissociation and the excitation of the molecular species, and a second phase leading to the excitation and the ionization of the dissociation products. Owing to the vibrational relaxation, the time scales are slightly higher than the ones predicted by former kinetic mechanisms usually used in flow simulations. In the present FIRE II conditions, radiation does not play a significant role.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗

Nonplanar positron-acoustic Gardner solitary waves in electron-positron-ion plasmas with superthermal electrons and positrons

Nonplanar (cylindrical and spherical) positron-acoustic (PA) Gardner solitary waves (SWs) in an unmagnetized plasma system consisting of immobile positive ions, mobile cold positrons, and superthermal (kappa distributed) hot positrons and electrons are investigated. The modified Gardner equation is derived by using the reductive perturbation technique. The effects of cylindrical and spherical geometries, superthermal parameter of hot positrons and electrons, relative temperature ratios, and relative number density ratios on the PA Gardner SWs are studied by using the numerical simulations. The implications of our results in various space and laboratory plasma environments are briefly discussed.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗

Non-linear plasma wake growth of electron holes

We report that an object's wake in a plasma with small Debye length that drifts across the magnetic field is subject to electrostatic electron instabilities. Such situations include, for example, the moon in the solar wind and probes in magnetized laboratory plasmas. The instability drive mechanism can equivalently be considered drift down the potential-energy gradient or drift up the density-gradient. The gradients arise because the plasma wake has a region of depressed density and electrostatic potential into which ions are attracted along the field. The non-linear consequences of the instability are analysed in this paper. At physical ratios of electron to ion mass, neither linear nor quasilinear treatment can explain the observation of large-amplitude perturbations that disrupt the ion streams well before they become ion-ion unstable. Here we show, however, that electron holes, once formed, continue to grow, driven by the drift mechanism, and if they remain in the wake may reach a maximum non-linearly stable size, beyond which their uncontrolled growth disrupts the ions. The hole growth calculations provide a quantitative prediction of hole profile and size evolution. Hole growth appears to explain the observations of recent particle-in-cell simulations.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗

Experimental and numerical evaluation of freely spacing-tunable multiwavelength fiber laser based on two seeding light signals

A model of multiwavelength erbium-doped fiber laser (MEFL), which takes into account the impact of fiber attenuation on the four-wave-mixing (FWM), is proposed. Using this model, we numerically study the output characteristics of the MEFL based on FWM in a dispersion shift fiber with two seeding light signals (TSLS) and experimentally verify these characteristics. The numerical and experimental results show that the number of output channels can be increased with the increase of the erbium-doped fiber pump power. In addition, by decreasing the spacing of TSLS and increasing the power of TSLS, the number of output channels can be increased. However, when the power of TSLS exceeds a critical value, the number of output channels decreases. The results by numerical simulation are consistent with experimental observations from the MEFL.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

Complexation behavior of oppositely charged polyelectrolytes: Effect of charge distribution

Complexation behavior of oppositely charged polyelectrolytes in a solution is investigated using a combination of computer simulations and experiments, focusing on the influence of polyelectrolyte charge distributions along the chains on the structure of the polyelectrolyte complexes. The simulations are performed using Monte Carlo with the replica-exchange algorithm for three model systems where each system is composed of a mixture of two types of oppositely charged model polyelectrolyte chains (EGEG){sub 5}/(KGKG){sub 5}, (EEGG){sub 5}/(KKGG){sub 5}, and (EEGG){sub 5}/(KGKG){sub 5}, in a solution including explicit solvent molecules. Among the three model systems, only the charge distributions along the chains are not identical. Thermodynamic quantities are calculated as a function of temperature (or ionic strength), and the microscopic structures of complexes are examined. It is found that the three systems have different transition temperatures, and form complexes with different sizes, structures, and densities at a given temperature. Complex microscopic structures with an alternating arrangement of one monolayer of E/K monomers and one monolayer of G monomers, with one bilayer of E and K monomers and one bilayer of G monomers, and with a mixture of monolayer and bilayer of E/K monomers in a box shape and a trilayer of G monomers inside the box are obtained for the three mixture systems, respectively. The experiments are carried out for three systems where each is composed of a mixture of two types of oppositely charged peptide chains. Each peptide chain is composed of Lysine (K) and glycine (G) or glutamate (E) and G, in solution, and the chain length and amino acid sequences, and hence the charge distribution, are precisely controlled, and all of them are identical with those for the corresponding model chain. The complexation behavior and complex structures are characterized through laser light scattering and atomic force microscopy measurements. The order of the apparent weight-averaged molar mass and the order of density of complexes observed from the three experimental systems are qualitatively in agreement with those predicted from the simulations.

37 INORGANIC, ORGANIC, PHYSICAL, AND ANALYTICAL CH↗

Delay-induced stochastic bifurcations in a bistable system under white noise

In this paper, the effects of noise and time delay on stochastic bifurcations are investigated theoretically and numerically in a time-delayed Duffing-Van der Pol oscillator subjected to white noise. Due to the time delay, the random response is not Markovian. Thereby, approximate methods have been adopted to obtain the Fokker-Planck-Kolmogorov equation and the stationary probability density function for amplitude of the response. Based on the knowledge that stochastic bifurcation is characterized by the qualitative properties of the steady-state probability distribution, it is found that time delay and feedback intensity as well as noise intensity will induce the appearance of stochastic P-bifurcation. Besides, results demonstrated that the effects of the strength of the delayed displacement feedback on stochastic bifurcation are accompanied by the sensitive dependence on time delay. Furthermore, the results from numerical simulations best confirm the effectiveness of the theoretical analyses.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

The effect of voxel size on dose distribution in Varian Clinac iX 6 MV photon beam using Monte Carlo simulation

Recently, Monte Carlo (MC) calculation method has reported as the most accurate method of predicting dose distributions in radiotherapy. The MC code system (especially DOSXYZnrc) has been used to investigate the different voxel (volume elements) sizes effect on the accuracy of dose distributions. To investigate this effect on dosimetry parameters, calculations were made with three different voxel sizes. The effects were investigated with dose distribution calculations for seven voxel sizes: 1 × 1 × 0.1 cm{sup 3}, 1 × 1 × 0.5 cm{sup 3}, and 1 × 1 × 0.8 cm{sup 3}. The 1 × 10{sup 9} histories were simulated in order to get statistical uncertainties of 2%. This simulation takes about 9-10 hours to complete. Measurements are made with field sizes 10 × 10 cm2 for the 6 MV photon beams with Gaussian intensity distribution FWHM 0.1 cm and SSD 100.1 cm. MC simulated and measured dose distributions in a water phantom. The output of this simulation i.e. the percent depth dose and dose profile in d{sub max} from the three sets of calculations are presented and comparisons are made with the experiment data from TTSH (Tan Tock Seng Hospital, Singapore) in 0-5 cm depth. Dose that scored in voxels is a volume averaged estimate of the dose at the center of a voxel. The results in this study show that the difference between Monte Carlo simulation and experiment data depend on the voxel size both for percent depth dose (PDD) and profile dose. PDD scan on Z axis (depth) of water phantom, the big difference obtain in the voxel size 1 × 1 × 0.8 cm{sup 3} about 17%. In this study, the profile dose focused on high gradient dose area. Profile dose scan on Y axis and the big difference get in the voxel size 1 × 1 × 0.1 cm{sup 3} about 12%. This study demonstrated that the arrange voxel in Monte Carlo simulation becomes important.

61 RADIATION PROTECTION AND DOSIMETRY↗

Study on space charge compensation in negative hydrogen ion beam

Negative hydrogen ion beam can be compensated by the trapping of ions into the beam potential. When the beam propagates through a neutral gas, these ions arise due to gas ionization by the beam ions. However, the high neutral gas pressure may cause serious negative hydrogen ion beam loss, while low neutral gas pressure may lead to ion-ion instability and decompensation. To better understand the space charge compensation processes within a negative hydrogen beam, experimental study and numerical simulation were carried out at Peking University (PKU). The simulation code for negative hydrogen ion beam is improved from a 2D particle-in-cell-Monte Carlo collision code which has been successfully applied to H{sup +} beam compensated with Ar gas. Impacts among ions, electrons, and neutral gases in negative hydrogen beam compensation processes are carefully treated. The results of the beam simulations were compared with current and emittance measurements of an H{sup −} beam from a 2.45 GHz microwave driven H{sup −} ion source in PKU. Compensation gas was injected directly into the beam transport region to modify the space charge compensation degree. The experimental results were in good agreement with the simulation results.

46 INSTRUMENTATION RELATED TO NUCLEAR SCIENCE AND ↗

Thermodynamic properties and transport coefficients of air thermal plasmas mixed with ablated vapors of Cu and polytetrafluoroethylene

Because the fault arc in aircraft electrical system often causes a fire, it is particularly important to analyze its energy and transfer for aircraft safety. The calculation of arc energy requires the basic parameters of the arc. This paper is mainly devoted to the calculations of equilibrium composition, thermodynamic properties (density, molar weight, enthalpy, and specific heat at constant pressure) and transport coefficients (thermal conductivity, electrical conductivity, and viscosity) of plasmas produced by a mixture of air, Cu, and polytetrafluoroethylene under the condition of local thermodynamic equilibrium. The equilibrium composition is determined by solving a system of equations around the number densities of each species. The thermodynamic properties are obtained according to the standard thermodynamic relationships. The transport coefficients are calculated using the Chapman-Enskog approximations. Results are presented in the temperature range from 3000 to 30 000 K for pressures of 0.08 and 0.1 MPa, respectively. The results are more accurate and are reliable reference data for theoretical analysis and computational simulation of the behavior of fault arc.

37 INORGANIC, ORGANIC, PHYSICAL, AND ANALYTICAL CH↗

Injection locking of an electronic maser in the hard excitation mode

The phenomenon of hard excitation is natural for many electronic oscillators. In particular, in a gyrotron, a maximal efficiency is often attained in the hard excitation regime. In this paper, we study the injection-locking phenomena using two models of an electronic maser in the hard excitation mode. First, bifurcation analysis is performed for the quasilinear model described by ordinary differential equations for the slow amplitude and phase. Two main scenarios of transition to the injection-locked mode are described, which are generalizations of the well-known phase-locking and suppression mechanisms. The results obtained for the quasilinear model are confirmed by numerical simulations of a gyrotron with fixed Gaussian structure of the RF field.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗

Multipole electrodynamic ion trap geometries for microparticle confinement under standard ambient temperature and pressure conditions

Trapping of microparticles and aerosols is of great interest for physics and chemistry. We report microparticle trapping in case of multipole linear Paul trap geometries, operating under standard ambient temperature and pressure conditions. An 8- and 12-electrode linear trap geometries have been designed and tested with an aim to achieve trapping for larger number of particles and to study microparticle dynamical stability in electrodynamic fields. We report emergence of planar and volume ordered structures of microparticles, depending on the a.c. trapping frequency and particle specific charge ratio. The electric potential within the trap is mapped using the electrolytic tank method. Particle dynamics is simulated using a stochastic Langevin equation. We emphasize extended regions of stable trapping with respect to quadrupole traps, as well as good agreement between experiment and numerical simulations.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

Evolution of nanodot morphology on polycarbonate (PC) surfaces by 40 keV Ar{sup +}

In the present paper we have discussed the effect of 40 keV Ar{sup +} ions irradiation on nanoscale surface morphology of Polycarbonate (PC) substrate. Specimens were sputtered at off normal incidences of 30°, 40° and 50° with the fluence of 1 × 10{sup 16} Ar{sup +}cm{sup −2}. The topographical behaviour of specimens was studied by using Atomic Force Microscopy (AFM) technique. AFM study demonstrates the evolution of nano dot morphology on PC specimens on irradiating with 1 × 10{sup 16} Ar{sup +}cm{sup −2}. Average size of dots varied from 37-95 nm in this specified range of incidence while density of dots varied from 0.17-3.0 × 107 dotscm{sup −2}. Such variations in morphological features have been supported by estimation of ion range and sputtering yield through SRIM simulations.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗