On Geometric Ergodicity of Skewed - SVCHARME models

Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by hidden Markov Chain with switching

Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process. The latter is a continuous time GARCH process introduced by the authors (2004). Many features are shown to be shared by both processes, but differences are pointed out as well. Furthermore, it is shown that the COGARCH process has Pareto like tails under weak regularity conditions

A Robust Solution Procedure for Hyperelastic Solids with Large Boundary Deformation

Compressible Mooney-Rivlin theory has been used to model hyperelastic solids, such as rubber and porous polymers, and more recently for the modeling of soft tissues for biomedical tissues, undergoing large elastic deformations. We propose a solution procedure for Lagrangian finite element discretization of a static nonlinear compressible Mooney-Rivlin hyperelastic solid. We consider the case in which the boundary condition is a large prescribed deformation, so that mesh tangling becomes an obstacle for straightforward algorithms. Our solution procedure involves a largely geometric procedure to untangle the mesh: solution of a sequence of linear systems to obtain initial guesses for interior nodal positions for which no element is inverted. After the mesh is untangled, we take Newton iterations to converge to a mechanical equilibrium. The Newton iterations are safeguarded by a line search similar to one used in optimization. Our computational results indicate that the algorithm is up to 70 times faster than a straightforward Newton continuation procedure and is also more robust (i.e., able to tolerate much larger deformations). For a few extremely large deformations, the deformed mesh could only be computed through the use of an expensive Newton continuation method while using a tight convergence tolerance and taking very small steps.Comment: Revision of earlier version of paper. Submitted for publication in Engineering with Computers on 9 September 2010. Accepted for publication on 20 May 2011. Published online 11 June 2011. The final publication is available at http://www.springerlink.co

Liouville integrability of a class of integrable spin Calogero-Moser systems and exponents of simple Lie algebras

In previous work, we introduced a class of integrable spin Calogero-Moser systems associated with the classical dynamical r-matrices with spectral parameter, as classified by Etingof and Varchenko for simple Lie algebras. Here the main purpose is to establish the Liouville integrability of these systems by a uniform method