134 research outputs found
Multifractal products of stationary diffusion processes
No full textWe investigate the properties of multifractal products of the exponential of stationary diffusion processes defined by stochastic differential equations with linear drift and certain form of the diffusion coefficient corresponding to a variety of marginal distributions. The conditions on the mean, variance and covariance functions of these processes are interpreted in terms of the moment generating functions. We provide three illustrative examples of normal, gamma and beta distributions. We establish the corresponding lognormal, log-gamma and log-beta scenarios for the limiting processes, including their Rényi functions and dependence structure
Multifractality of products of geometric Ornstein-Uhlenbeck -type processes
No full textWe investigate the properties of multifractal products of geometric Ornstein-Uhlenbeck (OU) processes driven by Lévy motion. The conditions on the mean, variance, and covariance functions of the resulting cumulative processes are interpreted in terms of the moment generating functions. We consider five cases of infinitely divisible distributions for the background driving Lévy processes, namely, the gamma and variance gamma distributions, the inverse Gaussian and normal inverse Gaussian distributions, and the z-distributions. We establish the corresponding scenarios for the limiting processes, including their Rényi functions and dependence structure
Simulation of multifractal products of Ornstein-Uhlenbeck type processes
No full textThis paper investigates and provides evidence of the multifractal properties of products of the exponential of Ornstein–Uhlenbeck processes driven by Lévy motion. We demonstrate in detail the construction of a multifractal process with gamma subordinator as the background driving Lévy process. Simulations are performed for the scenarios corresponding to the normal inverse Gaussian, gamma and inverse Gaussian distributions. The log periodograms and Rényi functions of the simulated processes are also computed to investigate their multifractality
Spectral Analysis of Fractional Kinetic Equations with Random Data
No full textWe present a spectral representation of the mean-square solution of the fractional kinetic equation (also know as fractional diffusion equation) with random initial condition. Gaussian and non-Gausian limiting distributions of the renormalized solution of the fractional-in-time and in-space kinetic equation are described in terms of multiple stochastic integral representations
Renormalization and Homogenization of Fractional Diffusion Equations with Random Data
No full textThis paper presents a renomalization and homogenization theory for fractional-in-space or in-time diffusion equations with singular random initial conditions. The spectral representations for the solutions of these equations are provided. Gaussian and non-Gaussian limiting ditributions of the renormalized solutions of these equations are then described in terms of multiple stochastic integral representatives
Clinical and psychological aspects of insomnia associated with COVID-19 pandemic
No full textBackground In addition to clinical, epidemiological, and political aspects, the pandemic situation has a clinical and psychological aspect, as long as the measures taken to counteract infection inevitably cause unusual living conditions for a large number of people. Stress experience is accompanied by changes in autonomic regulation and, as a result, a number of somatic shifts. Stress markers include sleep disorders, changes in appetite, gastrointestinal disorders, headaches, chest pain, dyspnea, body pain, dizziness, numbness, fluctuations in blood pressure, sleep disorders, panic attacks, depressive and suicidal tendencies. Objective. We suggested that resilience is the predictor of successful resolution of existential crisis from the point of view of maintaining mental and somatic health, as well as gaining experience of deep self-improvement, strengthening of personality and potential for coping with life difficulties. Resilience includes coping at all levels of functioning physical, psychological, social and existential. The latter defines the perception of reality itself as a challenge of complexity that requires coping, and regulates resilience at all other levels. The indicator of sleep quality was used as an empirical criterion to evaluate coping with stress. It is both an indicator and an antistress resource for physical functioning. The hypothesis of the study was the assumption that psychological content of resilience differs in subjects with moderate severity insomnia and with no sleep disturbances during pandemic period. Design and methods. To evaluate this hypothesis during the period of self-isolation in connection with the COVID-19 pandemic (April-May 2020), an empirical study was carried out on a randomized sample of 93 subjects using clinical and psychological scales. Results. This research resulted in the identification of differences in psychological content of resilience which reflect clinical and psychological characteristics in subjects with moderate severity insomnia and with normal sleep during the pandemic. The psychological content of resilience in respondents without sleep disturbances during the pandemic can be considered as complex and mature mechanisms of personality self regulation that allow of maintaining mental and somatic health, efficiency, ability to develop. Identified features can be used as psychotherapeutic targets in patients at different stages of exposure to stress factors
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models.
No full textContinuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility in accommodating most stylized facts of financial time series. However, their estimation is difficult because the likelihood function does not have a closed-form expression. In this paper we propose a characteristic function-based estimation method for non-Gaussian Ornstein-Uhlenbeck-based stochastic volatility models. After deriving explicit expressions of the characteristic functions for various cases of interest we analyze the asymptotic properties of the estimators and evaluate their performance by means of a simulation experiment. Finally, a real-data application shows that the superposition of two Ornstein-Uhlenbeck processes gives a good approximation to the dependence structure of the process.ornstein-uhlenbeck process; lévy process; stochastic volatility; characteristic function estimation
Doklady Physics V. 48, I. 05
No full textDoklady Physics -- May 2003
Volume 48, Issue 5, pp. 203-259
PHYSICS
A Stable Method for Reconstructing a Relaxation-Time Spectrum According to Data of Dynamic Experiments
V. A. Dubovitskii and V. I. Irzhak
pp. 203-205 Full Text: PDF (48 kB)
Superionic Transition and Self-Propagating High-Temperature Synthesis of Copper Selenide in Thin Films
V. G. Myagkov, L. E. Bykova, and G. N. Bondarenko
pp. 206-208 Full Text: PDF (47 kB)
Crystal Structure of a New Microporous Na2{Al3(OH)2[PO4]3} Aluminum Phosphate
O. V. Yakubovich, O. V. Dimitrova, and V. S. Urusov
pp. 209-215 Full Text: PDF (476 kB)
Structurally Unstable Magnetic Configurations in the Three-Dimensional Geometry
D. P. Kostomarov, I. N. Inovenkov, E. Yu. Echkina, A. V. Leonenko, V. V. Pichushkin, F. Pegoraro, and S. V. Bulanov
pp. 216-220 Full Text: PDF (116 kB)
TECHNICAL PHYSICS
Features of the Film Boiling Regime in Organic Liquids
S. A. Zhukov, V. A. Rafeev, S. Yu. Afanas'ev, S. B. Echmaev, and B. L. Korsunskii
pp. 221-223 Full Text: PDF (49 kB)
Description of Electrorheological Fluids
V. É. Zgaevskii
pp. 224-227 Full Text: PDF (91 kB)
Heat Transfer in Pulse-Superheated Liquids
P. V. Skripov, A. A. Starostin, and D. V. Volosnikov
pp. 228-231 Full Text: PDF (154 kB)
Effect of the Rotor Shape on the Efficiency of a Liquid Centrifuge
G. A. Abakumov and V. B. Fedoseev
pp. 232-234 Full Text: PDF (37 kB)
Features of the Film Boiling Regime on Wire Heaters in Subcooled Distilled Water
S. A. Zhukov, S. Yu. Afanas'ev, and S. B. Echmaev
pp. 235-238 Full Text: PDF (252 kB)
MECHANICS
New Type of the Cumulation of the Energy and Momentum of Plates and Shells Accelerated by Explosions
S. I. Zonenko and G. G. Chernyi
pp. 239-243 Full Text: PDF (108 kB)
Axisymmetric Plastic Flow of a Bilayer Material through a Conical Channel
S. E. Aleksandrov and G. S. Mishuris
pp. 244-246 Full Text: PDF (42 kB)
Parametrically Controlled Quasi-Harmonic Regimes of Self-Oscillations and Forced Oscillations: Removal of Plurality
M. Ya. Izrailovich
pp. 247-252 Full Text: PDF (75 kB)
Distributions of Fluctuations in Motion of the Earth's Pole
Yu. G. Markov and I. N. Sinitsyn
pp. 253-256 Full Text: PDF (60 kB)
Unique (Integrated) Fatigue Curve of Metallic Materials
A. N. Romanov
pp. 257-259 Full Text: PDF (41 kB)Archived web conten
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