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The statutory patent length is 20 years in most countries. R&D-based growth models, however, often presume an infinite patent length. In this paper, finite-length patents are embedded in a non-scale R&D-based growth model, while allowing any patent's effective life to be terminated prematurely, subject to two idiosyncratic hazards from imitation and creative destruction. This gives rise to an autonomous system of mixed-type functional differential equations (FDEs) that had never been encountered in the growth literature. Its dynamics are driven by current, delayed and advanced states. We present a relaxation algorithm to solve these FDEs by solving a sequence of standard boundary value problems for systems of ordinary differential equations. We use this algorithm to simulate a calibrated U.S. economy's transitional dynamics by making discrete changes from the baseline 20 years patent length. We find that if transitional impacts are taken into account, the switch to the long-run optimal patent length can incur a welfare loss, albeit rather small. [ABSTRACT FROM AUTHOR]

We test the efficiency of the financial market using the daily prices of the US and German sovereign debts between July 1, 2002 and December 31, 2011. This allowed us to test the efficiency during the pre-crisis, financial and sovereign debt crises periods. We extend the variance bound test of Fakhry & Richter (2015) using a GJR-GARCH model. This hints at our contribution, i.e., the inclusion of the asymmetrical effect in the variance bound test. Our tests produced mixed results, pointing at the markets being too volatile to be efficient. Interestingly, the addition of the asymmetrical effect led to a reduction in the EMH test statistics based on the results from Fakhry & Richter (2015) and hence may have had an impact on the efficiency of the market. Conversely, this is more appropriate to speak of bounded rationality than irrationality. A key conclusion of the paper is it hints at the use of a switching GARCH model as an alternative to the GJR-GARCH. Therefore, a prospective future research could be the use of a switching GARCH model to analyse the different impact of high and low volatility regimes on market. Given our key conclusions, another prospective is the use of sovereign debt indices instead of the issued sovereign debts. [ABSTRACT FROM AUTHOR]

This paper deals with the efficient valuation of American options. We adopt Heston's approach for a model of stochastic volatility, leading to a generalized Black–Scholes equation called Heston's equation. Together with appropriate boundary conditions, this can be formulated as a parabolic boundary value problem with a free boundary, the optimal exercise price of the option. For its efficient numerical solution, we employ, among other multiscale methods, a monotone multigrid method based on linear finite elements in space and display corresponding numerical experiments. [ABSTRACT FROM PUBLISHER]

Abstract For future engines to become more efficient, with enhanced fuel economy and increased power output, accurate prediction of new designs is required over the full lifetime of an engine. The analysis uses of a local pressure coefficient of boundary shear strength of asperities value, taking into account the localised effects of surface texture, coating and surface deposition. XPS spectra analysis was also carried out to identify the surface depositions as a result of combustion, not previously taken into account during piston ring pack simulation. It was found that piston varnish on the liner corresponded to higher values of the pressure coefficient of boundary shear strength of asperities, showing the importance of using real system components run under representative operating conditions. Highlights • The paper presents measurements of ς from a used real cylinder liner surface. • XPS is used to identify chemical composition of liner surface regions. • Depositions and tribo-films on the liner surface are characterised. • Results show that boundary friction is dependent on the by-products of combustion over time. • Simulation shows that results for friction can vary by 30% at peak combustion pressure. [ABSTRACT FROM AUTHOR]

This paper is concerned with regime-switching American option pricing. We develop new numerical schemes by extending the penalty method approach and by employing the θ-method. With regime-switching, American option prices satisfy a system of m free boundary value problems, where m is the number of regimes considered for the market. An (optimal) early exercise boundary is associated with each regime. Straightforward implementation of the θ-method would result in a system of nonlinear equations requiring a time-consuming iterative procedure at each time step. To avoid such complications, we implement an implicit approach by explicitly treating the nonlinear terms and/or the linear terms from other regimes, resulting in computationally efficient algorithms. We establish an upper bound condition for the time step size and prove that under the condition the implicit schemes satisfy a discrete version of the positivity constraint for American option values. We compare the implicit schemes with a tree model that generalizes the Cox-Ross-Rubinstein (CRR) binomial tree model, and with an analytical approximation solution for two-regime case due to Buffington and Elliott. Numerical examples demonstrate the accuracy and stability of the new implicit schemes. [ABSTRACT FROM AUTHOR]

An American put option is a derivative financial instrument that gives its holder the right but not the obligation to sell an underlying security at a pre-determined price. American options may be exercised at any time prior to expiry at the discretion of the holder, and the decision as to whether or not to exercise leads to a free boundary problem. In this paper, we examine the behavior of the free boundary close to expiry. Working directly with the underlying PDE, by using asymptotic expansions, we are able to deduce this behavior of the boundary in this limit. [ABSTRACT FROM AUTHOR]

Summary: Levee underseepage analyses are commonly performed to assess the risk of erosion and piping of levee foundation soils. They are also commonly used to estimate the quantity of seepage that is expected to pass beneath a levee over time, and to assess the risk of excessively high pore pressures at various points in the foundation. A variety of approaches have historically been utilized to perform steady-state underseepage analyses in levees, including flow-nets, closed-form analytical solutions, and numerical techniques such as finite difference or finite element analyses. This paper provides a derivation of a series of closed-form “blanket theory” analytical equations that can be used to perform a levee underseepage analysis. This derivation starts from a generic confined flow analytical solution, of the type that is common in groundwater flow analyses. The solution is then extended to simulate semiconfined flow beneath a levee in a shallow aquifer. Equations are presented for calculating total head and seepage quantity values for different model boundary conditions. A typical example problem is used to compare the analytical equations that are derived with the analytical equations that are presented in the US Army Corps of Engineers (USACE) levee design manual. The results provide validation for both the equations that are presented and the conventional USACE analytical design approach. Using the results from the example problem, general guidance and suggestions are provided for designers that use closed-form analytical approaches for modeling levee underseepage. [Copyright &y& Elsevier]

A vexing conundrum that has hindered the development of a high-altitude heavy-lift pumpkin balloon system is the system's ability to reliably deploy into the desired symmetric shape. With design strategies honed by empirical results from inflation tests in 2007 using 27-m-diam 200-gore pumpkin balloons, NASA's Balloon Program Office executed successful pumpkin deployments in 2008: Flight 586-NT, a 2 million cubic foot 200-gore design, and Flight 591-NT, a 6 million ft³ 200-gore design. Earlier stability analysis of strained symmetric float shapes yielded partial information regarding deployment. Balloons that were found to have a large number of unstable modes at float conditions were found also to have deployment problems. The question remained, what was the minimum pressure at which a pumpkin balloon would deploy into a cyclically symmetric shape (not necessarily the fully developed one)? Careful examination of a family of axisymmetric ascent shapes revealed a correlation between differential pressure and the number of unstable modes. In this paper, criteria that can be used to estimate the deployment pressure is presented. To bound the problem, fixed-, constrained-, and free-boundary conditions are considered for the top endplate fitting. It was found that the stability results using the fixed and constrained conditions are nearly identical, and so the strategy for estimating the deployment pressure, called the deployment pathway portrait, is as follows. The deployment pressure PDep is defined as the smallest nadir pressure where the top-free boundary condition yields two unstable modes and the top-fixed boundary condition yields no unstable modes. The approach is validated by comparing analytical predictions of deployment pressures based on the deployment pathway portrait with the deployment pressures that were recorded during the inflation tests in 2007: Flight 586-NT and Flight 591-NT. Very good agreement between the observed deployment pressures and the analytical predictions was found. This is the first analytical-based approach for estimating the deployment pressure. [ABSTRACT FROM AUTHOR]

Abstract: Glider observations were essential components of the observational program in the Autonomous Ocean Sampling Network (AOSN-II) experiment in the Monterey Bay area during summer of 2003. This paper is focused on the impact of the assimilation of glider temperature and salinity observations on the Navy Coastal Ocean Model (NCOM) predictions of surface and subsurface properties. The modeling system consists of an implementation of the NCOM model using a curvilinear, orthogonal grid with 1–4km resolution, with finest resolution around the bay. The model receives open boundary conditions from a regional (9km resolution) NCOM implementation for the California Current System, and surface fluxes from the Coupled Ocean–Atmosphere Mesoscale Prediction System (COAMPS) atmospheric model at 3km resolution. The data assimilation component of the system is a version of the Navy Coupled Ocean Data Assimilation (NCODA) system, which is used for assimilation of the glider data into the NCOM model of the Monterey Bay area. The NCODA is a fully 3D multivariate optimum interpolation system that produces simultaneous analyses of temperature, salinity, geopotential, and vector velocity. Assimilation of glider data improves the surface temperature at the mooring locations for the NCOM model hindcast and nowcasts, and for the short-range (1–1.5 days) forecasts. It is shown that it is critical to have accurate atmospheric forcing for more extended forecasts. Assimilation of glider data provided better agreement with independent observations (for example, with aircraft measured SSTs) of the model-predicted and observed spatial distributions of surface temperature and salinity. Mooring observations of subsurface temperature and salinity show sharp changes in the thermocline and halocline depths during transitions from upwelling to relaxation and vice versa. The non-assimilative run also shows these transitions in subsurface temperature; but they are not as well defined. For salinity, the non-assimilative run significantly differs from the observations. However, the glider data assimilating run is able to show comparable results with observations of thermocline as well as halocline depths during upwelling and relaxation events in the Monterey Bay area. It is also shown that during the relaxation of wind, the data assimilative run has higher value of subsurface velocity complex correlation with observations than the non-assimilative run. [Copyright &y& Elsevier]

MELCOR, SCDAP/RELAP5, MAAP4 are three representative U.S. computer codes that are being most widely used for the integral analysis of core melt accident progression and the resultant lower head response expected at the reactor lower plenum such as the accident that took place in the TMI-2: the first two are NRC codes and the last one is an industrial code. However, their capabilities in predicting core melt accident progression and lower head response differ substantially at each phase of the lower plenum accident progression, due to the different modeling assumptions involved in various initial and boundary conditions, different debris bed configurations and heat transfer correlations, different model parameters and numerical schemes. The main objectives of this paper are to give (1) some insights into the aforementioned questions through a qualitative comparison of functional aspects of the lower head models employed in the three U.S. severe accident codes and (2) some potential areas that should be taken into account for further modeling of the present lower head models. [Copyright &y& Elsevier]

This study analyzes simulated regional-scale ozone burdens both near the surface and aloft, estimates process contributions to these burdens, and calculates the sensitivity of the simulated regional-scale ozone burden to several key model inputs with a particular emphasis on boundary conditions derived from hemispheric or global-scale models. The Community Multiscale Air Quality (CMAQ) model simulations supporting this analysis were performed over the continental US for the year 2010 within the context of the Air Quality Model Evaluation International Initiative (AQMEII) and Task Force on Hemispheric Transport of Air Pollution (TF-HTAP) activities. CMAQ process analysis (PA) results highlight the dominant role of horizontal and vertical advection on the ozone burden in the mid-to-upper troposphere and lower stratosphere. Vertical mixing, including mixing by convective clouds, couples fluctuations in freetropospheric ozone to ozone in lower layers. Hypothetical bounding scenarios were performed to quantify the effects of emissions, boundary conditions, and ozone dry deposition on the simulated ozone burden. Analysis of these simulations confirms that the characterization of ozone outside the regional-scale modeling domain can have a profound impact on simulated regional-scale ozone. This was further investigated by using data from four hemispheric or global modeling systems (Chemistry -- Integrated Forecasting Model (C-IFS), CMAQ extended for hemispheric applications (HCMAQ), the Goddard Earth Observing System model coupled to chemistry (GEOS-Chem), and AM3) to derive alternate boundary conditions for the regional-scale CMAQ simulations. The regional-scale CMAQ simulations using these four different boundary conditions showed that the largest ozone abundance in the upper layers was simulated when using boundary conditions from GEOS-Chem, followed by the simulations using C-IFS, AM3, and H-CMAQ boundary conditions, consistent with the analysis of the ozone fields from the global models along the CMAQ boundaries. Using boundary conditions from AM3 yielded higher springtime ozone columns burdens in the middle and lower troposphere compared to boundary conditions from the other models. For surface ozone, the differences between the AM3- driven CMAQ simulations and the CMAQ simulations driven by other large-scale models are especially pronounced during spring and winter where they can reach more than 10 ppb for seasonal mean ozone mixing ratios and as much as 15 ppb for domain-averaged daily maximum 8 h average ozone on individual days. In contrast, the differences between the C-IFS-, GEOS-Chem-, and H-CMAQ-driven regional-scale CMAQ simulations are typically smaller. Comparing simulated surface ozone mixing ratios to observations and computing seasonal and regional model performance statistics revealed that boundary conditions can have a substantial impact on model performance. Further analysis showed that boundary conditions can affect model performance across the entire range of the observed distribution, although the impacts tend to be lower during summer and for the very highest observed percentiles. The results are discussed in the context of future model development and analysis opportunities. [ABSTRACT FROM AUTHOR]

Research summary: This study replicates Dushnitsky and Shaver (2009) in an institutional setting different from the United States, that is, the European venture capital market. We highlight the role played by this switch of boundary condition in influencing how legal defenses protect new ventures' knowledge from misappropriation and encourage the formation of ties between these ventures and same-industry corporate venture capitalists. Furthermore, we consider timing and social defenses and their interactions with legal defenses in Europe. Our results indicate that the use of legal and other defenses by new ventures does vary, depending on the characteristics of the institutional context. Managerial summary: In this study, we focus attention on the formation of corporate venture capital (CVC) ties in Europe. We highlight that the institutional context of the European venture capital market differs from the one in the United States, and this difference influences how legal defenses protect new ventures' knowledge from misappropriation and encourage the formation of ties between these ventures and same-industry CVCs. We also consider the protection offered to new ventures by postponing CVC ties to later stages and by affiliation with prominent independent VCs. We show that, in Europe, these protections are less effective than in the United States. However, the protection provided by legal defenses is reinforced when new ventures are affiliated with prominent independent VCs. Copyright © 2016 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

Time series of U.S. daily heavy precipitation (95th percentile) are analyzed to determine factors responsible for regionality and seasonality in their 1979-2013 trends. For annual conditions, contiguous U.S. trends have been characterized by increases in precipitation associated with heavy daily events across the northern United States and decreases across the southern United States. Diagnosis of climate simulations (CCSM4 and CAM4) reveals that the evolution of observed sea surface temperatures (SSTs) was a more important factor influencing these trends than boundary condition changes linked to external radiative forcing alone. Since 1979, the latter induces widespread, but mostly weak, increases in precipitation associated with heavy daily events. The former induces a meridional pattern of northern U.S. increases and southern U.S. decreases as observed, the magnitude of which closely aligns with observed changes, especially over the south and far west. Analysis of model ensemble spread reveals that appreciable 35-yr trends in heavy daily precipitation can occur in the absence of forcing, thereby limiting detection of the weak anthropogenic influence at regional scales. Analysis of the seasonality in heavy daily precipitation trends supports physical arguments that their changes during 1979-2013 have been intimately linked to internal decadal ocean variability and less so to human-induced climate change. Most of the southern U.S. decrease has occurred during the cold season that has been dynamically driven by an atmospheric circulation reminiscent of teleconnections linked to cold tropical eastern Pacific SSTs. Most of the northeastern U.S. increase has been a warm season phenomenon, the immediate cause for which remains unresolved. [ABSTRACT FROM AUTHOR]

This article reexamines whether significant income tax overwithholding in the United States can be explained as rational risk-neutral taxpayers trying to avoid underwithholding penalties when faced with uncertain tax liabilities. Starting with the important model developed by Highfill, Thorson, and Weber, we add interest accumulated on underwithheld income, consistent boundary conditions, and nominal penalty and opportunity costs. We then incorporate a relevant tax rule into the model. Finally, we consider alternative distributions of taxable income. Under these modifications, penalty avoidance generates refund rates only a quarter to a half of those observed in the United States in the 1980s and the 2000s. This suggests that penalty avoidance in a risk-neutral framework is not sufficient to explain the puzzling overwithholding behavior of US taxpayers. [ABSTRACT FROM AUTHOR]

A new radial basis functions (RBFs) algorithm for pricing financial options under Merton's jump-diffusion model is described. The method is based on a differential quadrature approach, that allows the implementation of the boundary conditions in an efficient way. The semi-discrete equations obtained after approximation of the spatial derivatives, using RBFs based on differential quadrature are solved, using an exponential time integration scheme and we provide several numerical tests which show the superiority of this method over the popular Crank–Nicolson method. Various numerical results for the pricing of European, American and barrier options are given to illustrate the efficiency and accuracy of this new algorithm. We also show that the option Greeks such as the Delta and Gamma sensitivity measures are efficiently computed to high accuracy. [ABSTRACT FROM PUBLISHER]

Using Bayesian Model Averaging (BMA), an attempt was made to obtain calibrated probabilistic numerical forecasts of 2-m temperature over Iran. The ensemble employs three limited area models (WRF, MM5 and HRM), with WRF used with five different configurations. Initial and boundary conditions for MM5 and WRF are obtained from the National Centers for Environmental Prediction (NCEP) Global Forecast System (GFS) and for HRM the initial and boundary conditions come from analysis of Global Model Europe (GME) of the German Weather Service. The resulting ensemble of seven members was run for a period of 6 months (from December 2008 to May 2009) over Iran. The 48-h raw ensemble outputs were calibrated using BMA technique for 120 days using a 40 days training sample of forecasts and relative verification data. The calibrated probabilistic forecasts were assessed using rank histogram and attribute diagrams. Results showed that application of BMA improved the reliability of the raw ensemble. Using the weighted ensemble mean forecast as a deterministic forecast it was found that the deterministic-style BMA forecasts performed usually better than the best member's deterministic forecast. [ABSTRACT FROM AUTHOR]

detailed climatology of the cyclogenesis over the Southern Atlantic Ocean (SAO) from 1990 to 1999 and how it is simulated by the RegCM3 (Regional Climate Model) is presented here. The simulation used as initial and boundary conditions the National Centers for Environmental Prediction-Department of Energy (NCEP/DOE) reanalysis. The cyclones were identified with an automatic scheme that searches for cyclonic relative vorticity (ζ) obtained from a 10-m height wind field. All the systems with ζ ≤ −1.5 × 10 s and lifetime equal or larger than 24 h were considered in the climatology. Over SAO, in 10 years were detected 2,760 and 2,787 cyclogeneses in the simulation and NCEP, respectively, with an annual mean of 276.0 ± 11.2 and 278.7 ± 11.1. This result suggests that the RegCM3 has a good skill to simulate the cyclogenesis climatology. However, the larger model underestimations (−9.8%) are found for the initially stronger systems (ζ ≤ −2.5 × 10 s). It was noted that over the SAO the annual cycle of the cyclogenesis depends of its initial intensity. Considering the systems initiate with ζ ≤ −1.5 × 10 s, the annual cycle is not well defined and the higher frequency occurs in the autumn (summer) in the NCEP (RegCM3). The stronger systems (ζ ≤ −2.5 × 10 s) have a well-characterized high frequency of cyclogenesis during the winter in both NCEP and RegCM3. This work confirms the existence of three cyclogenetic regions in the west sector of the SAO, near the South America east coast and shows that RegCM3 is able to reproduce the main features of these cyclogenetic areas. [ABSTRACT FROM AUTHOR]

A sensitivity study is performed to examine the impact of lateral boundary conditions (LBCs) on the NOAA-EPA operational Air Quality Forecast Guidance over continental USA. We examined six LBCS: the fixed profile LBC, three global LBCs, and two ozonesonde LBCs for summer 2006. The simulated results from these six runs are compared to IONS ozonesonde and surface ozone measurements from August 1 to 5, 2006. The choice of LBCs can affect the ozone prediction throughout the domain, and mainly influence the predictions in upper altitude or near inflow boundaries, such as the US west coast and the northern border. Statistical results shows that the use of global model predictions for LBCs could improve the correlation coefficients of surface ozone prediction over the US west coast, but could also increase the ozone mean bias in most regions of the domain depending on global models. In this study, the use of the MOZART (Model for Ozone And Related chemical Tracers) prediction for CMAQ (Community Multiscale Air Quality) LBC shows a better surface ozone prediction than that with fixed LBC, especially over the US west coast. The LBCs derived from ozonesonde measurements yielded better O3 correlations in the upper troposphere. [ABSTRACT FROM AUTHOR]

We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i,e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to the pricing of a portfolio of European call options, leading to analytical expressions for those cases where analytical European call prices are available (e.g., the Merton jump-diffusion process). Furthermore, in many settings, the approach yields upper and lower analytical bounds that probably converge to the true option price. We provide computational results to illustrate the convergence and accuracy of the resulting estimators. [ABSTRACT FROM AUTHOR]

An American passport option whose contingent claim is dependent on the balance of a trading account can be valued by solving a Hamilton-Jacobi-Bellman equation with free boundary. Here, we present the pricing problem for American passport option, as a sequence of linear complementarity problems, using the three-time level finite difference scheme, which typically is suitable for non-smooth payoffs and also applicable in case of large temporal grid size. The option price is obtained through this scheme for the non-symmetric case (when the risk-free rate is different from the cost of carry). It is observed that the numerical approach presented, results in solving the pricing problem using lesser number of grid points as compared to numerical approaches for this problem used previously while maintaining the accuracy of the prices obtained. [ABSTRACT FROM AUTHOR]