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In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point or more generally with respect to some subset. The representations rely on a reverse process connected with the given (forward) diffusion as introduced in Milstein, Schoenmakers and Spokoiny [Bernoulli 10 (2004) 281-312] in the context of a forward-reverse transition density estimator. The corresponding Monte Carlo estimators have essentially root-$N$ accuracy, and hence they do not suffer from the curse of dimensionality. We provide a detailed convergence analysis and give a numerical example involving the realized variance in a stochastic volatility asset model conditioned on a fixed terminal value of the asset., Comment: Published in at http://dx.doi.org/10.1214/13-AAP969 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Cf Article en Anglais dans Chemical Engineering & Technology, 1998, Vol 21, No 5, pp. 427-430.

This paper documents a new set of stylized facts on the joint distribution of labor and capital productivity across plants. We exploit panel data from Germany, Chile, Colombia and Indonesia and show that the basic patterns are similar in all economies. Decomposing factor productivities into high and low frequency movements, we reveal two new stylized facts. First, factor productivities are positively correlated at high frequency, while they are negatively correlated at low-frequency. Second, differences in factor productivity dispersions across countries are mostly at high frequency, while at low frequency the dissimilarity is rather small. We suggest a new structural explanation for productivity dispersions based on putty-clay technology. Our model implies the coexistence of different technologies at any point in time, which gives rise to productivity dispersions. We demonstrate that this model is able to explain our new stylized facts.

Systems for process automation become increasingly complex and also tend to be composed of autonomous subsystems, which is strongly driven by the progress made in information technology. An active field of research is the implementation of monitoring and control at sub-system level using cognitive approaches. In this paper we present a method for autonomous and sensorless condition monitoring of an electric drive train. Based on experiment design we measured phase currents of a physical demonstrator device including mechanical defects and extracted signal features using proper orthogonal decomposition. In favor of classification of different defect states we performed a linear discriminant analysis, which yields appropriate data for a Fuzzy-Pattern-Classification algorithm. As a result we were able to identify different reference defect states as well as previously unknown states.

The difference of the values of observables for the time-independent Schroedinger equation, with matrix valued potentials, and the values of observables for ab initio Born-Oppenheimer molecular dynamics, of the ground state, depends on the probability to be in excited states and the electron/nuclei mass ratio. The paper first proves an error estimate (depending on the electron/nuclei mass ratio and the probability to be in excited states) for this difference of microcanonical observables, assuming that molecular dynamics space-time averages converge, with a rate related to the maximal Lyapunov exponent. The error estimate is uniform in the number of particles and the analysis does not assume a uniform lower bound on the spectral gap of the electron operator and consequently the probability to be in excited states can be large. A numerical method to determine the probability to be in excited states is then presented, based on Ehrenfest molecular dynamics and stability analysis of a perturbed eigenvalue problem., 54 pages, 18 figures, Addition/Changes to the previous version: The Hamiltonian molecular dynamics is replaced by ergodic stochastic dynamics, the estimate of the error in observables is uniform in the number of particles, the numerical molecular dynamics method to determine the probability to be in excited states is parameter free, and a section on the WKB method for caustics is included

This paper examines the effects of changes in uncertainty of household income on the macroeconomy. Households face substantial idiosyncratic income risk that is up to two orders of magnitude larger than total factor productivity uncertainty, very persistent and varies substantially over the business cycle. We build a New Keynesian model with heterogeneous agents, where changes in precautionary savings due to time-varying uncertainty depress aggregate activity. With countercyclical markups through sticky prices, increased precautionary savings lower aggregate demand and generate significant output losses as the economy is demand-driven in the short-run. The decline in output is more severe, if the central bank is constrained by the zero lower bound. Our results imply that household income uncertainty may be an important factor in explaining the persistent decline of consumption during the Great Recession.

The state price density of a basket, even under uncorrelated Black-Scholes dynamics, does not allow for a closed from density. (This may be rephrased as statement on the sum of lognormals and is especially annoying for such are used most frequently in Financial and Actuarial Mathematics.) In this note we discuss short time and small volatility expansions, respectively. The method works for general multi-factor models with correlations and leads to the analysis of a system of ordinary (Hamiltonian) differential equations. Surprisingly perhaps, even in two asset Black-Scholes situation (with its flat geometry), the expansion can degenerate at a critical (basket) strike level; a phenomena which seems to have gone unnoticed in the literature to date. Explicit computations relate this to a phase transition from a unique to more than one "most-likely" paths (along which the diffusion, if suitably conditioned, concentrates in the afore-mentioned regimes). This also provides a (quantifiable) understanding of how precisely a presently out-of-money basket option may still end up in-the-money., Comment: Appeared in: Large Deviations and Asymptotic Methods in Finance, Springer proceedings in Mathematics & Statistics, Editors: Friz, P.K., Gatheral, J., Gulisashvili, A., Jacquier, A., Teichmann, J., 2015, with minor typos removed

We study the relationship between cyclical job and worker flows at the plant level using a new data set spanning from 1976-2006. We find that procyclical labor demand explains relatively little of procyclical worker flows. Instead, all plants in the employment growth distribution increase their worker turnover during booms. We also find that cyclical changes in the employment growth distribution are mostly driven by plants moving from inactivity to a growing labor force during booms. Consequently, increased labor turnover at growing plants is the main quantitative driver behind increased labor turnover during booms. We argue that on the job search models are able to capture non-parallel shifts in the employment growth distribution and procyclical conditional worker flows for a range of the growth distribution. Yet, they fail to rationalize procyclical accession rates for all shrinking and procylical separation rates for all growing plants.

In this contribution, a model of a drum motor is presented. This model was designed for description of dynamic behaviour of the drum motor as well as for the possible implementation of several wearing phenomena. Using this model, a better understanding of wear and tear phenomena has been achieved by carrying out a considerable number of simulation runs using different operational and wearing conditions. Using this information, important knowledge about detection of wearout signs was able to be gained. Often, mathematical models with different levels of detail are used. In these cases, it may be a difficult task to obtain reliable parameters. In this paper, we present three different approaches for establishing a model structure and for the determination of needed parameters. This way, we were able to define every part of the model with an appropriate level of detail and equip them with adequate parameter values.

We reassess the empirical effects of income and employment on self-reported well-being. Our analysis makes use of a two-step estimation procedure that allows us to apply instrumental variable regressions with ordinal observable data. As suggested by the theory of incomplete markets, we differentiate between the effects of persistent and transitory income shocks. In line with this theory, we find that persistent shocks have a significant impact on happiness while transitory shocks do not. This also has consequences for inference about the happiness effect of employment. We find that employment per se is associated with a nonsignificant decline in happiness. (JEL D12, D52, I31, J22)

Design of micro systems, MEMS or mechatronic systems is dominated by the interaction of effects from different physical domains. One important approach to decrease the number of design cycles significantly is system level modeling and simulation. The main challenges for the efficient use of modeling and simulation are a systematic approach for behavioral modeling, automated model generation as well as powerful simulation frameworks. Especially for the latter flexible handling of different models of computation is crucial.

What's known on the subject? and What does the study add? The prognosis of bladder cancer significantly depends on tumour stage and time of diagnosis so early diagnosis is desirable to decrease mortality and treatment costs. The NMP22 test is approved for clinical application by the Food and Drug Administration (FDA) of the US. Previous studies have reported values of 47-100% for sensitivity and 58-91% for specificity with this test, but there is no new data on the predictive value of NMP22 for screening bladder cancer (BC). The most important risk factor for BC is the tobacco consumption but occupational exposure to carcinogenic substances, especially aromatic amines, is regarded as another risk factor. The UroScreen study is a prospective longitudinal study for the early detection of BC. To our knowledge, it is the largest prospective validation study conducted over the longest period of time. The study results led us to conclude that, based on the currently available data, NMP22 should not be regarded as an alternative to endoscopy, and we could not make a general recommendation for screening or follow-up. The UroScreen results indicate that urine-based molecular markers could be a suitable addition to urine cytology and the detection of microhaematuria.To evaluate the value of nuclear matrix protein-22 (NMP22) in bladder cancer (BC) screening, and its effect on variables in a prospective study in a high-risk population.A total of 1772 chemical workers (mean age 62 years) exposed to carcinogenic aromatic amines were enrolled in the study. In all, 7091 screening check-ups in 1609 subjects were performed. Urine samples were collected for a quantitative NMP22 immunoassay, urine analysis and creatinine concentration assessment. Cystoscopy and subsequent transurethral resection were performed where there were suspicious findings.Histopathological analysis found three papillary urothelial neoplasms of low malignant potential, five recurrent BCs and 13 primary BCs. Three tumours were at a muscle-invasive stage (pT2, pT3a or pT3b). We found higher NMP22 concentrations (10 U/mL) in 224 patients, which correctly predicted BC in six cases (sensitivity 97.29%, specificity 28.57%; negative predictive value 99.04%, positive predictive value 12.24%). Gross haematuria affected NMP22 results (odd ratio [OR] 3.49, 95% confidence interval [CI] 1.81-6.73). Infection also affected NMP22 results (OR 4.13, 95% CI 2.31-7.35). NMP22 was more frequently positive in urine with creatinine concentration2.5 g/L (OR 1.61, 95% CI 0.91-2.86).NMP22 outcomes are affected by haematuria, infection and concentrated urine. NMP22 alone cannot be recommended for primary screening in a high-risk population nor as an alternative to cystoscopy during follow-up. A NMP22 test might be a useful adjunct to urine cytology.

Der 3D-Entwurf zielt auf eine Verringerung der raumlichen Ausdehnung von Baugruppen ab. Dies stellt jedoch gleichzeitig eine grose Herausforderung an das thermische Management dar. Bauelemente, die durch ihre elektrische Verlustleistung einen Warmeeintrag liefern, sind kompakter angeordnet. Die Stapelung von Chips mit thermischen Hotspots kann zu einer schlechteren Warmeableitung fuhren, was bei der Platzierung der Blocke auf den einzelnen Ebenen berucksichtigt werden muss. Um Spezifikationsvorgaben unter allen Betriebsbedingungen einhalten zu konnen, sind geeignete Masnahmen fur eine effektive Warmeabfuhr bereits wahrend der Designphase zu treffen. Im 3D-Entwurf bieten beispielsweise thermische Vias eine Moglichkeit, die Warmeleitung gezielt zu beeinflussen. Die thermische Analyse wird somit Bestandteil des Entwurfs und setzt entsprechende Randbedingungen fur das Layout und einzufugende Komponenten zur Warmeabfuhr. Wichtig ist deshalb eine gemeinsame Betrachtung der elektrischen Eigenschaften eines Systems, der geometrischen Anordnung der Komponenten und ihrer thermischen Verkopplung. Dieses Kap. 6 gibt eine Ubersicht zu gangigen Verfahren der thermischen Simulation und erlautert die Integration in den Designflow.

The analysis of distributions is central to search and matching models. Wage distributions are a central concern but distributions of productivities, fi?rm types, human capital, entitlement to unemployment benefi?ts and wealth become increasingly important. We present a method - the Fokker-Planck equations - which allows to describe and analyse the dynamics of distributions in a very general way. We illustrate this approach by analysing optimal saving of risk-averse households in a frictional labour market. Our Fokker-Planck equations describe the evolution of the joint distribution of labour market status and wealth. A very intuitive interpretation is provided.

We study a dynamic stochastic general equilibrium model in continuous time. Related work has proven that optimal consumption in this model is a smooth function of state variables. This allows us to describe the evolution of optimal state variables (wealth and labour market status) by stochastic differential equations. We derive conditions under which an invariant distribution for state variables exists and is unique. We also provide conditions such that initial distributions converge to the long-run distribution.

Reliability of machines and facilities has played an important role since many years. Nowadays, attention is also paid to maintenance times. Maintenance standstills are to be reduced as far as possible. On the other hand, technical systems are subject to signs of wear and tear which are in general growing slowly and imperceptibly. The gradual abrasion of applied tools may lead to poor production tolerances or to a component’s standstill. Hence, a condition-based maintenance strategy will be of increasing importance. Such a strategy requires a permanent condition monitoring during operation. To this end, reliable high-performance algorithms for signal processing, feature extraction, and classification are needed. Modeling the process of wear and tear may be useful to find the particular steps of the condition monitoring system’s signal processing. This strategy was investigated by means of one very important device from automation engineering, a hydraulic axial piston pump. The procedure of getting signals by an appropriate Modelica model of the main parts of the pump is shown within the paper. Additionally, the manipulation process for the signals and the steps of classification are shortly presented to give an overview to the possibilities of model-based signal generation based on a Modelica model. The advantages of the multi-physics modeling language are emphasized because the axial piston pump model combines the mechanical and the hydraulic domain in a very efficient way.

Are fluctuations in firms' profitability risk a major cause of regular business cycles? We study this question within the framework of a heterogeneous-firm dynamic stochastic general equilibrium model with fixed capital adjustment costs. In such a model, surprise increases of risk lead to a wait-and-see policy for investment at the firm level and a decrease in aggregate economic activity. We calibrate the model using German firm-level data with a broader sectoral, size and ownership coverage than comparable U.S. data sets. The use of these data enables us to provide robust lower and upper bound estimates for the size of firm-level risk fluctuations. We find that time-varying firm-level risk on its own is unlikely to be a major quantitative source of regular business cycle fluctuations. When we augment a model with only aggregate productivity shocks by time-varying risk, the risk shocks dampen the high contemporaneous correlations of the productivity-shock-only model, but do not alter the other unconditional business cycle properties.

Are fluctuations in firms' profitability risk a major cause of regular business cycles? We study this question within the framework of a heterogeneous-firm dynamic stochastic general equilibrium model with fixed capital adjustment costs. In such a model, surprise increases of risk lead to a wait-and-see policy for investment at the firm level and a decrease in aggregate economic activity. We calibrate the model using German firm-level data with a broader sectoral, size and ownership coverage than comparable U.S. data sets. The use of these data enables us to provide robust lower and upper bound estimates for the size of firm-level risk fluctuations. We find that time-varying firm-level risk on its own is unlikely to be a major quantitative source of regular business cycle fluctuations. When we augment a model with only aggregate productivity shocks by time-varying risk, the risk shocks dampen the high contemporaneous correlations of the productivity-shock-only model, but do not alter the other unconditional business cycle properties.

We document a new business cycle fact: the cross-sectional standard deviation of firm-level investment (investment dispersion) is robustly and significantly procyclical. This makes investment dispersion different from the dispersion of productivity and output growth, which is countercyclical. Investment dispersion is more procyclical in the goods-producing sectors, for smaller firms and for structures. We show that a heterogeneous-firm real business cycle model with countercyclical idiosyncratic firm risk and non-convex adjustment costs calibrated to match moments of the long-run investment rate distribution, produces a time series correlation coefficient between investment dispersion and aggregate output of 0.58, close to the 0.45 in the data. We argue, more generally, that cross-sectional business cycle dynamics impose tight empirical restrictions on the physical environments and the structural parameters of heterogeneous-firm models.

Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka [Adv. Math. Econ., 2004, 6, 69–83] and Lyons–Victoir [Proc. R. Soc. Lond. Ser. A, 2004, 460, 169–198], involve the solution to numerous auxiliary ordinary differential equations (ODEs). With focus on the Ninomiya–Victoir algorithm [Appl. Math. Finance, 2008, 15, 107–121], which corresponds to a concrete level 5 cubature method, we study some parametric diffusion models motivated from financial applications, and show the structural conditions under which all involved ODEs can be solved explicitly and efficiently. We then enlarge the class of models for which this technique applies by introducing a (model-dependent) variation of the Ninomiya–Victoir method. Our method remains easy to implement; numerical examples illustrate the savings in computation time.

We analyse optimal saving of risk-averse households when labour income stochastically jumps between two states. The generalized Keynes-Ramsey rule includes a precautionary savings term. A phase diagram analysis il- lustrates consumption and wealth dynamics within and between states. There is an endogenous lower and upper limit for wealth. We derive the Fokker-Planck equations for the densities of individual wealth and em- ployment status. These equations also characterize the aggregate distrib- ution of wealth and allow us to describe general equilibrium. An optimal consumption path exists and distributions converge to a unique limiting distribution.

This paper provides the proofs to the analysis of a continuous time match- ing model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations.

We investigate photonic crystal waveguides that are formed by holes of reduced diameter within a hexagonal lattice of cylindrical airholes in thin freestanding silicon slabs. The waveguides operate in both an even-symmetry bandgap and a partial gap of odd-symmetry modes that form a complete two-dimensional bandgap under the light line. The operating frequency is tuned by the small-hole diameter to fit within the range of both bandgaps and to match a free-space wavelength of 1550 nm. Their narrow bandwidth and low group velocity of light propagation renders the waveguides useful as filters or sensing elements. Because of the strong dependence of the waveguide mode characteristics on structural changes, the highest-precision lithographic fabrication techniques must be applied.

This paper provides a cross-country comparison of life-cycle and business-cycle fluctuations in the dispersion of household-level wage innovations. We draw our inference from household panel data sets for the US, the UK, and Germany. First, we find that household characteristics explain about 25% of the dispersion in wages within an age group in all three countries. Second, the cross-sectional variance of wages is almost linearly increasing in household age in all three countries, but with increments being smaller in the European data. Third, we find that wage risk is procyclical in Germany while it is countercyclical in the US and acyclical in the UK, pointing towards labor market institutions being pivotal in determining the cyclical properties of labor market risk.

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one depending on the nature of the data-generating process. The new meta test is at least as powerful as the more powerful one of the underlying tests irrespective of the very nature of the data generating process. At the same time, our new meta test avoids the arbitrary decision which test to use if single test results conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single tests give conflicting results whereas our meta tests provides an unambiguous test decision.

This paper proposes to exploit a reform in legal rules of corporate governance to identify contractual incentives from the correlation of executive pay and firm performance. In particular, we refer to a major shift in the legal and institutional environment, the reform of the German joint-stock companies act in 1884. We analyze a sample of executive pay for 46 firms for the years 1870 to 1911. In 1884, a law reform substantially enhanced corporate control, strengthened the monitoring incentives of shareholders, and reduced the discretionary power of executives in Germany. Pay-performance sensitivity decreased significantly after this reform. While executives received a bonus of about three to five per cent in profits before 1884, after the reform this parameter decreased to a profit share of about two per cent. At least the profit share that is eliminated by the reform must have been incentive pay before. This incentive mechanism was replaced by other elements of corporate governance.

We prove a stochastic Taylor expansion for SPDEs and apply this result to obtain cubature methods, i. e. high order weak approximation schemes for SPDEs, in the spirit of T. Lyons and N. Victoir. We can prove a high-order weak convergence for well-defined classes of test functions if the process starts at sufficiently regular initial values. We can also derive analogous results in the presence of L\'evy processes of finite type, here the results seem to be new even in finite dimension. Several numerical examples are added., Comment: revised version, accepted for publication in Proceedings Roy. Soc. A

We report about a novel Laser-Doppler velocity profile sensor with high spatial resolution in the micrometer range. The sensor can be used for applications in fluid mechanics, e.g. flow measurements. Miniaturized sensors are often necessary to measure outside the laboratory. One approach utilizes a diffractive optical element (DOE) in order to reduce the number of optical elements. Another approach utilizes a frequency division multiplexing, where the frequency of multiple laser diode beams are controlled and superposed. Both approaches are discussed and compared.

This paper develops a tractable dynamic microeconomic model of migration decisions that is aggregated to describe the behavior of interregional migration. Our structural approach allows to deal with dynamic self-selection problems that arises from the endogeneity of location choice and the persistency of migration incentives. Keeping track of the distribution dynamics of migration incentives has important consequences, because these dynamics influences the estimation of structural parameters, such as migration costs. For US interstate migration, we obtain a cost estimate of approximately two average annual household incomes. This is at most half of the migration cost estimates reported in previous studies. We attribute this difference to the treatment of the self selection problem

We analyze the relation of firm performance and managerial turnover in 19th century German banking by probit estimation. This period covers a major reform of corporate governance. Before the reform performance and turnover are unrelated, wheras after the reform more succesfull managers leave firms more seldom. However, only short run performance matters.

Differences in regional unemployment rates are often used to describe regional economic inequality. This paper asks whether changes in regional unemployment differences in West Germany are persistent over time. Only if such changes are persistent, the differences are a sensible measure of inequality and only then can policies be effective that aim at lowering the dispersion of unemployment rates. Our analysis follows a time-series approach to economic convergence and we test whether unemployment differences between regions are stationary or not. While univariate tests show that changes in unemployment differences are persistent, more powerful panel tests find them to be only transitory. However, these tests reveal only a moderate speed of convergence. Since there is a structural break following the second oil crisis, we also employ unit-root tests that allow for such break. Again we find strong evidence for convergence and now also the speed of convergence is found to be very high. Both results, the presence of regime-wise conditional convergence in regional unemployment rates and fast equilibrium adjustment, have important implications for economic policy targeted at regional unemployment. On the one hand, small government interventions loose their effect quickly as unemployment rates adjust back to their equilibrium levels. On the other hand, large interventions might move the economy from one equilibrium of regional unemployment rates to the other. This means the policy intervention needs to take the form of a substantial regime shift. Most policies that aim at reducing relative unemployment differentials are unlikely to make permanent contributions to social welfare.

Excitation spectrum of homogeneously magnetized Ni/sub 80/Fe/sub 20/ rectangles using Brillouin light scattering (BLS) is reported. A model to qualitatively describe the spin-wave spectrum is presented and its results is compared with both experiment and micromagnetic simulations. Micromagnetic simulation show that the internal field is inhomogeneous along the direction of the applied field. It was concluded that the spin wave modes can be approximately described as a linear combination of the modes of a longitudinally magnetized stripe and a transversely magnetized stripe.

In this paper a model of aggregate investment is derived which incorporates fixed investment costs and capital market imperfections on the micro-level. Aggregate investment reacts nonlinearily with respect to aggregate shocks to productivity and liquidity of firms. Employing non-parametric kernel estimation methods to analyze a sample of annual account data of UK companies, these nonlinearities also show up empirically. Furthermore a difference in strength between the long- and the short-run effect of liquidity on investment is found, which is inconsistent with models that explain the empirical correlation of investment and liquidity solely as the result of some long-run relationship like liquidity-dependent costs-of-capital. Moreover, as a side-result when imposing a linear structure, we find, as reported in previous studies, that financially constrained firms appear to be less influenced by liquidity than unconstrained ones. However, this finding disappears when the investment function is estimated without any restrictions on the functional form and thus has to be attributed to a misspecification error, which is avoided by the estimation strategy of this paper.

This paper analyzes the interaction of financial frictions and non-convex adjustment costs. Non-convex adjustment costs imply that firm-level investment is lumpy. Firms invest infrequently but each investment is large. This allows financial variables to influence investment along two margins. They can alter the size of the stock of capital a company wishes to hold in the long run or they can influence the frequency at which investment projects are undertaken. The empirical analysis of this paper reveals that finance has nearly no long-run influence on the stock of capital in a sample of German companies. By contrast, the influence of finance on investment decisions is substantial. Consequently, finance primarily affects investment frequencies and financial factors and fundamental capital productivity strongly interact in the determination of investment.

This paper investigates the interplay of investment irreversibility, predatory behavior, and limited liability in a duopoly with aggregate demand uncertainty. We find that limited liability and investment irreversibility is likely to produce predatory behavior in very competitive industries in which prices react strongly to changes in quantity and capacity increases are not too costly. The rationale for this may be summarized as follows: Under limited liability, the owners of a firm have to decide whether they are willing to finance losses from private funds, or whether they rather default on the firms obligations in adverse states. However, market conditions themselves become endogenous in a duopoly since the quantity decisions of all competitors determine the market price. If now investment is irreversible, it is a strong commitment. It hence becomes a device to force others to leave early and allows oneself to commit to leave late. If the ability to promote the exit of a competitor is strong, it may then even result in firms investing only to prey, i.e. firms invest only to consequently monopolize the market. Therefore, the model of this paper explains predatory behavior in a duopoly without invoking reputational, network- or learning-effects. Moreover, this paper's model also does not define predatory behavior as deviations from tacit collusion.

The present paper proposes to employ a major shift in the legal and institutional environment to identify contractual incentives from the correlation of executive pay and firm performance. We use the reform of the German stock companies act in 1884 as such a major shift and estimate the sensitivity of the pay to firm performance between 1870 and 1910 for executives of nine large banks. The reform substantially enhanced corporate control and strengthened monitoring incentives. Accordingly, we find the pay-performance sensitivity to decrease significantly after the reform. While executives received a bonus of 39 M per 1000 M increase in profits before 1884, after the reform the sensitivity decreased by two-thirds.

We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the boundaries of the no-trade-region and the asymptotic optimal growth rate, which can be made explicit for small transaction costs (in the sense of an asymptotic expansion). Here we find that, contrary to the classical results in continuous time, see Janeček and Shreve (2004), Finance and Stochastics8, 181–206, the size of the no-trade-region as well as the asymptotic growth rate depend analytically on the level λ of transaction costs, implying a linear first-order effect of perturbations of (small) transaction costs, in contrast to effects of orders λ1/3 and λ2/3, respectively, as in continuous time models. Following the recent study by Gerhold et al. (2013), Finance and Stochastics17, 325–354, we obtain the asymptotic expansion by an almost explicit construction of the shadow price process.

Lehrmethoden des Computer Based Training (CBT) haben gegenuber herkommlichen Unterrichtsformen spezifische Vorteile, die auch im Hochschulunterricht verstarkt genutzt werden sollten. Ein Ziel des Modellversuchs Integration studenteneigener Rechner in das Studium an Fachhochschulen in Regensburg ist es daher, studenteneigene Rechner uber CBT starker in den Ausbildungsprozes zu integrieren. Durch eigene Kursentwicklungen und Kooperation mit einem grosen EDV-Hersteller soll CBT-Knowhow aufgebaut werden. Bisher wurden zwei Kurse erstellt: Filter in der Bildverarbeitung PATHWORKS-Netzwerk fur DOS Dieser Beitrag stellt methodische Gesichtspunkte der CBT-Entwicklung vor und beschreibt die oben genannten Kurse.

In this paper we present a laser sensor for highly spatially resolved flow imaging without using a camera. The sensor is an extension of the principle of laser Doppler anemometry (LDA). Instead of a parallel fringe system, diverging and converging fringes are employed. This method facilitates the determination of the tracer particle position within the measurement volume and leads to an increased spatial and velocity resolution compared to conventional LDA. Using a total number of four fringe systems the flow is resolved in two spatial dimensions and the orthogonal velocity component. Since no camera is used, the resolution of the sensor is not influenced by pixel size effects. A spatial resolution of 4 microm in the x direction and 16 microm in the y direction and a relative velocity resolution of 1x10(-3) have been demonstrated up to now. As a first application we present the velocity measurement of an injection nozzle flow. The sensor is also highly suitable for applications in nano- and microfluidics, e.g., for the measurement of flow rates.

For the investigation of turbulent flows, the measurement of Lagrangian acceleration is of great interest as it represents a direct component of the Navier–Stokes equations. The presented sensor is based on the common laser Doppler technique, but offers in addition combined high spatial resolution in the micrometre range and the possibility of measuring the velocity component along the optical axis. As a result of the sensor setup, signals of particles with inclined trajectories show frequency modulation within a single burst similar to the signal of an accelerated particle. A model-based approach to distinguish between both quantities is presented, and a signal processing technique based on the Hilbert transform has been developed. The processing is comparatively fast and showed good agreement with preset values, even for signals of poor quality. The variance of velocity and acceleration measurements nearly reaches the Cramer–Rao lower bound. Experimental verification is done by the measurement of a harmonic oscillator with known parameters and a stagnation flow within a free jet.

The permittivity of a ferroelectric n-type semiconductor varies smoothly with depth beneath a reversed biased Schottky contact. In partially depleted films, the depletion layer controls the capacitance. In fully depleted films the inverse capacitance is proportional to the thickness, which suggests that Schottky effects do not cause dead-layer behavior.