The Experts below are selected from a list of 78177 Experts worldwide ranked by ideXlab platform
Ichiro Yamamoto - One of the best experts on this subject based on the ideXlab platform.
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isotopic approximations to thermal Diffusion Factor and ordinary Diffusion coefficient in a mixture of more than 4 components
Journal of Nuclear Science and Technology, 2001Co-Authors: Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Isotopic approximations to thermal Diffusion Factors in mixtures of more than 4 components were derived in the case where a gas mixture consists of isotopes and squares of relative mass differences among the isotopes are small enough to be negligible. Approximate solutions of a set of υ-simultaneous equations by which the Factor is expressed were given on the analogy of those in 3-component mixture, and they were ensured to satisfy the equations approximately. The obtained approximations to the Factors were the same as those to binary thermal Diffusion Factors. The same procedure led to approximate expressions to ordinary Diffusion coefficients.
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thermal Diffusion Factor for diatomic gas mixture in multicomponent system
Journal of Nuclear Science and Technology, 2000Co-Authors: Hiroshi Yamakawa, Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Thermal Diffusion Factor for diatomic gas mixture was expressed in a practical form applicable to multi- component mixture. Thermal Diffusion Factor for diatomic gas mixtures was obtained directly from thermal Diffusion coefficient in multicomponent mixture by using the relation between thermal Diffusion coefficient and thermal Diffusion Factor, and was shown to be the same as that derived by Mason et al. through a “generalized Stefan-Maxwell equation”. The present expression gives a theoretical proof of the previously reported rough estimate of thermal Diffusion Factor for hydrogen binary mixtures. Comparing with the present expression for H2-HT binary gas mixture, we have found that the previously reported expression for thermal Diffusion Factor overestimates in a temperature range from 50 to 1,200 K, but the difference between the previous and the present expressions is small. The present expression is essential to the separative analyses of thermal Diffusion column for diatomic gas mixture in multicom...
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thermal Diffusion Factor for diatomic gas mixture in multicomponent system
Journal of Nuclear Science and Technology, 2000Co-Authors: Hiroshi Yamakawa, Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Thermal Diffusion Factor for diatomic gas mixture was expressed in a practical form applicable to multi- component mixture. Thermal Diffusion Factor for diatomic gas mixtures was obtained directly ...
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explicit approximation to thermal Diffusion Factor in isotopic 3 component mixture
Journal of Nuclear Science and Technology, 1997Co-Authors: Noboru Kobayashi, Hiroshi Yamakawa, Ichiro YamamotoAbstract:When a gas mixture consists of isotopes and squares of relative mass differences among the isotopes are small enough to be negligible, an approximation to a thermal Diffusion Factor in a 3-component mixture was derived analytically and was found to be the same as the binary thermal Diffusion Factor. Relative errors between exact and the approximation of the thermal Diffusion Factor in a 3-component argon 36–38-40 isotope mixture were less than −0.01.
Noboru Kobayashi - One of the best experts on this subject based on the ideXlab platform.
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isotopic approximations to thermal Diffusion Factor and ordinary Diffusion coefficient in a mixture of more than 4 components
Journal of Nuclear Science and Technology, 2001Co-Authors: Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Isotopic approximations to thermal Diffusion Factors in mixtures of more than 4 components were derived in the case where a gas mixture consists of isotopes and squares of relative mass differences among the isotopes are small enough to be negligible. Approximate solutions of a set of υ-simultaneous equations by which the Factor is expressed were given on the analogy of those in 3-component mixture, and they were ensured to satisfy the equations approximately. The obtained approximations to the Factors were the same as those to binary thermal Diffusion Factors. The same procedure led to approximate expressions to ordinary Diffusion coefficients.
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thermal Diffusion Factor for diatomic gas mixture in multicomponent system
Journal of Nuclear Science and Technology, 2000Co-Authors: Hiroshi Yamakawa, Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Thermal Diffusion Factor for diatomic gas mixture was expressed in a practical form applicable to multi- component mixture. Thermal Diffusion Factor for diatomic gas mixtures was obtained directly from thermal Diffusion coefficient in multicomponent mixture by using the relation between thermal Diffusion coefficient and thermal Diffusion Factor, and was shown to be the same as that derived by Mason et al. through a “generalized Stefan-Maxwell equation”. The present expression gives a theoretical proof of the previously reported rough estimate of thermal Diffusion Factor for hydrogen binary mixtures. Comparing with the present expression for H2-HT binary gas mixture, we have found that the previously reported expression for thermal Diffusion Factor overestimates in a temperature range from 50 to 1,200 K, but the difference between the previous and the present expressions is small. The present expression is essential to the separative analyses of thermal Diffusion column for diatomic gas mixture in multicom...
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thermal Diffusion Factor for diatomic gas mixture in multicomponent system
Journal of Nuclear Science and Technology, 2000Co-Authors: Hiroshi Yamakawa, Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Thermal Diffusion Factor for diatomic gas mixture was expressed in a practical form applicable to multi- component mixture. Thermal Diffusion Factor for diatomic gas mixtures was obtained directly ...
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explicit approximation to thermal Diffusion Factor in isotopic 3 component mixture
Journal of Nuclear Science and Technology, 1997Co-Authors: Noboru Kobayashi, Hiroshi Yamakawa, Ichiro YamamotoAbstract:When a gas mixture consists of isotopes and squares of relative mass differences among the isotopes are small enough to be negligible, an approximation to a thermal Diffusion Factor in a 3-component mixture was derived analytically and was found to be the same as the binary thermal Diffusion Factor. Relative errors between exact and the approximation of the thermal Diffusion Factor in a 3-component argon 36–38-40 isotope mixture were less than −0.01.
Ke Tang - One of the best experts on this subject based on the ideXlab platform.
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latent jump Diffusion Factor estimation for commodity futures
Journal of Commodity Markets, 2018Co-Authors: M A H Dempster, Elena Medova, Ke TangAbstract:Abstract We introduce a new methodology to estimate the latent Factors of a jump Diffusion illustrated with an application to the commodity futures term structure. Specifically, we propose a new state space form and then use a modified Kalman filter to estimate models with latent jump-Diffusion Factors. The method is applied to oil and copper futures prices to pin down long and short term jumps in their futures term structure. Estimates of jump arrival times indicate that both important information surprises and market activities generate jumps of different intensities.
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latent jump Diffusion Factor estimation for commodity futures
Social Science Research Network, 2015Co-Authors: M A H Dempster, Elena Medova, Ke TangAbstract:We introduce a new methodology to estimate the latent Factors of a multivariate jump Diffusion process illustrated with an application to the commodity futures term structure. Specifically, we propose a new state space form and then use a modified Kalman filter to estimate models with latent jump-Diffusion Factors. The method is applied to oil and copper futures prices to pin down long and short term jumps in their futures term structure. Estimates of jump arrival times indicate that both important information surprises and market activities generate jumps of different intensities.
Hiroshi Yamakawa - One of the best experts on this subject based on the ideXlab platform.
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thermal Diffusion Factor for diatomic gas mixture in multicomponent system
Journal of Nuclear Science and Technology, 2000Co-Authors: Hiroshi Yamakawa, Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Thermal Diffusion Factor for diatomic gas mixture was expressed in a practical form applicable to multi- component mixture. Thermal Diffusion Factor for diatomic gas mixtures was obtained directly from thermal Diffusion coefficient in multicomponent mixture by using the relation between thermal Diffusion coefficient and thermal Diffusion Factor, and was shown to be the same as that derived by Mason et al. through a “generalized Stefan-Maxwell equation”. The present expression gives a theoretical proof of the previously reported rough estimate of thermal Diffusion Factor for hydrogen binary mixtures. Comparing with the present expression for H2-HT binary gas mixture, we have found that the previously reported expression for thermal Diffusion Factor overestimates in a temperature range from 50 to 1,200 K, but the difference between the previous and the present expressions is small. The present expression is essential to the separative analyses of thermal Diffusion column for diatomic gas mixture in multicom...
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thermal Diffusion Factor for diatomic gas mixture in multicomponent system
Journal of Nuclear Science and Technology, 2000Co-Authors: Hiroshi Yamakawa, Noboru Kobayashi, Youichi Enokida, Ichiro YamamotoAbstract:Thermal Diffusion Factor for diatomic gas mixture was expressed in a practical form applicable to multi- component mixture. Thermal Diffusion Factor for diatomic gas mixtures was obtained directly ...
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explicit approximation to thermal Diffusion Factor in isotopic 3 component mixture
Journal of Nuclear Science and Technology, 1997Co-Authors: Noboru Kobayashi, Hiroshi Yamakawa, Ichiro YamamotoAbstract:When a gas mixture consists of isotopes and squares of relative mass differences among the isotopes are small enough to be negligible, an approximation to a thermal Diffusion Factor in a 3-component mixture was derived analytically and was found to be the same as the binary thermal Diffusion Factor. Relative errors between exact and the approximation of the thermal Diffusion Factor in a 3-component argon 36–38-40 isotope mixture were less than −0.01.
Sebastien Lleo - One of the best experts on this subject based on the ideXlab platform.
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Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
SIAM Journal on Control and Optimization, 2013Co-Authors: Mark H A Davis, Sebastien LleoAbstract:In this article we extend our earlier work on the jump-Diffusion risk-sensitive asset management problem in a Factor model [SIAM J. Financial Math., 2 (2011), pp. 22--54] by allowing jumps in both the Factor process and the asset prices, as well as stochastic volatility and investment constraints. In this case, the Hamilton--Jacobi--Bellman (HJB) equation is a partial integro-differential equation (PIDE). We are able to show that finding a viscosity solution to this PIDE is equivalent to finding a viscosity solution to a related PDE, for which classical results give uniqueness. With this in hand, a policy improvement argument and classical results on parabolic PDEs show that the HJB PIDE admits a unique smooth solution. The optimal investment strategy is given by the feedback control that minimizes the Hamiltonian function appearing in the HJB PIDE.
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jump Diffusion risk sensitive asset management i Diffusion Factor model
Siam Journal on Financial Mathematics, 2011Co-Authors: Mark H A Davis, Sebastien LleoAbstract:This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary Diffusion Factor process. The criterion, following earlier work by Bielecki, Pliska, Nagai, and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constraint on variance). By using a change of measure technique introduced by Kuroda and Nagai we show that the problem reduces to solving a certain stochastic control problem in the Factor process, which has no jumps. The main result of this paper is to show that the risk-sensitive jump-Diffusion problem can be fully characterized in terms of a parabolic Hamilton-Jacobi-Bellman PDE rather than a partial integro-differential equation, and that this PDE admits a classical $(C^{1,2})$ solution.
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Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
arXiv: Portfolio Management, 2010Co-Authors: Mark H A Davis, Sebastien LleoAbstract:In this article we extend earlier work on the jump-Diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the Factor process and the asset prices, as well as stochastic volatility and investment constraints. In this case, the HJB equation is a partial integro-differential equation (PIDE). By combining viscosity solutions with a change of notation, a policy improvement argument and classical results on parabolic PDEs we prove that the HJB PIDE admits a unique smooth solution. A verification theorem concludes the resolution of this problem.