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An infinite-dimensional model of liquidity in financial markets

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Probability, Uncertainty and Quantitative Risk 2021年第2期6卷 117-138页

作者： sergey v Lototsky Henry Schellhorn Ran Zhao Department of Mathematics University of Southern CaliforniaLos AngelesCA 90089USA Institute of Mathematical Sciences Claremont Graduate UniversityClaremontCA 91711USA Drucker School of Management Claremont Graduate UniversityClaremontCA 91711USA

We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order *** resulting net demand surface constitutes the sole input to the *** model demand using a two-parameter Brownian motion because(i)different points on the demand curve correspond to orders motivated by different information,and(ii)in general,the market price of risk equation of no-arbitrage theory has no solutions when the demand curve is driven by a finite number of factors,thus allowing for *** prove that if the driving noise is infinite-dimensional,then there is no arbitrage in the *** the equivalent martingale measure,the clearing price is a martingale,and options can be priced under the no-arbitrage *** consider several parameterizations of the model and show advantages of specifying the demand curve as a quantity that is a function of price,as opposed to price as a function of *** online appendix presents a basic empirical analysis of the model:calibration using information from actual order books,computation of option prices using Monte Carlo simulations,and comparison with observed data.

关键词： Liquidity modeling Brownian sheet Itô-Wentzell formula No-arbitrage condition Stochastic partial differential equations

Revolving scheme for solving a cascade of Abel equations in dynamics of planar satellite rotation

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Theoretical & Applied Mechanics Letters 2017年第3期7卷 175-178页

作者： sergey v. Ershkov Sternberg Astronomical Institute M.V. Lomonosov's Moscow State University Moscow 119992 Russia

The main objective for this research was the analytical exploration of the dynamics of planar satellite rotation during the motion of an elliptical orbit around a planet. First, we revisit the results of J. Wisdom et al. （1984）, in which, by the elegant change of variables （considering the true anomaly f as the independent variable）, the governing equation of satellite rotation takes the form of an Abel ordinary differential equation （ODE） of the second kind, a sort of generalization of the Riccati ODE. We note that due to the special character of solutions of a Riccati-type ODE, there exists the possibility of sudden jumping in the magnitude of the solution at some moment of time. In the physical sense, this jumping of the Riccati-type solutions of the governing ODE could be associated with the effect of sudden acceleration[deceleration in the satellite rotation around the chosen principle axis at a definite moment of parametric time. This means that there exists not only a chaotic satellite rotation regime （as per the results of J. Wisdom et al. （1984））, but a kind of gradient catastrophe （Arnold, 1992） could occur during the satellite rotation process. We especially note that if a gradient catastrophe could occur, this does not mean that it must occur： such a possibility depends on the initial conditions. In addition, we obtained asymptotical solutions that manifest a quasi-periodic character even with the strong simplifying assumptions e → 0, p -- 1, which reduce the governing equation of J. Wisdom et al. （1984） to a kind of Beletskii＇s equation.

关键词： Beletskii's equation Satellite rotation Abel ODE Gradient catastrophe

A 96-antenna radioheliograph

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Research in Astronomy and Astrophysics 2014年第7期14卷 864-868页

作者： sergey v.Lesovoi Alexander T.Altyntsev Eugene F.Ivanov Alexey v.Gubin Institute of Solar-Terrestrial Physics

Here we briefly present some design approaches for a multifrequency 96-antenna radioheliograph. The configuration of the array antenna, transmission lines and digital receivers is the main focus of this work. The radioheliograph is a T-shaped centrally condensed radiointerferometer operating in the frequency range 4–8 *** justification for the choice of such a configuration is discussed. The signals from antennas are transmitted to a workroom by analog optical links. The dynamic range and phase errors of the microwave-over-optical signal are considered. The signals after downconverting are processed by digital receivers for delay tracking and fringe stopping. The required step of delay tracking and data rates are considered. Two 3-bit data streams（I and Q） are transmitted to a correlator with the transceivers embedded in Field Programmed Gate Array chips and with PCI Express cables.

关键词： telescopes -- instrumentation: interferometers -- Sun: radio radiation

Zircon Xenocrysts from the Shaka Ridge Record Ancient Continental Crust:New U-Pb Geochronological and Oxygen Isotopic Data

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Journal of Earth Science 2022年第1期33卷 5-16页

作者： sergey G.Skublov Natalia A.Rumyantseva Qiuli Li Boris G.vanshtein Dmitriy I.Rezvukhin Xianhua Li Institute of Precambrian Geology and Geochronology of Russian Academy of Sciences St.Petersburg 199034Russia Saint Petersburg Mining University St.Petersburg 199106Russia Institute for Geology and Mineral Resources of the World Ocean(vNIIOkeangeologia) St.Petersburg 190121Russia State Key Laboratory of Lithospheric Evolution Institute of Geology and GeophysicsChinese Academy of SciencesBeijing 100029China Sobolev Institute of Geology and Mineralogy Siberian Branch of the Russian Academy of SciencesNovosibirsk 630090Russia

Over the past two decades, a significant number of discoveries of ancient zircon xenocrysts in ocean-floor magmatic rocks have been reported. These findings provide compelling evidence for the presence of ancient continental crust within young oceanic lithosphere. Almost all finds of ancient zircon xenocrysts within oceanic crust are from the Mid-Atlantic Ridge. For other localities, however, similar data are very limited. This report presents the first age determinations(U-Pb, SHRIMPII) and isotope-geochemical data(oxygen, trace and rare earth elements) for zircon xenocrysts from gabbro-diorites of the Shaka Ridge, in the vicinity of the Shaka fracture zone, near the western end of the Southwest Indian Ridge. The work is based on a study of bottom rock material dredged during expeditionary research on the R/v"Akademik Fedorov"(Russia) in 2016. The U-Pb isotope system of the zircon xenocrysts recorded a crystallization age of ~2.8 Ga at an upper discordia intercept and an age of ~600 Ma interpreted as the timing of a superimposed thermal event at a lower discordia *** zircon xenocrysts show geochemical signatures of magmatic origin, i.e., fractionated REE distribution spectra with an increase in chondrite-normalized values from light to heavy REE, positive Ce anomalies and negative Eu anomalies, and high Th/U ratios(0.59-7.77). In discrimination diagrams based on a series of inter-element relationships, zircon compositions fall into the fields of zircons from rocks of continental crust, mostly granitoids. The Li content of the zircons is high(1.8 ppm-50 ppm),adding further evidence to their derivation from rocks of continental crust. During their residence within young oceanic crust, the zircon xenocrysts experienced alterations under the influence of submarine high-temperature hydrothermal fluids, which selectively affected the distribution of trace elements in the zircons and reduced the δ;O values to 1.75‰-3.15‰. The presence of obviously older zircons

关键词： zircon U-Pb geochronology oxygen isotopes trace elements rare earth elements Shaka Ridge South Atlantic Southwest Indian Ridge

A new insight into the nature of seasonal variations in coordinate time series of GPS sites located near active faults

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Frontiers of Earth Science 2016年第3期10卷 560-569页

作者： sergey v. TROFIMENKO victor G. BYKOv Nikolay v. SHESTAKOv Nikolay N. GRIB Hiroaki TAKAHASHI Institute of Tectonics and Geophysics Far Eastern Branch Russian Academy of Sciences Khabarovsk 680000 Russia North-Eastern Federal University Neryungri 678960 the Republic of Sakha (Yakutia) Russia Institute for Applied Mathematics Far Eastern Branch Russian Academy of Sciences Vladivostok 690041 Russia Far Eastern Federal University Vladivostok 690041 Russia Institute of Seismology and volcanology Graduate School of Science Hokkaido University Sapporo 060-0810 Japan

This study provides new insights into the nature of seasonal variations in coordinate time series of GPS sites located near active faults and methods of their modeling. Monthly averaged coordinate time series were analyzed for several pairs of collocated GPS sites situated near the active fault intersection area, in close proximity to the central part of the northern boundary of the Amurian plate and the vicinity of the San Andreas Fault zone. It is concluded that the observed seasonal variations are best described by a breather function which is one of the solutions of the well-known sine-Gordon equation. The obtained results suggest that, in this case, the source of seasonal variations may be caused by the appearance of solitary strain waves in the fault intersection system, which may be qualitatively treated as standing waves of compression-extension of the geological medium. Based on statistical testing, the limits of applicability of the suggested model have been established.

关键词： space geodetic surveys oscillatory move-ments of crustal blocks seasonal variations Amurianmicroplate

Synthesis, X-ray structure and luminescent properties of Sm^(3+) ternary complex with novel heterocyclic β-diketone and 1,10-phenanthroline (Phen)

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Journal of Rare Earths 2011年第8期29卷 719-722页

作者： Ilya v. Taydakov Boris E. Zaitsev sergey S. Krasnoselskiy Zoya A. Starikova G. S. Petrov Institute of Plastics JSC Perovskiy proezd 35 Moscow 111024 Russian Federation People's Friendship University of Russia A. N. Nesmeyanov Institute of Organoelement Compounds Russian Academy of Sciences

A new neutral ternary samarium complex Sm（Phen）HL3 in which Phen is 1,10-phenanthroline and HL is （1,3-bis（1,3-dimethyl-1H-pyrazol-4-yl）-1,3-propanedione） was synthesized. Molecular structure of this complex was determined by X-ray diffraction. Under Uv-light this complex is demonstrated bright red luminescence （λmax=647 nm）, which was corresponding to the electric dipole 4G5/2→6H9/2 transition in Sm3＋ ion. Uv-absorption, excitation and emission spectra of the title compound were investigated.

关键词： samarium pyrazole β-diketone crystal structure photoluminescence rare earths

Milliwatt terahertz harmonic generation from topological insulator metamaterials

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Light(Science & Applications) 2022年第11期11卷 2766-2773页

作者： Klaas-Jan Tielrooij Alessandro Principi David Saleta Reig Alexander Block Sebin varghese Steffen Schreyeck Karl Brunner Grzegorz Karczewski Igor Ilyakov Oleksiy Ponomaryov Thales v.A.G.de Oliveira Min Chen Jan-Christoph Deinert Carmen Gomez Carbonell Sergio O.valenzuela Laurens W.Molenkamp Tobias Kiessling Georgy v.Astakhov sergey Kovalev Catalan Institute of Nanoscience and Nanotechnology(ICN2) BIST and CSICCampus UABBellaterraBarcelona 08193Spain Department of Applied Physics TU EindhovenDen Dolech 25612 AZ EindhovenThe Netherlands School of Physics and Astronomy University of ManchesterM139PL ManchesterUK Physikalisches Institut(EP3) Universitat WurzburgAm Hubland97074 WurzburgGermany Institute of Physics Polish Academy of ScienceAl.Lotnikow 32/46PL-02668 WarsawPoland Helmholtz Zentrum Dresden-Rossendorf Bautzner Landstr.40001328 DresdenGermany ICREA Pg.Lluis Companys 2308010 BarcelonaSpain Institute for Topological Insulators Am HublandD-97074 WurzburgGermany

Achieving effcient,high-power harmonic generation in the terahertz spectral domain has technological applications,for example,in sixth generation(6G)communication *** Dirac fermions possess extremely large terahertz nonlinear susceptibilities and harmonic conversion ***,the observed maximum generated harmonic power is limited,because of saturation effects at increasing incident powers,as shown recently for ***,we demonstrate room-temperature terahertz harmonic generation in a Bi_(2)Se_(3) topological insulator and topological-insulator-grating metamaterial structures with surface-selective terahertz field *** obtain a third-harmonic power approaching the miliwatt range for an incident power of 75 mW-an improvement by two orders of magnitude compared to a benchmarked graphene *** establish a framework in which this exceptional performance is the result of thermodynamic harmonic generation by the massless topological surface states,benefiting from ultrafast dissipation of electronic heat via surface-bulk Coulomb *** results are an important step towards on-chip terahertz(opto)electronic applications.

关键词： harmonic insulator incident

Dynamic interaction between clustered liquid propellant rocket engines under their asynchronous start-ups

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Propulsion and Power Research 2021年第4期10卷 347-359页

作者： sergey I.Dolgopolov Olexiy D.Nikolayev Nataliia v.Khoriak Institute of Technical Mechanics of the National Academy of Sciences of Ukraine and the State Space Agency of Ukraine 15Leshko-Popel Str.Dnepr49600Ukraine

A nonlinear mathematical model of the low-frequency dynamics of the clustered multi-engine rocket propulsion system has been developed and the computations of the engine transient processes during the start-ups of the four-engine propulsion system with a shared feed system have been made *** on propulsion system start-up modeling the influence of the connectivity of engines in a cluster on the starting characteristics of individual engines is *** particular,an advanced nonlinear mathematical model of the pump cavitation phenomena is a distinctive feature of the mathematical *** computation results showed that the asynchronous engines start-ups during rocket lift-off lead to severely nonlinear engine transients and clustered engine thrust *** influence of the rocket engines asynchronous start-ups on the clustered feed system transients depends on many factors,mainly on from the clustered feed system low-frequency dynamics,the magnitude of the disturbance and the phase difference between disturbances acting on different branches of the feed *** deep lingering dips in the flow rate and pressure transients are possible due to the nonlinear dynamic interaction of the *** case of great pressure dips at the pump inlet(up to the pressure of saturated vapors during significant periods of start-up time)the cavitation breakdowns of the pumps of one or more engines from the cluster are *** can disrupt the operation of the entire propulsion system and leads to the failure of the launch vehicle mission.

关键词： Liquid propellant rocket engine Clustered engine thrust misbalance Nonlinear mathematical model Start-up transient Pump cavitation model Low-frequency processes Start-up sequence Shared feed system

ITO-free silicon-integrated perovskite electrochemical cell for light-emission and light-detection

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Opto-Electronic Advances 2023年第9期6卷 45-58页

作者： Maria Baeva Dmitry Gets Artem Polushkin Aleksandr vorobyov Aleksandr Goltaev vladimir Neplokh Alexey Mozharov Dmitry vKrasnikov Albert GNasibulin Ivan Mukhin sergey Makarov Alferov University Khlopina 8/3St.Petersburg 194021Russia Department of Physics and Engineering ITMO UniversityLomonosova 9St.Petersburg 197101Russia Institute of Automation and Control Processes(IACP) Far Eastern Branch of Russian Academy of SciencesUlitsa Radio 5Vladivostok 690041Primorsky KraiRussia Peter the Great St.Petersburg Polytechnic University Polytechnicheskaya 29St.Petersburg 195251Russia Skolkovo Institute of Science and Technology Nobel 3Moscow 121205Russia Qingdao Innovation and Development Center Harbin Engineering UniversityQingdao 266000China.

Halide perovskite light-emitting electrochemical cells are a novel type of the perovskite optoelectronic devices that differs from the perovskite light-emitting diodes by a simple monolayered ***,we develop a perovskite electrochemical cell both for light emission and detection,where the active layer consists of a composite material made of halide perovskite microcrystals,polymer support matrix,and added mobile *** perovskite electrochemical cell of CsPbBr3:PEO:LiTFSI composition,emitting light at the wavelength of 523 nm,yields the luminance more than 7000 cd/m2 and electroluminescence efficiency of 4.3 lm/*** device fabricated on a silicon substrate with transparent single-walled carbon nanotube film as a top contact exhibits 40%lower Joule heating compared to the perovskite optoelectronic devices fabricated on conventional ITO/glass ***,the device operates as a photodetector with a sensitivity up to 0.75 A/W,specific detectivity of 8.56×1011 Jones,and linear dynamic range of 48 *** technological potential of such a device is proven by demonstration of 24-pixel indicator display as well as by successful device miniaturization by creation of electroluminescent images with the smallest features less than 50μm.

关键词： composite inorganic halide perovskite silicon single walled carbon nanotubes light-emitting electrochemical cell photodetector indicator display