We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. For elliptically distributed asset variables, the asymptotic limits of default probabilities and default correlations depend on the max-domain of attraction of the asset variables. In the regularly varying case, we derive an integral r...

Studying Pukanszky's type III factor, M2, we show that it does not have the property of asymptotic abelianness and discuss how this property is related to property L. We also prove that there are no asymptotic abelian II factors. The extension (by ampliation) of central sequences in a finite factor, N, to M ® N is shown to be central. Also, we give two examples of the reduction (by equivalence)...

The statistical analysis of spatial data is usually done under Gaussian assumption for the underlying random field model. When this assumption is not satisfied, block bootstrap methods can be used to analyze spatial data. One of the crucial problems in this setting is specifying the block sizes. In this paper, we present asymptotic optimal block size for separate block bootstrap to estimate the...

The behaviour of turbulent, buoyant, planar plumes is fundamentally coupled to the environment within which they develop. effect a background stratification directly influences buoyancy and has been subject numerous studies. Conversely, an ambient co-flow, vertical momentum plume, not previously theoretical investigation. governing conservation equations for case uniform co-flow are derived loc...

In this Master's thesis, we consider the problem of mathematical modelling and computer simulations neuromuscular activation. We describe biological biochemical processes that result in a muscle contraction. For each them, derive model, established literature. particular, consider: Hodgkin-Huxley model neural transmission; reaction-diffusion for process neurotransmitter release synaptic gap bet...

Laboratory and field experiments have shown that dispersivity is one of the key parameters in contaminant transport in porous media and varies with elapsed time. This time-dependence can be shown using a time-variable dispersivity function. The advantage of this function as opposed to constant dispersivity is that it has at least two coefficients that increase the accuracy of the dispersivity p...

boujari [5] proved a fixed point theorem with an old version of the integraltype contraction , his proof is incorrect. in this paper, a new generalizationof integral type contraction is introduced. moreover, a fixed point theorem isobtained.