Oneand two-factor models of the term structure of interest rates analysed by Babbs and Nowman are applied to the UK gilt-edged market. The two factors are identified with shortand long-term economic ‘news’ streams which may be correlated and effect the yield curve. Examples of short-term economic ‘news’ may include ‘rumours’ of interest rate decisions from the new Monetary Policy Committee of t...

We investigate analytical methods to predict the long-time cumulative eects of noise perturbations on nonlinear dynamical systems. The study of such perturbations addresses the problem of the global stability of nonlinear systems with multiple coexisting attractors. Indeed small random perturbations can cause large excursions of the system from a nominal steady state, and hence induce transitio...

This document deals with a method for eigenvalue extraction for the analysis of structures with viscoelastic materials. A generalized Maxwell model is used to model linear viscoelasticity. Such kind of model necessitates a state-space formulation to perform eigenvalue analysis with standard solvers. This formulation is very close to ADF formulation. The use of several materials on the same stru...

The aim of this paper is to propose a new approach interweaving preference elicitation and search to solve multiobjective optimization problems. We present an interactive search procedure directed by an aggregation function, possibly non-linear (e.g. an additive disutility function, a Choquet integral), defining the overall cost of solutions. This function is parameterized by weights that are i...

This paper introduces an efficient numerical algorithm for transient analysis of deterministic and stochastic Petri nets (DSPNs) and other discrete-event stochastic systems with exponential and deterministic events. The proposed approach is based on the analysis of a general state space Markov chain (GSSMC) whose state equations constitute a system of multidimensional Fredholm integral equation...

In this paper a new -type delay acquisition/tracking appro/ ach is proposed which is based on partitioning of the PN-code matrix of the CDMA users into submatrices which are then used to form a 'state-space' -type linear combiner. The proposed / novel formulation and approach is robust to modelling errors such as overand underestimation of the number of signals present and provides a powerful r...

We study the linear quadratic control problem from a representation-free point of view, and we show that this formulation brings forth two self-contained and original proofs of the optimality of state feedback control laws; these proofs which do not depend on an a priori state-space representation. Moreover, we show an orthogonality property characterizing the set of optimal trajectory of a LQ-...

Active fault detection consists of finding an auxiliary input signal the use of which allows detection of the masked faults using a multi-model framework in continuous or discretetime cases. In this paper, a modified approach to optimal auxiliary signal design in robust fault detection based on a multi-model formulation of healthy and faulty systems is used to study the problem of active fault ...

The usual formulation of quantum theory is based on rather obscure axioms (employing complex Hilbert spaces, Hermitean operators, and the trace formula for calculating probabilities). In this paper it is shown that quantum theory can be derived from five very reasonable axioms. The first four of these axioms are obviously consistent with both quantum theory and classical probability theory. Axi...

An action having an acceleration term in addition to the usual velocity term is analyzed. The quantum mechanical system is directly defined for Euclidean time using the path integral. The Euclidean Hamiltonian is shown to yield the acceleration Lagrangian and the path integral with the correct boundary conditions. Due to the acceleration term, the state space depends on both position and veloci...