A New Model of Campi Flegrei Inflation and Deflation Episodes Based on Brownian Motion Driven by the Telegraph Process

2018 ◽  
Vol 50 (8) ◽  
pp. 961-975 ◽  
Author(s):  
F. Travaglino ◽  
A. Di Crescenzo ◽  
B. Martinucci ◽  
R. Scarpa
2017 ◽  
Vol 21 (3) ◽  
pp. 907-920 ◽  
Author(s):  
Vladimir Pozdnyakov ◽  
L. Mark Elbroch ◽  
Anthony Labarga ◽  
Thomas Meyer ◽  
Jun Yan

2012 ◽  
Vol 134 (5) ◽  
Author(s):  
Clement Kleinstreuer ◽  
Yu Feng

This is a two-part paper, which proposes a new theory explaining the experimentally observed enhancement of the thermal conductivity, knf, of nanofluids (Part I) and discusses simulation results of nanofluid flow in a radial parallel-plate channel using different knf-models (Part II). Specifically, Part I provides the derivation of the new model as well as comparisons with benchmark experimental data sets and other theories, focusing mainly on aluminum and copper oxide nanoparticles in water. The new thermal conductivity expression consists of a base-fluid static part, kbf, and a new “micromixing” part, kmm, i.e., knf = kbf + kmm. While kbf relies on Maxwell’s theory, kmm encapsulates nanoparticle characteristics and liquid properties as well as Brownian-motion induced nanoparticle fluctuations, nanoparticle volume fractions, mixture-temperature changes, particle–particle interactions, and random temperature fluctuations causing liquid-particle interactions. Thus, fundamental physics principles include the Brownian-motion effect, an extended Langevin equation with scaled interaction forces, and a turbulence-inspired heat transfer equation. The new model predicts experimental data for several types of metal-oxide nanoparticles (20 < dp < 50 nm) in water with volume fractions up to 5% and mixture temperatures below 350 K. While the three competitive theories considered match selectively experimental data, their needs for curve-fitted functions and arbitrary parameters make these models not generally applicable. The new theory can be readily extended to accommodate other types of nanoparticle-liquid pairings and to include nonspherical nanomaterial.


2018 ◽  
Vol 78 (5) ◽  
pp. 551-570
Author(s):  
Juheon Seok ◽  
B. Wade Brorsen ◽  
Bart Niyibizi

Purpose The purpose of this paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price them could lead to lower bid-ask spreads as well as more accurate marking to market of open positions. Design/methodology/approach The new option pricing model is a two-factor model with the futures price and the convenience yield as the two factors. The key assumption is that convenience follows arithmetic Brownian motion. The new model and alternative models are tested using corn futures prices. The testing considers both the accuracy of distributional assumptions and the accuracy of the models’ predictions of historical payoffs. Findings Panel unit root tests fail to reject the unit root null hypothesis for historical calendar spreads and thus they support the assumption of convenience yield following arithmetic Brownian motion. Option payoffs are estimated with five different models and the relative performance of the models is determined using bias and root mean squared error. The new model outperforms the four other models; most of the other models overestimate actual payoffs. Research limitations/implications The model is parameterized using historical data due to data limitations although future research could consider implied parameters. The model assumes that storage costs are constant and so it cannot separate between negative convenience yield and mismeasured storage costs. Practical implications The over 30-year search for a calendar spread pricing model has not produced a satisfactory model. Current models that do not assume cointegration will overprice calendar spread options. The model used by the Chicago Mercantile Exchange for marking to market of open positions is shown to work poorly. The model proposed here could be used as a basis for automated trading on calendar spread options as well as marking to market of open positions. Originality/value The model is new. The empirical work supports both the model’s assumptions and its predictions as being more accurate than competing models.


2020 ◽  
Vol 22 (3) ◽  
pp. 1275-1291
Author(s):  
V. Pozdnyakov ◽  
L. M. Elbroch ◽  
C. Hu ◽  
T. Meyer ◽  
J. Yan

2011 ◽  
Vol 40 (4) ◽  
pp. 352-368 ◽  
Author(s):  
Mahmood Akbari ◽  
Nicolas Galanis ◽  
Amin Behzadmehr
Keyword(s):  

2007 ◽  
Vol 44 (02) ◽  
pp. 393-408 ◽  
Author(s):  
Allan Sly

Multifractional Brownian motion is a Gaussian process which has changing scaling properties generated by varying the local Hölder exponent. We show that multifractional Brownian motion is very sensitive to changes in the selected Hölder exponent and has extreme changes in magnitude. We suggest an alternative stochastic process, called integrated fractional white noise, which retains the important local properties but avoids the undesirable oscillations in magnitude. We also show how the Hölder exponent can be estimated locally from discrete data in this model.


1986 ◽  
Vol 23 (04) ◽  
pp. 893-903 ◽  
Author(s):  
Michael L. Wenocur

Brownian motion subject to a quadratic killing rate and its connection with the Weibull distribution is analyzed. The distribution obtained for the process killing time significantly generalizes the Weibull. The derivation involves the use of the Karhunen–Loève expansion for Brownian motion, special function theory, and the calculus of residues.


Author(s):  
H. Akabori ◽  
K. Nishiwaki ◽  
K. Yoneta

By improving the predecessor Model HS- 7 electron microscope for the purpose of easier operation, we have recently completed new Model HS-8 electron microscope featuring higher performance and ease of operation.


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