Stochastic PDEs for large portfolios with general mean-reverting volatility processes

We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets.Both the asset value and the volatility processes are correlated through systemic Brownian motions,with default determined by the asset value reaching a lower boundary.We prove that if our volatility models are picked from a class of mean-reverting diffusions,the system converges as the portfolio becomes large and,when the vol-of-vol function satisfies certain regularity and boundedness conditions,the limit of the empirical measure process has a density given in terms of a solution to a stochastic initial-boundary value problem on a half-space.The problem is defined in a special weighted Sobolev space.Regularity results are established for solutions to this problem,and then we show that there exists a unique solution.In contrast to the CIR volatility setting covered by the existing literature,our results hold even when the systemic Brownian motions are taken to be correlated.

Effective technology for processing industrial volatile organic compounds by the atmospheric pressure microwave plasma torch

In this study,we investigated the abatement of volatile organic compounds(VOCs)by the atmospheric pressure microwave plasma torch(AMPT).To study the treatment efficiency of AMPT,we used the toluene and water-based varnish to simulate VOCs,respectively.By measuring the compounds and contents of the mixture gas before/after the microwave plasma process,we have calculated the treatment efficiency of AMPT.The experimental results show that the treatment efficiency of AMPT for toluene with a concentration of 17.32×10^(4) ppm is up to 60 g/kWh with the removal rate of 86%.For the volatile compounds of water-based varnish,the removal efficiency is up to 97.99%.We have demonstrated the higher potential for VOCs removal of the AMPT process.

Modelling the dynamics of stock market in the gulf cooperation council countries:evidence on persistence to shocks

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries,namely Bahrain,Oman,Kuwait,Qatar,Saudi Arabia,and the United Arab Emirates,under different financial and economic circumstances.The empiri-cal investigation is conducted using daily data from June 1,2005 to July 1,2019.The analysis is conducted using a set of double long-memory specifications with some significant features such as long-range dependencies,asymmetries in conditional variances,non-linearity,and multiple seasonality or time-varying correlations.Our study indicates that the joint dual long-memory process can adequately estimate long-memory dynamics in returns and volatility.The in-sample diagnostic tests as well as out-of-sample forecasting results demonstrate the prevalence of the Autoregressive Fractionally Integrated Moving Average and Hyperbolic Asymmetric Power Autoregressive Conditional Heteroskedasticity modeling process over other competing models in fitting the first and the second conditional moments of the market returns.Moreover,the empirical results show that the proposed model offers an interesting framework to describe the long-range dependence in returns and seasonal persistence to shocks in conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations.A noteworthy finding is that the long-memory dependencies in the conditional variance processes of stock market returns appear important,asymmetric,and differ in their volatility responses to unexpected shocks.Our evidence suggests that these markets are not completely efficient in processing regional news,thus providing a sound alternative for regional portfolio diversification.

Impact of undissociated volatile fatty acids on acidogenesis in a two-phase anaerobic system

This study investigated the degradation and production of volatile fatty acids（VFAs）in the acidogenic phase reactor of a two-phase anaerobic system.20 mmol/L bromoethanesulfonic acid（BESA）was used to inhibit acidogenic methanogens（which were present in the acidogenic phase reactor）from degrading VFAs.The impact of undissociated volatile fatty acids（un VFAs）on＂net＂VFAs production in the acidogenic phase reactor was then evaluated,with the exclusion of concurrent VFAs degradation.＂Net＂VFAs production from glucose degradation was partially inhibited at high un VFAs concentrations,with 59%,37% and 60% reduction in production rates at 2190 mg chemical oxygen demand（COD）/L undissociated acetic acid（un HAc）,2130 mg COD/L undissociated propionic acid（un HPr）and 2280 mg COD/L undissociated n-butyric acid（un HBu）,respectively.The profile of VFAs produced further indicated that while an un VFA can primarily affect its own formation,there were also un VFAs that affected the formation of other VFAs.