Search results for: continuous-time stochastic volatility mode

Authors: Hassan Manouzi

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We present in this paper a useful strategy to solve stochastic partial differential equations (SPDEs) involving stochastic coefficients. Using the Wick-product of higher order and the Wiener-Itˆo chaos expansion, the SPDEs is reformulated as a large system of deterministic partial differential equations. To reduce the computational complexity of this system, we shall use a decomposition-coordination method. To obtain the chaos coefficients in the corresponding deterministic equations, we use a least square formulation. Once this approximation is performed, the statistics of the numerical solution can be easily evaluated.

Keywords: least squares, wick product, SPDEs, finite element, wiener chaos expansion, gradient method

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Authors: Haobin Zheng, Xiang Zhang, Yong Shen, Hongxin Zou

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The research focuses on mode-locked fiber lasers with a non-linear amplifying loop mirror (NALM). Although these lasers have shown potential, they still have limitations in terms of low repetition rate. The self-starting of mode-locking in NALM is influenced by the cross-phase modulation (XPM) effect, which has not been thoroughly studied. The aim of this study is two-fold. First, to overcome the difficulties associated with increasing the repetition rate in mode-locked fiber lasers with NALM. Second, to analyze the influence of XPM on self-starting of mode-locking. The power distributions of two counterpropagating beams in the NALM and the differential non-linear phase shift (NPS) accumulations are calculated. The analysis is conducted from the perspective of NPS accumulation. The differential NPSs for continuous wave (CW) light and pulses in the fiber loop are compared to understand the inverse saturable absorption (ISA) mechanism during pulse formation in NALM. The study reveals a difference in differential NPSs between CW light and pulses in the fiber loop in NALM. This difference leads to an ISA mechanism, which has not been extensively studied in artificial saturable absorbers. The ISA in NALM provides an explanation for experimentally observed phenomena, such as active mode-locking initiation through tapping the fiber or fine-tuning light polarization. These findings have important implications for optimizing the design of NALM and reducing the self-starting threshold of high-repetition-rate mode-locked fiber lasers. This study contributes to the theoretical understanding of NALM mode-locked fiber lasers by exploring the ISA mechanism and its impact on self-starting of mode-locking. The research fills a gap in the existing knowledge regarding the XPM effect in NALM and its role in pulse formation. This study provides insights into the ISA mechanism in NALM mode-locked fiber lasers and its role in selfstarting of mode-locking. The findings contribute to the optimization of NALM design and the reduction of self-starting threshold, which are essential for achieving high-repetition-rate operation in fiber lasers. Further research in this area can lead to advancements in the field of mode-locked fiber lasers with NALM.

Keywords: inverse saturable absorption, NALM, mode-locking, non-linear phase shift

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Authors: Ghania Zerari, Abderrezak Guessoum, Rachid Beguenane

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This paper introduces high-performance architecture for fully parallel stochastic Low-Density Parity-Check (LDPC) field programmable gate array (FPGA) based LDPC decoder. The new approach is designed to decrease the decoding latency and to reduce the FPGA logic utilisation. To accomplish the target logic utilisation reduction, the routing of the proposed sub-variable node (VN) internal memory is designed to utilize one slice distributed RAM. Furthermore, a VN initialization, using the channel input probability, is achieved to enhance the decoder convergence, without extra resources and without integrating the output saturated-counters. The Xilinx FPGA implementation, of IEEE 802.3an standard LDPC code, shows that the proposed decoding approach attain high performance along with reduction of FPGA logic utilisation.

Keywords: low-density parity-check (LDPC) decoder, stochastic decoding, field programmable gate array (FPGA), IEEE 802.3an standard

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Authors: Likewin Thomas, M. V. Manoj Kumar, B. Annappa

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The aim of this study was to develop an Artificial Neural Network0 s recommendation model for an online process using the complexity of load, performance, and average servicing time of the resources. Here, the proposed model investigates the resource performance using stochastic gradient decent method for learning ranking function. A probabilistic cost function is implemented to identify the optimal θ values (load) on each resource. Based on this result the recommendation of resource suitable for performing the currently executing task is made. The test result of CoSeLoG project is presented with an accuracy of 72.856%.

Keywords: ADALINE, neural network, gradient decent, process mining, resource behaviour, polynomial regression model

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Authors: Eiji Okano, Kazuyuki Inagaki

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We revisit Uribe's `Fiscal Theory of Sovereign Risk' advocating that there is a trade-off between stabilizing inflation and suppressing default. We develop a class of dynamic stochastic general equilibrium (DSGE) model with nominal rigidities and compare two de facto inflation stabilization policies, optimal monetary policy and optimal monetary and fiscal policy with the minimizing interest rate spread policy which completely suppress the default. Under the optimal monetary and fiscal policy, not only the nominal interest rate but also the tax rate work to minimize welfare costs through stabilizing inflation. Under the optimal monetary both inflation and output gap are completely stabilized although those are fluctuating under the optimal monetary policy. In addition, volatility in the default rate under the optimal monetary policy is considerably lower than one under the optimal monetary policy. Thus, there is not the SI-SD trade-off. In addition, while the minimizing interest rate spread policy makes inflation rate severely volatile, the optimal monetary and fiscal policy stabilize both the inflation and the default. A trade-off between stabilizing inflation and suppressing default is not so severe what pointed out by Uribe.

Keywords: sovereign risk, optimal monetary policy, fiscal theory of the price level, DSGE

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Authors: S. Summart, C. Saetiaw, T. Thosdeekoraphat, C. Thongsopa

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This article presents new current-mode oscillator circuits using CDTAs which is designed from block diagram. The proposed circuits consist of two CDTAs and two grounded capacitors. The condition of oscillation and the frequency of oscillation can be adjusted by electronic method. The circuits have high output impedance and use only grounded capacitors without any external resistor which is very appropriate to future development into an integrated circuit. The results of PSPICE simulation program are corresponding to the theoretical analysis.

Keywords: current-mode, quadrature oscillator, block diagram, CDTA

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Authors: Yankun Yang, Xinggang Yan, Konstantinos Sirlantzis, Gareth Howells

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This paper presents a static output feedback sliding mode control method to regulate a two-wheeled inverted pendulum system with considerations of matched and unmatched uncertainties. A sliding surface is designed and the associated sliding motion stability is analysed based on the reduced-order dynamics. A static output sliding mode control law is synthesised to drive the system to the sliding surface and maintain a sliding motion afterwards. The nonlinear bounds on the uncertainties are employed in the stability analysis and control design to improve the robustness. The simulation results demonstrate the effectiveness of the proposed control.

Keywords: two-wheeled inverted pendulum, output feedback sliding mode control, nonlinear systems, robotics

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Authors: Sana Bembli, Nahla Khraief Haddad, Safya Belghith

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This paper deals with a robust model free terminal sliding mode with gravity compensation approach used to control an exoskeleton-upper limb system. The considered system is a 2-DoF robot in interaction with an upper limb used for rehabilitation. The aim of this paper is to control the flexion/extension movement of the shoulder and the elbow joints in presence of matched disturbances. In the first part, we present the exoskeleton-upper limb system modeling. Then, we controlled the considered system by the model free terminal sliding mode with gravity compensation. A stability study is realized. To prove the controller performance, a robustness analysis was needed. Simulation results are provided to confirm the robustness of the gravity compensation combined with to the Model free terminal sliding mode in presence of uncertainties.

Keywords: exoskeleton- upper limb system, model free terminal sliding mode, gravity compensation, robustness analysis

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Authors: Chiranjit Das, Sanjay Jharkharia

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This study is focused on transport mode selection under lead time variability and emissions constraint. In order to reduce the carbon emissions generation due to transportation, organization has often faced a dilemmatic choice of transport mode selection since logistic cost and emissions reduction are complementary with each other. Another important aspect of transportation decision is lead-time variability which is least considered in transport mode selection problem. Thus, in this study, we provide a comprehensive mathematical based analytical model to decide transport mode selection under emissions constraint. We also extend our work through analysing the effect of lead time variability in the transport mode selection by a sensitivity analysis. In order to account lead time variability into the model, two identically normally distributed random variables are incorporated in this study including unit lead time variability and lead time demand variability. Therefore, in this study, we are addressing following questions: How the decisions of transport mode selection will be affected by lead time variability? How lead time variability will impact on total supply chain cost under carbon emissions? To accomplish these objectives, a total transportation cost function is developed including unit purchasing cost, unit transportation cost, emissions cost, holding cost during lead time, and penalty cost for stock out due to lead time variability. A set of modes is available to transport each node, in this paper, we consider only four transport modes such as air, road, rail, and water. Transportation cost, distance, emissions level for each transport mode is considered as deterministic and static in this paper. Each mode is having different emissions level depending on the distance and product characteristics. Emissions cost is indirectly affected by the lead time variability if there is any switching of transport mode from lower emissions prone transport mode to higher emissions prone transport mode in order to reduce penalty cost. We provide a numerical analysis in order to study the effectiveness of the mathematical model. We found that chances of stock out during lead time will be higher due to the higher variability of lead time and lad time demand. Numerical results show that penalty cost of air transport mode is negative that means chances of stock out zero, but, having higher holding and emissions cost. Therefore, air transport mode is only selected when there is any emergency order to reduce penalty cost, otherwise, rail and road transport is the most preferred mode of transportation. Thus, this paper is contributing to the literature by a novel approach to decide transport mode under emissions cost and lead time variability. This model can be extended by studying the effect of lead time variability under some other strategic transportation issues such as modal split option, full truck load strategy, and demand consolidation strategy etc.

Keywords: carbon emissions, inventory theoretic model, lead time variability, transport mode selection

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Authors: Pankaj Negi

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Nowadays the demand for receiving the high quality electrical energy is being increasing as consumer wants not only reliable but also quality power. Custom power instruments are of the most well-known compensators of power quality in distributed network. This paper present a comprehensive review of compensating custom power devices mainly DSTATCOM (distribution static compensator),DVR (dynamic voltage restorer), and UPQC (unified power quality compensator) and also deals with sliding mode control and its applications to custom power devices. The sliding mode control strategy provides robustness to custom power device and enhances the dynamic response for compensating voltage sag, swell, voltage flicker, and voltage harmonics. The aim of this paper is to provide a broad perspective on the status of compensating devices in electric power distribution system and sliding mode control strategies to researchers and application engineers who are dealing with power quality and stability issues.

Keywords: active power filters(APF), custom power device(CPD), DSTATCOM, DVR, UPQC, sliding mode control (SMC), power quality

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Authors: Ling Zhang, Weikai Li

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Recently three sufficient conditions for the three-way Candecomp/Parafac (CP) model which ensure uniqueness in one of the three modes(“uni-mode uniqueness”) are given. In this paper, we generalize these uniqueness conditions to n ≤ 3 and give a sufficient conditions for the n-way Candecomp/Parafac (CP) model, which ensure uniqueness in one of the n modes.

Keywords: uni-mode uniqueness, candecomp/parafac, n-way arrays, decomposition, tensor

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Authors: Ahmet Kaya

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Quantum mechanism is one of the most important approaches to calculating non-ruin probability. We apply standard Dirac notation to model given Hamiltonians. By using the traditional method and eigenvector basis, non-ruin probability is found for several examples. Also, non-ruin probability is calculated for two different Hamiltonian by using the tensor product. Finally, the path integral method is applied to the examples and comparison is made for stochastic simulations and path integral calculation.

Keywords: quantum physics, Hamiltonian system, path integral, tensor product, ruin probability

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Authors: Maria Debora Braga, Luigi Riso, Maria Grazia Zoia

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Risk-based approaches to asset allocation are portfolio construction methods that do not rely on the input of expected returns for the asset classes in the investment universe and only use risk information. They include the Minimum Variance Strategy (MV strategy), the traditional (volatility-based) Risk Parity Strategy (SRP strategy), the Most Diversified Portfolio Strategy (MDP strategy) and, for many, the Equally Weighted Strategy (EW strategy). All the mentioned approaches were based on portfolio volatility as a reference risk measure but in 2023, the Kurtosis-based Risk Parity strategy (KRP strategy) and the Minimum Kurtosis strategy (MK strategy) were introduced. Understandably, they used the fourth root of the portfolio-fourth moment as a proxy for portfolio kurtosis to work with a homogeneous function of degree one. This paper contributes mainly theoretically and methodologically to the framework of risk-based asset allocation approaches with two steps forward. First, a new and more flexible objective function considering a linear combination (with positive coefficients that sum to one) of portfolio volatility and portfolio kurtosis is used to alternatively serve a risk minimization goal or a homogeneous risk distribution goal. Hence, the new basic idea consists in extending the achievement of typical risk-based approaches’ goals to a combined risk measure. To give the rationale behind operating with such a risk measure, it is worth remembering that volatility and kurtosis are expressions of uncertainty, to be read as dispersion of returns around the mean and that both preserve adherence to a symmetric framework and consideration for the entire returns distribution as well, but also that they differ from each other in that the former captures the “normal” / “ordinary” dispersion of returns, while the latter is able to catch the huge dispersion. Therefore, the combined risk metric that uses two individual metrics focused on the same phenomena but differently sensitive to its intensity allows the asset manager to express, in the context of an objective function by varying the “relevance coefficient” associated with the individual metrics, alternatively, a wide set of plausible investment goals for the portfolio construction process while serving investors differently concerned with tail risk and traditional risk. Since this is the first study that also implements risk-based approaches using a combined risk measure, it becomes of fundamental importance to investigate the portfolio effects triggered by this innovation. The paper also offers a second contribution. Until the recent advent of the MK strategy and the KRP strategy, efforts to highlight interesting properties of risk-based approaches were inevitably directed towards the traditional MV strategy and SRP strategy. Previous literature established an increasing order in terms of portfolio volatility, starting from the MV strategy, through the SRP strategy, arriving at the EQ strategy and provided the mathematical proof for the “equalization effect” concerning marginal risks when the MV strategy is considered, and concerning risk contributions when the SRP strategy is considered. Regarding the validity of similar conclusions when referring to the MK strategy and KRP strategy, the development of a theoretical demonstration is still pending. This paper fills this gap.

Keywords: risk parity, portfolio kurtosis, risk diversification, asset allocation

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Authors: Yue Huang, Hongcheng Gan

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The new urbanization pattern has led to a rapid growth in demand for short-distance intercity travel, and the emergence of new travel modes has also increased the variety of intercity travel options. In previous studies on intercity travel mode choice behavior, the impact of functional amenities of travel mode and travelers’ long-term personality characteristics has rarely been considered, and empirical results have typically been calibrated using revealed preference (RP) or stated preference (SP) data. This study designed a questionnaire that combines the RP and SP experiment from the perspective of a trip chain combining inner-city and intercity mobility, with consideration for the actual condition of the Huainan-Hefei traffic corridor. On the basis of RP/SP fusion data, a hybrid choice model considering both random taste heterogeneity and psychological characteristics was established to investigate travelers’ mode choice behavior for traditional train, high-speed rail, intercity bus, private car, and intercity online car-hailing. The findings show that intercity time and cost exert the greatest influence on mode choice, with significant heterogeneity across the population. Although inner-city cost does not demonstrate a significant influence, inner-city time plays an important role. Service attributes of travel mode, such as catering and hygiene services, as well as free wireless network supply, only play a minor role in mode selection. Finally, our study demonstrates that safety-seeking tendency, hedonism, and introversion all have differential and significant effects on intercity travel mode choice.

Keywords: intercity travel mode choice, stated preference survey, hybrid choice model, RP/SP fusion data, psychological latent variable, heterogeneity

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Authors: H. Ozbasaran

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Lateral torsional buckling is a global stability loss which should be considered in the design of slender structural members under flexure about their strong axis. It is possible to compute the load which causes lateral torsional buckling of a beam by finite element analysis, however, closed form equations are needed in engineering practice. Such equations can be obtained by using energy method. Unfortunately, this method has a vital drawback. In lateral torsional buckling applications of energy method, a proper function for the critical lateral torsional buckling mode should be chosen which can be thought as the variation of twisting angle along the buckled beam. The accuracy of the results depends on how close is the chosen function to the exact mode. Since critical lateral torsional buckling mode of the cantilever I-beams varies due to material properties, section properties, and loading case, the hardest step is to determine a proper mode function. This paper presents an approximate function for critical lateral torsional buckling mode of doubly symmetric cantilever I-beams. Coefficient matrices are calculated for the concentrated load at the free end, uniformly distributed load and constant moment along the beam cases. Critical lateral torsional buckling modes obtained by presented function and exact solutions are compared. It is found that the modes obtained by presented function coincide with differential equation solutions for considered loading cases.

Keywords: buckling mode, cantilever, lateral-torsional buckling, I-beam

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Authors: H. S. S Abou El-Mal, A. S. Sherbini, H. E. M. Sallam

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Mode II fracture toughness (KIIc) of fiber reinforced concrete has been widely investigated under various patterns of testing geometries. The effect of fiber type, concrete matrix properties, and testing mechanisms were extensively studied. The area of hybrid fiber addition shows a lake of reported research data. In this paper an experimental investigation of hybrid fiber embedded in high strength concrete matrix is reported. Three different types of fibers; namely steel (S), glass (G), and polypropylene (PP) fibers were mixed together in four hybridization patterns, (S/G), (S/PP), (G/PP), (S/G/PP) with constant cumulative volume fraction (Vf) of 1.5%. The concrete matrix properties were kept the same for all hybrid fiber reinforced concrete patterns. In an attempt to estimate a fairly accepted value of fracture toughness KIIc, four testing geometries and loading types are employed in this investigation. Four point shear, Brazilian notched disc, double notched cube, and double edge notched specimens are investigated in a trial to avoid the limitations and sensitivity of each test regarding geometry, size effect, constraint condition, and the crack length to specimen width ratio a/w. The addition of all hybridization patterns of fiber reduced the compressive strength and increased mode II fracture toughness in pure mode II tests. Mode II fracture toughness of concrete KIIc decreased with the increment of a/w ratio for all concretes and test geometries. Mode II fracture toughness KIIc is found to be sensitive to the hybridization patterns of fiber. The (S/PP) hybridization pattern showed higher values than all other patterns, while the (S/G/PP) showed insignificant enhancement on mode II fracture toughness (KIIc). Four point shear (4PS) test set up reflects the most reliable values of mode II fracture toughness KIIc of concrete. Mode II fracture toughness KIIc of concrete couldn’t be assumed as a real material property.

Keywords: fiber reinforced concrete, Hybrid fiber, Mode II fracture toughness, testing geometry

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Authors: Qiong Rao, Xiongqi Peng

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In this work, multi-walled carbon nanotubes (MWCNTs) and graphene nanoplates (GNPs) were dispersed into epoxy adhesive to investigate their synergy effects on the shear properties, mode I and mode II fracture toughness of unidirectional composite bonded joints. Testing results showed that the incorporation of MWCNTs and GNPs significantly improved the shear strength, the mode I and mode II fracture toughness by 36.6%, 45% and 286%, respectively. In addition, the fracture surfaces of the bonding area as well as the toughening mechanism of nanofillers were analyzed. Finally, a nonlinear cohesive/friction coupled model for delamination analysis of adhesive layer under shear and normal compression loadings was proposed and implemented in ABAQUS/Explicit via user subroutine VUMAT.

Keywords: nanofillers, adhesive joints, fracture toughness, cohesive zone model

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Authors: Haizhong Zhang, Yan-Gang Zhao

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Fundamental period, mode shape, and participation factor are important basic information for the understanding of earthquake response of ground. In this study, a simple approach is presented to calculate these basic information of layered soil profiles. To develop this method, closed form equations are derived for analysis of free vibration of layered soil profiles firstly, based on equilibrium between inertia and elastic forces. Then, by further associating with the Madera procedure developed for estimation of fundamental period, a simple method that can directly determine the fundamental period, mode shape and participation factor is proposed. The proposed approach can be conveniently implemented in simple spreadsheets and easily used by practicing engineers. In addition, the accuracy of the proposed approach is investigated by analyzing first vibration mode of 67 representative layered soil profiles, it is found that results by the proposed method agree very well with accurate results.

Keywords: layered soil profile, natural vibration, fundamental period, fundamental mode shape

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Authors: Ahmad Forouzantabar, Mohammad Azadi, Alireza Alesaadi

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This paper describes a sliding mode controller for autonomous underwater vehicles (AUVs). The dynamic of AUV model is highly nonlinear because of many factors, such as hydrodynamic drag, damping, and lift forces, Coriolis and centripetal forces, gravity and buoyancy forces, as well as forces from thruster. To address these difficulties, a nonlinear sliding mode controller is designed to approximate the nonlinear dynamics of AUV and improve trajectory tracking. Moreover, the proposed controller can profoundly attenuate the effects of uncertainties and external disturbances in the closed-loop system. Using the Lyapunov theory the boundedness of AUV tracking errors and the stability of the proposed control system are also guaranteed. Numerical simulation studies of an AUV are included to illustrate the effectiveness of the presented approach.

Keywords: lyapunov stability, autonomous underwater vehicle, sliding mode controller, electronics engineering

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Authors: Muhammad Ilham Agus Salim, Mohammad Ali

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In this article, we have elaborated a study over the nature of Islamic financial transaction by comparing between Dinar and IDR currency in Indonesia. We have found the interesting issue among scholars and practitioners in which Dinar would be a single currency ASEAN Economic Community (AEC), then becoming motivation and added value research. The assessment among dinar volatility analysis for three years ago and IDR fluctuation as well as outlook qualitative test regarding dinar are components of analysis that weak Indonesian currency should be altered to be better coinage. The value of dinar more stable than IDR and also eligible as a currency e.g. limited quantities, easy to carry, durable, easy to saved, and has the same quality. On the other hand, the existing of IDR has defeated by inflation. The EViews program explained that Dinar at current level still fluctuate, but in the first different have fixed variant. The result of analysis describing that dinar has potential as the medium exchange, because the material of dinar is relevant and feasible since 14 century until present. Therefore, dinar should be considered to solve Indonesia crisis today.

Keywords: medium of exchange, dinar & IDR currency, volatility analysis, EViews program

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Authors: Hossein Mardani, Neil Buchanan, Robert Cahill, Vincent Fusco

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In this paper, we study the input impedance characteristics of axial mode helical antennas to find an effective way for matching it to 50 Ω. The study is done on the important matching parameters such as like wire diameter and helix to the ground plane gap. It is intended that these parameters control the matching without detrimentally affecting the radiation pattern. Using transmission line theory, a simple broadband technique is proposed, which is applicable for perfect matching of antennas with similar design parameters. We provide design curves to help to choose the proper dimensions of the matching section based on the antenna’s unmatched input impedance. Finally, using the proposed technique, a 4-turn axial mode helix is designed at 2.5 GHz center frequency and the measurement results of the manufactured antenna will be included. This parametric study gives a good insight into the input impedance characteristics of axial mode helical antennas and the proposed impedance matching approach provides a simple, useful method for matching these types of antennas.

Keywords: antenna, helix, helical, axial mode, wireless power transfer, impedance matching

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Authors: Karolína Vozková, Matěj Kuc

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This paper analyzes recent trends in cost efficiency of European cooperative banks using efficient frontier analysis. Our methodology is based on stochastic frontier analysis which is run on a set of 649 European cooperative banks using data between 2006 and 2015. Our results show that average inefficiency of European cooperative banks is increasing since 2008, smaller cooperative banks are significantly more efficient than the bigger ones over the whole time period and that share of net fee and commission income to total income surprisingly seems to have no impact on bank cost efficiency.

Keywords: cooperative banks, cost efficiency, efficient frontier analysis, stochastic frontier analysis, net fee and commission income

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Authors: Baoubadi Atozou, Koffi Akakpo

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Since the decade 2000, the use of foodstuffs such as corn, wheat, and soybeans in biofuel production has been growing sharply in the United States, Canada, and Europe. Thus, prices for these agricultural products are rising in the world market. These cereals are the most important source of calorific energy for West African Economic and Monetary Union (WAEMU) countries members’ population. These countries are highly dependent on imports of most of these products. Thereby, rising prices can have an important impact on import levels and consequently on food security in these countries. This study aims to analyze the interrelationship between the prices of these commodities and their volatilities, and their effects on imports of these agricultural products by each WAEMU ’country member. The Autoregressive Distributed Lag (ARDL) model, the GARCH Multivariate model, and the Granger Causality Test are used in this investigation. The results show that import levels are highly and significantly sensitive to price changes as well as their volatility. In the short term as well as in the long term, there is a significant relationship between the prices of these products. There is a positive relationship in general between price volatility. And these volatilities have negative effects on the level of imports. The market characteristics affect food security in these countries, especially access to food for vulnerable and low-income populations. The policies makers must adopt viable strategies to increase agricultural production and limit their dependence on imports.

Keywords: price volatility, import of agricultural products, food safety, WAEMU

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Authors: Changhong Guo, Shaomei Fang, Yong He

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In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional g-Brownian motion, Taylor's series of fractional order, uncertain volatility

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Authors: W. Oudad, H. Fikirini, K. Boulenouar

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Material fracture by opening (mode I) is not alone responsible for fracture propagation. Many industrial examples show the presence of mode II and mixed mode I + II. In the present work the three-dimensional and non-linear finite element method is used to estimate the performance of the bonded composite repair of metallic aircraft structures by analyzing the plastic zone size ahead of repaired cracks under mixed mode loading. The computations are made according to Von Mises and Tresca criteria. The extension of the plastic zone which takes place at the tip of a crack strictly depends on many variables, such as the yield stress of the material, the loading conditions, the crack size and the thickness of the cracked component, The obtained results show that the presence of the composite patch reduces considerably the size of the plastic zone ahead of the crack. The effects of the composite orientation layup (adhesive properties) and the patch thickness on the plastic zone size ahead of repaired cracks were analyzed.

Keywords: crack, elastic-plastic, J integral, patch, plastic zone

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Authors: Wenbo Duan, Hossein Habibi, Vassilios Kappatos, Cem Selcuk, Tat-Hean Gan

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Ultrasonic guided waves are often used to remove ice or fouling in different structures, such as ship hulls, wind turbine blades and so on. To achieve maximum sound power output, it is important that multiple transducers are arranged in a particular way so that a desired mode can be excited. The objective of this paper is thus to provide a theoretical basis for generating a particular mode in a finite width rectangular plate which can be used for removing potential ice or fouling on the plate. The number of transducers and their locations with respect to a particular mode will be investigated, and the link between dispersion curves and practical applications will be explored. To achieve this, a semi-analytical finite element (SAFE) method is used to study the dispersion characteristics of all the modes in the ultrasonic frequency range. The detailed modal shapes will be revealed, and from the modal analysis, the particular mode with the strongest yet continuous transverse and axial displacements on the surfaces of the plate will be chosen for the purpose of removing potential ice or fouling on the plate. The modal analysis is followed by providing information on the number, location and amplitude of transducers needed to excite this particular mode. Modal excitation is then implemented in a standard finite element commercial package, namely COMSOL Multiphysics. Wave motion is visualized in COMSOL, and the mode shapes generated in SAFE is found to be consistent with the mode shapes generated in COMSOL.

Keywords: dispersion analysis, finite width plate, guided wave, modal excitation

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Authors: Ashiq Rahman, Sunil Thapa, Shunyao Fan, Niloy K. Dutta

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A 20-GHz and a 50-GHz pulse train are generated using a fiber ring laser setup that incorporates Rational Harmonic Mode Locking. Two separate experiments were carried out using charcoal nanoparticles and graphene nanoparticles acting as saturable absorbers to reduce the pulse width generated from rational harmonic mode-locking (RHML). Autocorrelator trace shows that the pulse width is reduced from 5.6-ps to 3.2-ps using charcoal at 20-GHz, and to 2.7-ps using graphene at 50-GHz repetition rates, which agrees with the simulation findings. Numerical simulations have been carried out to study the effect of varying the linear and nonlinear absorbance parameters of both absorbers on output pulse widths. Experiments closely agree with the simulations.

Keywords: fiber optics, fiber lasers, mode locking, saturable absorbers

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Authors: Abdul Kader

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This paper attempts to investigate several contributory factors to recent volatility in the Islamic Banking sector of Bangladesh. In particular, the study explores corporate governance, credit management, credit regulations, inept board of directors, using religious sentiment as a means to deceive general people, and the degree of political interference as potential contributory factors. To find the correlation among different variables, semi-structured questionnaires were distributed among the clients, bank managers, some Banking scholars and ex-members of the board of directors of three Islamic Banks in Bangladesh. Later, ten interviews were collected from key informants to gain in-depth information about the present mismanagement of Islamic Banks in Bangladesh. After then, data were analyzed using statistical software and substantiated by secondary sources like newspapers, reports and investigative reports aired in screen media. The paper found a correlation between almost all contributory factors and recent unstable conditions in the Islamic banking sector. After performing regression analysis, this paper found a more significant relationship between some of the contributory factors with Banking volatility than others. For instance, credit management, inept board of directors, depriving customers of proving no profit in the name of business—no interest-- and political interference have a strong significant positive correlation with the present poor condition of Islamic Banking. This paper concludes that while internal management is important in recovering the losses, the government needs to ensure framing better policy for the Islamic Banking system, Central Bank needs to supervise and monitor all Islamic banks meticulously and loan receivers must go through the impartial evaluation and approved by the representatives of the Central Shariah Board. This paper also recommends that there is a need to strengthen the auditing system and improve regulatory oversight of the Islamic Banks in Bangladesh. Policy recommendations that this paper put forward could provide an outline for dealing with the existing challenging condition of Islamic Banks and these could be applied to similar problems in other countries where the Islamic Banking model exists.

Keywords: Islamic bank, volatility in banking sector, shariah law, credit management, political interference

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Authors: Loïc Warscotte, Jehan Boreux

Abstract:

The scientific literature of changepoint detection is vast. Today, a lot of methods are available to detect abrupt changes or slight drift in a signal, based on CUSUM or EWMA charts, for example. However, these methods rely on strong assumptions, such as the stationarity of the stochastic underlying process, or even the independence and Gaussian distributed noise at each time. Recently, the breakthrough research on locally stationary processes widens the class of studied stochastic processes with almost no assumptions on the signals and the nature of the changepoint. Despite the accurate description of the mathematical aspects, this methodology quickly suffers from impractical time and space complexity concerning the signals with high-rate data collection, if the characteristics of the process are completely unknown. In this paper, we then addressed the problem of making this theory usable to our purpose, which is monitoring a high-speed weigh-in-motion system (HS-WIM) towards direct enforcement without supervision. To this end, we first compute bounded approximations of the initial detection theory. Secondly, these approximating bounds are empirically validated by generating many independent long-run stochastic processes. The abrupt changes and the drift are both tested. Finally, this relaxed methodology is tested on real signals coming from a HS-WIM device in Belgium, collected over several months.

Keywords: changepoint, weigh-in-motion, process, non-parametric

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Authors: Karim Hamidi Machekposhti, Hossein Sedghi

Abstract:

This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.

Keywords: stochastic models, ARIMA, extreme streamflow, Karkheh river

Procedia PDF Downloads 121