Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation

The present paper continues the topic of our recent paper in the same journal,aiming to show the role of structural stability in financial modeling.In the context of financial market modeling,structural stability means that a specific“no-arbitrage”property is unaffected by small(with respect to the Pompeiu–Hausdorff metric)perturbations of the model’s dynamics.We formulate,based on our economic interpretation,a new requirement concerning“no arbitrage”properties,which we call the“uncertainty principle”.This principle in the case of no-trading constraints is equivalent to structural stability.We demonstrate that structural stability is essential for a correct model approximation(which is used in our numerical method for superhedging price computation).We also show that structural stability is important for the continuity of superhedging prices and discuss the sufficient conditions for this continuity.

The Mixed Spin-1/2 and Spin-1 Ising–Heisenberg Model in the Mean-Field Approximation: a New Approach

Thermodynamic properties of the mixed spin-1 and spin-1/2 Ising-Heisenberg model are studied on a honeycomb lattice using a new approach in the mean-field approximation to analyze the effects of longitudinal Dz and transverse Dx crystal fields. The phase diagrams are calculated in detail by studying the thermal variations of the order parameters, i.e., magnetizations and quadrupole moments, and compared with the literature to assess the reliability of the new approach. It is found that the model yields both second- and first-order phase transitions, and tricritical points. The compensation behavior of the model is also investigated for the sublattice magnetizations, and longitudinal and transverse quadrupolar moments. The latter type of compensation is observed in the literature but its possible importance is overlooked.

Monte Carlo simulation of in-plane spin-polarized transport in GaAs/GaAlAs quantum well in the three-subband approximation

We develop a Monte Carlo （MC） tool incorporated with the three-subband approximation model to investigate the in-plane spln-polarized transport in GaAs/GaAlAs quantum well. Using the tool, the effects of the electron occupation of higher subbands and the intersuhband scattering on the spin dephasing have been studied. Compared with the corresponding results of the simple one-snbband approximation model, the spin dephasing length is reduced four times under 0.125 kV/cm of driving electric field at 300K by the MC tool incorporated with the three-subband approximation model, indicating that the three-subbarld approximation model predicts significantly shorter spin dephasing length with temperature increasing. Our simulation results suggest that the effects of the electron occupation of higher subbands and the intersubband scattering on the spln-dependent transport of GaAs 2-dhuensional electron gas need to be considered when the driving electric field exceeds the moderate value and the lattice temperature is above 100K. The simulation by using the MC tool incorporated with the three-subband approximation model also indicates that, under a eertain driving electric field and lattice temperature, larger channel widths cause spins to be depolarized faster. Ranges of the three components of the spins are different for three different injected spin polarizations due to the anisotropy of spin-orbit interaction.

Sampled-data Observer Design for a Class of Stochastic Nonlinear Systems Based on the Approximate Discrete-time Models

In this paper,we studied the approximate sampleddata observer design for a class of stochastic nonlinear systems.Euler-Maruyama approximation was investigated in this paper because it is the basis of other higher precision numerical methods,and it preserves important structures of the nonlinear systems.Also,the form of Euler-Maruyama model is simple and easy to be calculated.The results provide a reference for sampled-data observer design method for such stochastic nonlinear systems,and may be useful to many practical control applications,such as tracking control in mechanical systems.And the effectiveness of the approach is demonstrated by a simulation example.

A novel excitation controller using support vector machines and approximate models

This paper proposes a novel excitation controller using support vector machines （SVM） and approximate models. The nonlinear control law is derived directly based on an input-output approximation method via Taylor expansion, which not only avoids complex control development and intensive computation, but also avoids online learning or adjustment. Only a general SVM modelling technique is involved in both model identification and controller implementation. The robustness of the stability is rigorously established using the Lyapunov method. Several simulations demonstrate the effectiveness of the proposed excitation controller.

A Comparison of Two Canopy Radiative Models in Land Surface Processes

This paper compares the predictions by two radiative transfer models-the two-stream approximation model and the generalized layered model （developed by the authors） in land surface processes -for different canopies under direct or diffuse radiation conditions. The comparison indicates that there are significant differences between the two models, especially in the near infrared （NIR） band. Results of canopy reflectance from the two-stream model are larger than those from the generalized model. However, results of canopy absorptance from the two-stream model are larger in some cases and smaller in others compared to those from the generalized model, depending on the cases involved. In the visible （VIS） band, canopy reflectance is smaller and canopy absorptance larger from the two-stream model compared to the generalized model when the Leaf Area Index （LAI） is low and soil reflectance is high. In cases of canopies with vertical leaf angles, the differences of reflectance and absorptance in the VIS and NIR bands between the two models are especially large. Two commonly occurring cases, with which the two-stream model cannot deal accurately, are also investigated. One is for a canopy with different adaxial and abaxial leaf optical properties; and the other is for incident sky diffuse radiation with a non-uniform distribution. Comparison of the generalized model within the same canopy for both uniform and non-uniform incident diffuse radiation inputs shows smaller differences in general. However, there is a measurable difference between these radiation inputs for a canopy with high leaf angle. This indicates that the application of the two-stream model to a canopy with different adaxial and abaxial leaf optical properties will introduce non-negligible errors.

θ-improved limited tolerance relation model of incomplete information system for evaluation of water conservancy project management modernization

The modernization of water conservancy project management is a complicated engineering system involving a management system, a management method, management personnel, the exertion of social, economic, and ecological effects, and so on. However, indices for evaluating the modernization of water conservancy project management are usually unobtainable in practical applications. Conducting appropriate extension of the classical rough set theory and then applying it to an incomplete information system are the key to the application of the rough set theory Based on analysis of some extended rough set models in incomplete information systems, a rough set model based on the θ-improved limited tolerance relation is put forward. At the same time, upper approximation and lower approximation are defined under this improved relation. According to the evaluation index system and management practices, the threshold for θ is defined. An example study indicates the practicability and maneuverability of the model.

Assembly-oriented reliability analysis method for the top-connection structure of a nuclear fuel assembly

The nuclear fuel assembly is the core component of a nuclear reactor.In a pressurized water reactor fuel assembly,the top-connection structure connects the top nozzle to the guide thimble.Its performance reliability is essential for the stability of the nuclear fuel assembly.In this study,an assembly-oriented reliability analysis method for top-connection structures is presented by establishing an assembly-oriented top-connection structure parameter modeling method and a nonlinear contact gap and penetration correction method.A reliability model of the top-connection assembly structure,including multiple stochastic design variables,was constructed,and the overall reliability of the top-connection assembly structure was obtained via a Kriging model and Monte Carlo simulation.The acquired experimental data were consistent with real-world failure conditions,which verified the practicability and feasibility of the reliability analysis method proposed in this study.

Global Existence of Smooth Solutions for the Diffusion Approximation Model of General Gas in Radiation Hydrodynamics

In this paper,we consider the 3-D Cauchy problem for the diffusion approximation model in radiation hydrodynamics.The existence and uniqueness of global solutions is proved in perturbation framework,for more general gases including ideal poly tropic gas.Moreover,the optimal time decay rates are obtained for higher-order spatial derivatives of density,velocity,temperature,and radiation field.

Anomalous transport driven by ion temperature gradient instability in an anisotropic deuterium-tritium plasma

In this work,the anomalous transport driven by the ion temperature gradient instability is investigated in an anisotropic deuterium-tritium(D-T)plasma.The anisotropic factorα,defined as the ratio of perpendicular temperature to parallel temperature,is introduced to describe the temperature anisotropy in the equilibrium distribution function.The linear dispersion relation in local kinetic limit is derived,and then numerically evaluated to study the dependence of mode frequency on the anisotropic factorαof D and the fraction of T particleεTby choosing three sets of typical parameters,denoted as the cyclone base case,ITER and CFETR cases.Based on the linear results,the mixing length model approximation is adopted to analyze the quasi-linear particle and energy fluxes for D and T.It is found that choosing smallαand largeεTis beneficial for the confinement of particle and energy for D and T.This work may be helpful for the estimation of turbulent transport level in the ITER and CFETR devices.

Modeling Common-Mode Current Due to Asymmetric Aging of Machine Winding Insulation

Machine stator winding insulation degradation is one of the main results of machine aging.It is non-negligible once this degradation process becomes asymmetric between phases.The traditional way to determine the insulation state of health is a partial discharge test.However,this method requires the system offline,which causes production loss and extra administrative burden.This paper presents an idea for better characterizing the insulation machine’s state of health using common-mode(CM)behavior in the machine-drive system.With the help of circuit decomposition methods and modeling tools,the CM quantities due to asymmetric aging show a unique characteristic that distinguishes itself from other differential-mode(DM)quantities in the equivalent circuit.It is shown effective to represent the asymmetric aging effect from the detection of system leakage current.This paper provides an analytical method to quantify this characteristic from mathematical approaches,and a proper approximation has been made on the CM equivalent model(CEM)such that the CM behavior is accurately characterized.The proposed method will serve the purpose of predicting machine abnormal behavior using the simple RLC circuit.Researchers can adapt this method to quantify and characterize the machine insulation state of health(SOH).

A structural topological optimization method for multi-displacement constraints and any initial topology configuration

In density-based topological design, one expects that the final result consists of elements either black （solid material） or white （void）, without any grey areas. Moreover, one also expects that the optimal topology can be obtained by starting from any initial topology configuration. An improved structural topological optimization method for multidisplacement constraints is proposed in this paper. In the proposed method, the whole optimization process is divided into two optimization adjustment phases and a phase transferring step. Firstly, an optimization model is built to deal with the varied displacement limits, design space adjustments, and reasonable relations between the element stiffness matrix and mass and its element topology variable. Secondly, a procedure is proposed to solve the optimization problem formulated in the first optimization adjustment phase, by starting with a small design space and advancing to a larger deign space. The design space adjustments are automatic when the design domain needs expansions, in which the convergence of the proposed method will not be affected. The final topology obtained by the proposed procedure in the first optimization phase, can approach to the vicinity of the optimum topology. Then, a heuristic algorithm is given to improve the efficiency and make the designed structural topology black/white in both the phase transferring step and the second optimization adjustment phase. And the optimum topology can finally be obtained by the second phase optimization adjustments. Two examples are presented to show that the topologies obtained by the proposed method are of very good 0/1 design distribution property, and the computational efficiency is enhanced by reducing the element number of the design structural finite model during two optimization adjustment phases. And the examples also show that this method is robust and practicable.

Control synthesis for a class of nonlinear systems based on partition of unity

A partition-of-unity-based approach is proposed to derive an approximate model for a class of nonlinear systems. The precision of the approximate model is analyzed by using the modulus of continuity of continuous functions. The system stability of the approximate model is analyzed by using Lyapunov stability theory. A design algorithm for constructing tracking controllers with tracking performance related to tracking error is given based on the approximate model and the partition of unity method.

Optimal Matching Analysis of Net Buoyancy and Pitching Angle for Underwater Gliders

Control parameter optimization is an efficient way to improve the endurance of underwater gliders(UGs),which influences their gliding efficiency and energy consumption.This paper analyzes the optimal matching between the net buoyancy and the pitching angle and proposes a segmented control strategy of Petrel-L.The optimization of this strategy is established based on the gliding range model of UG,which is solved based on the approximate model,and the variations of the optimal control parameters with the hotel load are obtained.The optimization results indicate that the segmented control strategy can significantly increase the gliding range when the optimal matching between the net buoyancy and the pitching angle is reached,and the increase rate is influenced by the hotel load.The gliding range of the underwater glider can be increased by 10.47%at a hotel load of 0.5 W.The optimal matching analysis adopted in this study can be applied to other UGs to realize endurance improvement.

Geoacoustic inversion based on reflection model of effective density fluid approximation

In order to obtain the physical and geoacoustic properties of marine sediments,an inverse method using reflection loss of different grazing angles is presented.The reflection loss is calculated according to the reflection model of effective density fluid approximation.A two-step hybrid optimization algorithm combining differential evolution and particle swarm optimization along with Bayesian inversion is employed in estimation of porosity,mean grain size,mass density and bulk modulus of grains.Based on the above physical parameters,geoacoustic parameters,including sound speed and attenuation,are further calculated.According to the numerical simulations,we can draw a conclusion that all the parameters can be well estimated with the exception of bulk modulus of grains.In particular,this indirect inverse method for bottom geoacoustic parameters performs high accuracy and strong robustness.The relative errors are 0.092%and 17%,respectively.Finally,measured reflection loss data of sandy sediments at the bottom of a water tank is analyzed,and the estimation value,uncertainty and correlation of each parameter are presented.The availability of this inverse method is verified through comparison between inverse results and part of measured parameters.

Production of projectile and target-vacancy in near-symmetric collisions of 60–100 MeV Cu^(9+) ions with thin Zn target

We report studies on both target and projectile K-shell ionization by collisions of Cu9＋ ions on the thin Zn target in the energy range of 60-100 MeV. In this work, the relative ratio for the production of the target to projectile K-vacancy is measured. The result shows that it almost remains stable over this energy range and has good consistency with the predictions by vacancy transfer via the 2po-lscr rotational coupling, which gives experimental evidence for K-vacancy sharing between two partners. Furthermore, the discussion for comparisons between the experimental ionization cross sections and the possible theoretical estimations is presented. These comparisons suggest that the experimental data agree well with those predicted by the Binary-Encounter approximation （BEA） model but are not in good agreement with the modified BEA calculations. It allows us to infer that the direct ionization （and/or excitation） is of importance to initial K-vacancy production before 2po-lso transitions in the present collision condition.

Active control and experiment study of a flexible hub-beam system

The first-order approximation coupling （FOAC） model was proposed recently for dynamics and control of flexible hub-beam systems. This model may deal with system dynamics for both low and high rotation speed, while the classical zeroth-order approximation coupling （ZOAC） model is only available for low rotation speed. This paper assumes the FOAC model to present experimental study of active positioning control of a flexible hub-beam system. Linearization and nonlinear control strategies are both considered. An experiment system based on a DSP TMS320F2812 board is introduced. The difference between linearization and nonlinear control strategies are studied both numerically and experimentally. Simulation and experimental results indicate that, linearized controller can make the system reach an expected position with suppressed vibration of flexible beam, but the time taken to position is longer than expected, whereas nonlinear controller works well with precise positioning, suppression of vibration and time control.

Single scattering turbulence model based on the division of effective scattering volume for ultraviolet communication

In this Let ter,a single scattering turbulence model in a narrow beam case for ultraviolet(UV)communication is proposed based on the division of the effective scattering volume.This model takes the variation of atmospheric scattering,absorption,and turbulence in different paths into account.Meanwhile,the applicable transceiver configurations of this model are provided by analyzing path loss error caused by the single scattering assumption in the UV channel.Furthermore,we investigate the effect of turbulence on the probability density function of the arriving power in both coplanar and non-coplanar scenarios.The averaging effect of multipath propagation on the arriving power's fluctuations is presented.Then,the bit-error-rate performance is also studied.This work provides an efficient way for UV turbulence channel estimation.

A surface potential-based non-charge-sheet core model for undoped surrounding-gate MOSFETs

A surface potential based non-charge-sheet core model for cylindrical undoped surrounding-gate （SRG） MOSFETs is presented. It is based on the exact surface potential solution of Poisson＇s equation and Pao-Sah＇s dual integral without the charge-sheet approximation, allowing the SRG-MOSFET characteristics to be adequately described by a single set of the analytic drain current equation in terms of the surface potential evaluated at the source and drain ends. It is valid for all operation regions and traces the transition from the linear to saturation and from the sub-threshold to strong inversion region without fitting-parameters, and verified by the 3-D numerical simulation.

A Factor-GARCH Model for High Dimensional Volatilities

This paper proposes a method for modelling volatilities(conditional covariance matrices)of high dimensional dynamic data.We combine the ideas of approximate factor models for dimension reduction and multivariate GARCH models to establish a model to describe the dynamics of high dimensional volatilities.Sparsity condition and thresholding technique are applied to the estimation of the error covariance matrices,and quasi maximum likelihood estimation(QMLE)method is used to estimate the parameters of the common factor conditional covariance matrix.Asymptotic theories are developed for the proposed estimation.Monte Carlo simulation studies and real data examples are presented to support the methodology.