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❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

■♥tr♦❞✉❝t✐♦♥ t♦ ❋✐♥❛♥❝✐❛❧ ❉❡r✐✈❛t✐✈❡s

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧

❘❡❝❛❧❧ ♦✉r st♦❝❤❛st✐❝ ❞✐✛❡r❡♥t✐❛❧ ❡q✉❛t✐♦♥ t♦ ♠♦❞❡❧ st♦❝❦ ♣r✐❝❡s✿ ❞❙ ❙ = σ❞❳ + µ❞t ✇❤❡r❡ µ✐s ❦♥♦✇♥ ❛s t❤❡ ❛ss❡t✬s ❞r✐❢t ✱ ❛ ♠❡❛s✉r❡ ♦❢ t❤❡ ❛✈❡r❛❣❡ r❛t❡ ♦❢ ❣r♦✇t❤ ♦❢ t❤❡ ❛ss❡t ♣r✐❝❡✱ σ✐s t❤❡ ✈♦❧❛t✐❧✐t② ♦❢ t❤❡ st♦❝❦✱ ✐t ♠❡❛s✉r❡s t❤❡ st❛♥❞❛r❞ ❞❡✈✐❛t✐♦♥ ♦❢ ❛♥ ❛ss❡t✬s r❡t✉r♥s✱ ❛♥❞ ❞❳ ✐s ❛ r❛♥❞♦♠ s❛♠♣❧❡ ❞r❛✇♥ ❢r♦♠ ❛ ♥♦r♠❛❧ ❞✐str✐❜✉t✐♦♥ ✇✐t❤ ♠❡❛♥ ③❡r♦✳ ❇♦t❤ µ and σ ❛r❡ ♠❡❛s✉r❡❞ ♦♥ ❛ ✬♣❡r ②❡❛r✬ ❜❛s✐s✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❊✣❝✐❡♥t ▼❛r❦❡t ❍②♣♦t❤❡s✐s

P❛st ❤✐st♦r② ✐s ❢✉❧❧② r❡✢❡❝t❡❞ ✐♥ t❤❡ ♣r❡s❡♥t ♣r✐❝❡✱ ❤♦✇❡✈❡r t❤✐s ❞♦❡s ♥♦t ❤♦❧❞ ❛♥② ❢✉rt❤❡r ✐♥❢♦r♠❛t✐♦♥✳ ✭P❛st ♣❡r❢♦r♠❛♥❝❡ ✐s ♥♦t ✐♥❞✐❝❛t✐✈❡ ♦❢ ❢✉t✉r❡ r❡t✉r♥s✮ ▼❛r❦❡ts r❡s♣♦♥❞ ✐♠♠❡❞✐❛t❡❧② t♦ ❛♥② ♥❡✇ ✐♥❢♦r♠❛t✐♦♥ ❛❜♦✉t ❛♥ ❛ss❡t✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

▼❛r❦♦✈ Pr♦❝❡ss

❉❡✜♥✐t✐♦♥ ❆ st♦❝❤❛st✐❝ ♣r♦❝❡ss ✇❤❡r❡ ♦♥❧② t❤❡ ♣r❡s❡♥t ✈❛❧✉❡ ♦❢ ❛ ✈❛r✐❛❜❧❡ ✐s r❡❧❡✈❛♥t ❢♦r ♣r❡❞✐❝t✐♥❣ t❤❡ ❢✉t✉r❡✳ ❚❤✐s ✐♠♣❧✐❡s t❤❛t ❦♥♦✇❧❡❞❣❡ ♦❢ t❤❡ ♣❛st ❤✐st♦r② ♦❢ ❛ ▼❛r❦♦✈ ✈❛r✐❛❜❧❡ ✐s ✐rr❡❧❡✈❛♥t ❢♦r ❞❡t❡r♠✐♥✐♥❣ ❢✉t✉r❡ ♦✉t❝♦♠❡s✳ ▼❛r❦♦✈ Pr♦❝❡ss⇔❊✣❝✐❡♥t ▼❛r❦❡t ❍②♣♦t❤❡s✐s

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

■♥✈❡st✐❣❛t✐♥❣ t❤❡ ❘❛♥❞♦♠ ❱❛r✐❛❜❧❡

❈♦♥s✐❞❡r ❛ r❛♥❞♦♠ ✈❛r✐❛❜❧❡✱ ❳✱ t❤❛t ❢♦❧❧♦✇s ❛ ▼❛r❦♦✈ st♦❝❤❛st✐❝ ♣r♦❝❡ss✳ ❋✉rt❤❡r ❛ss✉♠❡ t❤❛t t❤❡ ✈❛r✐❛❜❧❡✬s ❝❤❛♥❣❡ ✭♦✈❡r ❛ ♦♥❡✲②❡❛r t✐♠❡ s♣❛♥✮✱ ❞❳✱ ❝❛♥ ❜❡ ❝❤❛r❛❝t❡r✐③❡❞ ❜② ❛ st❛♥❞❛r❞ ♥♦r♠❛❧ ❞✐str✐❜✉t✐♦♥ ✭❛ ♣r♦❜❛❜✐❧✐t② ❞✐str✐❜✉t✐♦♥ ✇✐t❤ ♠❡❛♥ ③❡r♦ ❛♥❞ st❛♥❞❛r❞ ❞❡✈✐❛t✐♦♥ ♦♥❡✱ φ = ϕ(✵,✶)✮✳ ❲❤❛t ✐s t❤❡ ♣r♦❜❛❜✐❧✐t② ❞✐str✐❜✉t✐♦♥ ♦❢ t❤❡ ❝❤❛♥❣❡ ✐♥ t❤❡ ✈❛❧✉❡ ♦❢ t❤❡ ✈❛r✐❛❜❧❡ ✭❞❳✮ ♦✈❡r t✇♦ ②❡❛rs❄

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

■♥✈❡st✐❣❛t✐♥❣ t❤❡ ❘❛♥❞♦♠ ❱❛r✐❛❜❧❡

❙✐♥❝❡ ❳ ❢♦❧❧♦✇s ❛ ▼❛r❦♦✈ ♣r♦❝❡ss✱ t❤❡ t✇♦ ♣r♦❜❛❜✐❧✐t② ❞✐str✐❜✉t✐♦♥s ❛r❡ ✐♥❞❡♣❡♥❞❡♥t✳ ❚❤✉s✱ ✇❡ ❝❛♥ s✉♠ t❤❡ ❞✐str✐❜✉t✐♦♥s✳ ❚❤❡ t✇♦ ②❡❛r ♠❡❛♥ ✐s t❤❡ s✉♠ ♦❢ t❤❡ t✇♦ ♦♥❡✲②❡❛r ♠❡❛♥s✳ ❙✐♠✐❧❛r✐❧②✱ t❤❡ t✇♦ ②❡❛r ✈❛r✐❛♥❝❡ ✐s t❤❡ s✉♠ ♦❢ t❤❡ t✇♦ ♦♥❡✲②❡❛r ✈❛r✐❛♥❝❡s✳ ❍♦✇❡✈❡r✱ t❤❡ ❝❤❛♥❣❡ ✐s ❜❡st r❡♣r❡s❡♥t❡❞ ❜② t❤❡ st❛♥❞❛r❞ ❞❡✈✐❛t✐♦♥✱ s♦ t❤❡ ♣r♦❜❛❜✐❧✐t② ❞✐str✐❜✉t✐♦♥ t❤❛t ❞❡s❝r✐❜❡s ❞❳ ♦✈❡r t✇♦ ②❡❛rs ✐s✿ ϕ(✵, √ ✷)✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

■♥✈❡st✐❣❛t✐♥❣ t❤❡ ❘❛♥❞♦♠ ❱❛r✐❛❜❧❡

❆ss✉♠♣t✐♦♥ ❈❤❛♥❣❡s ✐♥ ✈❛r✐❛♥❝❡ ❛r❡ ❡q✉❛❧ ❢♦r ❛❧❧ ✐❞❡♥t✐❝❛❧ t✐♠❡ ✐♥t❡r✈❛❧s✳ ❋♦r ❛ s✐① ♠♦♥t❤ ♣❡r✐♦❞✱ t❤❡ ✈❛r✐❛♥❝❡ ♦❢ ❝❤❛♥❣❡ ✐s ✵.✺ ❛♥❞ t❤❡ st❛♥❞❛r❞ ❞❡✈✐❛t✐♦♥ ♦❢ t❤❡ ❝❤❛♥❣❡ ✐s √ ✵.✺✳ ❚❤❡ ♣r♦❜❛❜✐❧✐t② ❞✐str✐❜✉t✐♦♥ ❢♦r t❤❡ ❝❤❛♥❣❡ ✐♥ t❤❡ ✈❛❧✉❡ ♦❢ t❤❡ ✈❛r✐❛❜❧❡ ❞✉r✐♥❣ s✐① ♠♦♥t❤s ✐s ϕ(✵, √ ✵.✺)✳ ❙✐♠✐❧❛r✐❧②✱ ❞❳ ♦✈❡r ❛ t❤r❡❡ ♠♦♥t❤ ♣❡r✐♦❞ ✐s ϕ(✵, √ ✵.✷✺)✳ ❚❤❡ ❝❤❛♥❣❡ ✐♥ t❤❡ ✈❛❧✉❡ ♦❢ t❤❡ ✈❛r✐❛❜❧❡ ❞✉r✐♥❣ ❛♥② t✐♠❡ ♣❡r✐♦❞✱ ❞t✱ ✐s ϕ(✵, √ ❞t) ⇔ φ √ ❞t✳ ❚❤✐s ✐s ❜❡❝❛✉s❡ t❤❡ ✈❛r✐❛♥❝❡ ♦❢ t❤❡ ❝❤❛♥❣❡s ✐♥ s✉❝❝❡ss✐✈❡ t✐♠❡ ♣❡r✐♦❞s ❛r❡ ❛❞❞✐t✐✈❡✱ ✇❤✐❧❡ t❤❡ st❛♥❞❛r❞ ❞❡✈✐❛t✐♦♥s ❛r❡ ♥♦t✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❲✐❡♥❡r Pr♦❝❡ss

❚❤❡ ♣r♦❝❡ss ❢♦❧❧♦✇❡❞ ❜② t❤❡ ✈❛r✐❛❜❧❡ ✇❡ ❤❛✈❡ ❜❡❡♥ ❝♦♥s✐❞❡r✐♥❣ ✐s ❦♥♦✇♥ ❛s ❛ ❲✐❡♥❡r ♣r♦❝❡ss❀ ❆ ♣❛rt✐❝✉❧❛r t②♣❡ ♦❢ ▼❛r❦♦✈ st♦❝❤❛st✐❝ ♣r♦❝❡ss ✇✐t❤ ❛ ♠❡❛♥ ❝❤❛♥❣❡ ♦❢ ③❡r♦ ❛♥❞ ❛ ✈❛r✐❛♥❝❡ r❛t❡ ♦❢ ✶ ♣❡r ②❡❛r✳ ❚❤❡ ❝❤❛♥❣❡✱ ❞❳ ❞✉r✐♥❣ ❛ s♠❛❧❧ ♣❡r✐♦❞ ♦❢ t✐♠❡✱ ❞t✱ ✐s ❞❳ = φ √ ❞t ✇❤❡r❡ φ = ϕ(✵,✶) ❛s ❞❡✜♥❡❞ ❛❜♦✈❡✳ ❚❤❡ ✈❛❧✉❡s ♦❢ ❞❳ ❢♦r ❛♥② t✇♦ ❞✐✛❡r❡♥t s❤♦rt ✐♥t❡r✈❛❧s ♦❢ t✐♠❡✱ ❞t✱ ❛r❡ ✐♥❞❡♣❡♥❞❡♥t✳ ❋❛❝t ■♥ ♣❤②s✐❝s t❤❡ ❲✐❡♥❡r ♣r♦❝❡ss ✐s r❡❢❡rr❡❞ t♦ ❛s ❇r♦✇♥✐❛♥ ♠♦t✐♦♥ ❛♥❞ ✐s ✉s❡❞ t♦ ❞❡s❝r✐❜❡ t❤❡ r❛♥❞♦♠ ♠♦✈❡♠❡♥t ♦❢ ♣❛rt✐❝❧❡s✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❲✐❡♥❡r ❙t❛t✐st✐❝s

▼❡❛♥ ♦❢ ❞❳✱ E[❞❳] = √ ❞tE[φ] = ✵ ❱❛r✐❛♥❝❡ ♦❢ ❞❳✱ Var[❞❳] = E[(❞❳ −✵)✷] = E[φ ✷❞t] = ❞tE[φ ✷] = ❞t ·✶ = ❞t ❙t❛♥❞❛r❞ ❞❡✈✐❛t✐♦♥ ♦❢ ❞❳ = √ ❞t

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❚❤❡ Pr✐❝✐♥❣ ▼♦❞❡❧

❞❙ ❙ = σ❞❳ + µ❞t

❙✐♥❝❡ ✇❡ ❝❤♦s❡ ❞❳ s✉❝❤ t❤❛t E[❞❳] = ✵ t❤❡ ♠❡❛♥ ♦❢ ❞❙ ✐s✿ E[❞❙] = E[σ❙❞❳ + µ❙❞t] = µ❙❞t ❚❤❡ ✈❛r✐❛♥❝❡ ♦❢ ❞❙ ✐s✿ ❱❛r[❞❙] = E[❞❙✷]−E[❞❙]✷ = E[σ ✷❙✷❞❳ ✷] = σ ✷❙✷❞t ◆♦t❡ t❤❛t t❤❡ st❛♥❞❛r❞ ❞❡✈✐❛t✐♦♥ ❡q✉❛❧s σ❙ √ ❞t✱ ✇❤✐❝❤ ✐s ♣r♦♣♦rt✐♦♥❛❧ t♦ t❤❡ ❛ss❡t✬s ✈♦❧❛t✐❧✐t②✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❚❛②❧♦r✬s ✰

❲❡ ♥❡❡❞ t♦ ❞❡t❡r♠✐♥❡ ❤♦✇ t♦ ❝❛❧❝✉❧❛t❡ s♠❛❧❧ ❝❤❛♥❣❡s ✐♥ ❛ ❢✉♥❝t✐♦♥ t❤❛t ✐s ❞❡♣❡♥❞❡♥t ♦♥ t❤❡ ✈❛❧✉❡s ❞❡t❡r♠✐♥❡❞ ❜② t❤❡ ❛❜♦✈❡ st♦❝❤❛st✐❝ ❞✐✛❡r❡♥t✐❛❧ ❡q✉❛t✐♦♥✳ ▲❡t ❢ (❙) ❜❡ t❤❡ ❞❡s✐r❡❞ s♠♦♦t❤ ❢✉♥❝t✐♦♥ ♦❢ ❙❀ s✐♥❝❡ ❢ ✐s s✉✣❝✐❡♥t❧② s♠♦♦t❤ ✇❡ ❦♥♦✇ t❤❛t s♠❛❧❧ ❝❤❛♥❣❡s ✐♥ t❤❡ ❛ss❡t✬s ♣r✐❝❡✱ ❞❙✱ r❡s✉❧t ✐♥ s♠❛❧❧ ❝❤❛♥❣❡s t♦ t❤❡ ❢✉♥❝t✐♦♥ ❢ ✳ ❘❡❝❛❧❧ t❤❛t ✇❡ ❛♣♣r♦①✐♠❛t❡❞ ❞❢ ✇✐t❤ ❛ ❚❛②❧♦r s❡r✐❡s ❡①♣❛♥s✐♦♥✱ r❡s✉❧t✐♥❣ ✐♥ ❞❢ = ❞❢ ❞❙ ❞❙ + ✶ ✷ ❞✷❢ ❞❙✷ ❞❙✷ +··· , ✇❤❡r❡ ❞❙ = σ❙❞❳ + µ❙❞t = ⇒ ❞❙✷ = (σ❙❞❳ + µ❙❞t)✷ = σ✷❙✷❞❳ ✷ +✷σµ❙✷❞t❞❳ + µ✷❙✷❞t✷

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❞❳ ✷ →? ❛s ❞t → ✵

❆ss✉♠♣t✐♦♥ ❆s ❞t → ✵✱ ❞❳ = O( √ ❞t) ⇔ ❞❳/ √ ❞t = ✶ ❛♥❞ ❞❳❞t = ♦(❞t) ⇔ ❞❳❞t = ✵ ■♠♣❧✐❡s t❤❛t ❞❙✷ − → σ✷❙✷❞t as ❞t − → ✵ ❛♥❞ r❡s✉❧ts ✐♥ ❞❢ = ❞❢ ❞❙ (σ❙❞❳ + µ❙❞t)+ ✶ ✷σ✷❙✷ ❞✷❢ ❞❙✷ ❞t = σ❙ ❞❢ ❞❙ ❞❳ +(µ❙ ❞❢ ❞❙ + ✶ ✷σ✷❙✷ ❞✷❢ ❞❙✷ )❞t

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❞❳ ✷ →? ❛s ❞t → ✵

❚❤❡ ✐♥t❡❣r❛t❡❞ ❢♦r♠ ♦❢ ♦✉r st♦❝❤❛st✐❝ ❞✐✛❡r❡♥t✐❛❧ ❡q✉❛t✐♦♥ t♦ ♠♦❞❡❧ st♦❝❦ ♣r✐❝❡s ✐s ❙(t) = ❙(t✵)+σ

t

t✵

❙❞❳ + µ

t

t✵

❙❞t ❜✉t ❤♦✇ t♦ ❤❛♥❞❧❡

t

t✵ ❙❞❳ ❄

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❙t♦❝❤❛st✐❝ ❈❛❧❝✉❧✉s

❋♦r ❛♥② ❢✉♥❝t✐♦♥ ❢ ✱

t

t✵

❢ (τ)❞❳(τ) = ❧✐♠

♥→∞ ♥−✶

∑

❦=✵

❢ (t❦)(❳(t❦+✶)−❳(t❦)) ✇❤❡r❡ t✵ < t✶ < ··· < t♥ = t ✐s ❛♥② ♣❛rt✐t✐♦♥ ✭♦r ❞✐✈✐s✐♦♥✮ ♦❢ t❤❡ r❛♥❣❡ [t✵,t] ✐♥t♦ ♥ s♠❛❧❧❡r r❡❣✐♦♥s ❛♥❞ ❳ ✐s t❤❡ r✉♥♥✐♥❣ s✉♠ ♦❢ t❤❡ r❛♥❞♦♠ ✈❛r✐❛❜❧❡s ❞❳✳ ◆♦t❡ ❚❤❡ ✈❛❧✉❡ ♦❢ t❤❡ ❢✉♥❝t✐♦♥✱ ❢ ✱ ✐♥s✐❞❡ t❤❡ s✉♠♠❛t✐♦♥ ✐s t❛❦❡♥ ❛t t❤❡ ❧❡❢t✲❤❛♥❞ ❡♥❞ ♦❢ t❤❡ s♠❛❧❧ r❡❣✐♦♥s ✭❛t t = t❦❛♥❞ ♥♦t ❛t t❦+✶✮ ✕ ❡✛❡❝t✐✈❡❧②✱ t❤✐s ✐s ✇❤❡r❡ t❤❡ ▼❛r❦♦✈ Pr♦♣❡rt② ✐s ✐♥❝♦r♣♦r❛t❡❞ ✐♥t♦ t❤❡ ♠♦❞❡❧✦

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❙t♦❝❤❛st✐❝ ❈❛❧❝✉❧✉s

■❢ ❳(t) ✇❡r❡ ❛ s♠♦♦t❤ ❢✉♥❝t✐♦♥ t❤❡ ✐♥t❡❣r❛❧ ✇♦✉❧❞ ❜❡ t❤❡ ✉s✉❛❧ ❙t✐❡❧t❥❡s ✐♥t❡❣r❛❧ ❛♥❞ ✐t ✇♦✉❧❞ ♥♦t ♠❛tt❡r t❤❛t ❢ ✇❛s ❡✈❛❧✉❛t❡❞ ❛t t❤❡ ❧❡❢t✲❤❛♥❞ ❡♥❞✳ ❍♦✇❡✈❡r✱ ❜❡❝❛✉s❡ ♦❢ t❤❡ r❛♥❞♦♠♥❡ss ✭✇❤✐❝❤ ❞♦❡s ♥♦t ❣♦ ❛✇❛② ❛s ❞t → ✵✮ t❤❡ ❢❛❝t t❤❛t t❤❡ s✉♠♠❛t✐♦♥ ❞❡♣❡♥❞s ♦♥ t❤❡ ❧❡❢t✲❤❛♥❞ ✈❛❧✉❡ ♦❢ ❢ ✐♥ ❡❛❝❤ ♣❛rt✐t✐♦♥ ❜❡❝♦♠❡s ✐♠♣♦rt❛♥t✳ ❊①❛♠♣❧❡

t

t✵ ❳(τ)❞❳(τ) = ✶ ✷(❳(t)✷ −❳(t✵)✷)− ✶ ✷(t −t✵)

■❢ ❳ ✇❡r❡ s♠♦♦t❤ t❤❡ ❧❛st t❡r♠ ✇♦✉❧❞ ♥♦t ❜❡ ♣r❡s❡♥t✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❞❳ ✷ → ❞t ❛s ❞t → ✵

■t ❝❛♥ ❜❡ s❤♦✇♥ ✭✉s✐♥❣ st♦❝❤❛st✐❝ ✐♥t❡❣r❛t✐♦♥✮ t❤❛t ❢ (❙(t)) = ❢ (❙(t✵))+

t

t✵

σ❙ ❞❢ ❞❙ ❞❳ +

t

t✵

(µ❙ ❞❢ ❞❙ + ✶ ✷σ✷❙✷ ❞✷❢ ❞❙✷ )❞t ✇❤✐❝❤ ✇❤❡♥ ✇r✐tt❡♥ ✐♥ s❤♦rt❤❛♥❞ ♥♦t❛t✐♦♥ ❜❡❝♦♠❡s ❞❢ = σ❙ ❞❢ ❞❙ ❞❳ +(µ❙ ❞❢ ❞❙ + ✶ ✷σ✷❙✷ ❞✷❢ ❞❙✷ )❞t

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❋✉rt❤❡r ●❡♥❡r❛❧✐③❛t✐♦♥

◆♦✇ ❝♦♥s✐❞❡r ❢ t♦ ❜❡ ❛ ❢✉♥❝t✐♦♥ ♦❢ ❜♦t❤ ❙ and t✳ ❙♦ ❧♦♥❣ ❛s ✇❡ ❛r❡ ❛✇❛r❡ ♦❢ ♣❛rt✐❛❧ ❞❡r✐✈❛t✐✈❡s✱ ✇❡ ❝❛♥ ♦♥❝❡ ❛❣❛✐♥ ❡①♣❛♥❞ ♦✉r ❢✉♥❝t✐♦♥ ✭♥♦✇ ❢ (❙ +❞❙,t +❞t)✮ ✉s✐♥❣ ❛ ❚❛②❧♦r s❡r✐❡s ❛♣♣r♦①✐♠❛t✐♦♥ ❛❜♦✉t (❙,t) t♦ ❣❡t✿ ❞❢ = ∂❢ ∂❙ ❞❙ + ∂❢ ∂t ❞t + ✶ ✷ ∂ ✷❢ ∂❙✷ ❞❙✷ +··· , s✉❜st✐t✉t✐♥❣ ✐♥ ♦✉r ♣❛st ✇♦r❦✱ ✇❡ ❡♥❞ ✉♣ ✇✐t❤ t❤❡ ❢♦❧❧♦✇✐♥❣ r❡s✉❧t✿ ❞❢ = σ❙ ∂❢ ∂❙ ❞❳ +(µ❙ ∂❢ ∂❙ + ✶ ✷σ✷❙✷ ∂ ✷❢ ∂❙✷ + ∂❢ ∂t )❞t

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❆ss✉♠♣t✐♦♥s

❚❤❡ ❛ss❡t ♣r✐❝❡ ❢♦❧❧♦✇s ❛ ❧♦❣♥♦r♠❛❧ r❛♥❞♦♠ ✇❛❧❦ ❚❤❡ r✐s❦✲❢r❡❡ ✐♥t❡r❡st r❛t❡ r ❛♥❞ t❤❡ ✈♦❧❛t✐❧✐t② ♦❢ t❤❡ ✉♥❞❡r❧②✐♥❣ ❛ss❡t σ❛r❡ ❦♥♦✇♥ ❢✉♥❝t✐♦♥s ♦❢ t✐♠❡ ♦✈❡r t❤❡ ❧✐❢❡ ♦❢ t❤❡ ♦♣t✐♦♥✳ ❚❤❡r❡ ❛r❡ ♥♦ ❛ss♦❝✐❛t❡❞ tr❛♥s❛❝t✐♦♥ ❝♦sts✳ ❚❤❡ ✉♥❞❡r❧②✐♥❣ ❛ss❡t ♣❛②s ♥♦ ❞✐✈✐❞❡♥❞s ❞✉r✐♥❣ t❤❡ ❧✐❢❡ ♦❢ t❤❡ ♦♣t✐♦♥✳ ❚❤❡r❡ ❛r❡ ♥♦ ❛r❜✐tr❛❣❡ ♦♣♣♦rt✉♥✐t✐❡s✳ ❚r❛❞✐♥❣ ♦❢ t❤❡ ✉♥❞❡r❧②✐♥❣ ❛ss❡t ❝❛♥ t❛❦❡ ♣❧❛❝❡ ❝♦♥t✐♥✉♦✉s❧②✳ ❙❤♦rt s❡❧❧✐♥❣ ✐s ❛❧❧♦✇❡❞ ✭❢✉❧❧ ✉s❡ ♦❢ ♣r♦❝❡❡❞s ❢r♦♠ t❤❡ s❛❧❡ ✐s ♣❡r♠✐tt❡❞✮ ❢r❛❝t✐♦♥❛❧ s❤❛r❡s ♦❢ t❤❡ ✉♥❞❡r❧②✐♥❣ ❛ss❡t ♠❛② ❜❡ tr❛❞❡❞✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❆♥♦t❤❡r ❘✐s❦❧❡ss P♦rt❢♦❧✐♦

❈♦♥str✉❝t ❛ ♣♦rt❢♦❧✐♦✱ Π✷ ✇❤♦s❡ ✈❛r✐❛t✐♦♥ ♦✈❡r ❛ s♠❛❧❧ t✐♠❡ ♣❡r✐♦❞✱ ❞t ✐s ✇❤♦❧❧② ❞❡t❡r♠✐♥✐st✐❝✳ ▲❡t Π✷ = −❢ +∆❙ ✭✶✮ ♦✉r ♣♦rt❢♦❧✐♦ ✐s s❤♦rt ♦♥❡ ❞❡r✐✈❛t✐✈❡ s❡❝✉r✐t② ✭✇❡ ❞♦♥✬t ❦♥♦✇ ♦r ❝❛r❡ ✐❢ ✐t✬s ❛ ❝❛❧❧ ♦r ♣✉t✮ ❛♥❞ ❧♦♥❣ ∆♦❢ t❤❡ ✉♥❞❡r❧②✐♥❣ st♦❝❦✳ ∆ ✐s ❛ ❣✐✈❡♥ ♥✉♠❜❡r ✇❤♦s❡ ✈❛❧✉❡ ✭✇❤✐❧❡ ♥♦t ②❡t ❞❡t❡r♠✐♥❡❞✮ ✐s ❝♦♥st❛♥t t❤r♦✉❣❤♦✉t ❡❛❝❤ t✐♠❡ st❡♣✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❆♥♦t❤❡r ❘✐s❦❧❡ss P♦rt❢♦❧✐♦

❲❡ ❛r❡ ✐♥t❡r❡st❡❞ ✐♥ ❤♦✇ ♦✉r ♣♦rt❢♦❧✐♦ r❡❛❝ts t♦ s♠❛❧❧ ✈❛r✐❛t✐♦♥s✳ ❲❡ ♦❜s❡r✈❡ t❤❛t ❞Π✷ = −❞❢ +∆❞❙ = −σ❙ ∂❢ ∂❙ ❞❳ −(µ❙ ∂❢ ∂❙ + ✶ ✷σ✷❙✷ ∂ ✷❢ ∂❙✷ + ∂❢ ∂t )❞t +∆(σ❙❞❳ +µ❙❞t) = −σ❙( ∂❢ ∂❙ −∆)❞❳ −(µ❙( ∂❢ ∂❙ −∆)+ ✶ ✷σ✷❙✷ ∂ ✷❢ ∂❙✷ + ∂❢ ∂t )❞t

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❈❤♦✐❝❡ ♦❢ ❉❡❧t❛

❈❤♦♦s✐♥❣ ∆ = ∂❢

∂❙ ✇❡ ❤❛✈❡✿

❞Π✷ = −(∂❢ ∂t + ✶ ✷σ✷❙✷ ∂ ✷❢ ∂❙✷ )❞t ✭✷✮ t❤✐s ❡q✉❛t✐♦♥ ❤❛s ♥♦ ❞❡♣❡♥❞❡♥❝❡ ♦♥ ❞❳ ❛♥❞ t❤❡r❡❢♦r❡ ♠✉st ❜❡ r✐s❦❧❡ss ❞✉r✐♥❣ t✐♠❡ ❞t✳ ❋✉rt❤❡r♠♦r❡ s✐♥❝❡ ✇❡ ❤❛✈❡ ❛ss✉♠❡❞ t❤❛t ❛r✐❜tr❛❣❡ ♦♣♣♦rt✉♥✐t✐❡s ❞♦ ♥♦t ❡①✐st✱ Π✷ ♠✉st ❡❛r♥ t❤❡ s❛♠❡ r❛t❡ ♦❢ r❡t✉r♥ ❛s ♦t❤❡r s❤♦rt✲t❡r♠ r✐s❦✲❢r❡❡ s❡❝✉r✐t✐❡s ♦✈❡r t❤❡ s❤♦rt t✐♠❡ ♣❡r✐♦❞ ✇❡ ❞❡✜♥❡❞ ❜② ❞t✳ ■t ❢♦❧❧♦✇s t❤❛t ❞Π✷ = rΠ✷❞t ✇❤❡r❡ r ✐s t❤❡ r✐s❦✲❢r❡❡ ✐♥t❡r❡st r❛t❡✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❇❧❛❝❦✲❙❝❤♦❧❡s

❙✉❜st✐t✉t✐♥❣ t❤❡ ❞✐✛❡r❡♥t ✈❛❧✉❡s ♦❢ Π✷ ✐♥t♦ t❤❡ ❛❜♦✈❡ ❡q✉❛t✐♦♥ ✇❡ ❤❛✈❡ (∂❢ ∂t + ✶ ✷σ✷❙✷ ∂ ✷❢ ∂❙✷ )❞t = r(❢ − ∂❢ ∂❙ ❙)❞t ✇❤✐❝❤ ✇❤❡♥ s✐♠♣❧✐✜❡❞ ❣✐✈❡s ✉s ∂❢ ∂t +r❙ ∂❢ ∂❙ + ✶ ✷σ✷❙✷ ∂ ✷❢ ∂❙✷ = r❢ ✭✸✮ t❤❡ ❇❧❛❝❦✲❙❝❤♦❧❡s ♣❛rt✐❛❧ ❞✐✛❡r❡♥t✐❛❧ ❡q✉❛t✐♦♥✳ ❯♥❞❡r t❤❡ st❛t❡❞ ❛ss✉♠♣t✐♦♥s ❛♥② ❞❡r✐✈❛t✐✈❡ s❡❝✉r✐t② ✇❤♦s❡ ✈❛❧✉❡ ❞❡♣❡♥❞s ♦♥❧② ♦♥ t❤❡ ❝✉rr❡♥t ✈❛❧✉❡ ♦❢ t❤❡ ✉♥❞❡r❧②✐♥❣ ❛ss❡t ❙ ❛♥❞ ♦♥ t✐♠❡ t ♠✉st s❛t✐s❢② t❤❡ ❛❜♦✈❡ ❡q✉❛t✐♦♥✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

◆♦t ❥✉st ❇✲❙

❚❤❡ ❇❧❛❝❦✲❙❝❤♦❧❡s ❡q✉❛t✐♦♥ ❤❛s ♠❛♥② ❞✐✛❡r❡♥t s♦❧✉t✐♦♥s❀ t❤❡ ♣❛rt✐❝✉❧❛r ❞❡r✐✈❛t✐✈❡ t❤❛t ✐s ♦❜t❛✐♥❡❞ ✇❤❡♥ t❤❡ ❡q✉❛t✐♦♥ ✐s s♦❧✈❡❞ ❞❡♣❡♥❞s ♦♥ t❤❡ ❜♦✉♥❞❛r② ❝♦♥❞✐t✐♦♥s t❤❛t ❛r❡ ✉s❡❞✳ ❋♦r ❡①❛♠♣❧❡ ✐❢ t❤❡ ❞❡r✐✈❛t✐✈❡ ✐♥ q✉❡st✐♦♥ ✐s ❛ ❊✉r♦♣❡❛♥ ❝❛❧❧ ♦♣t✐♦♥ t❤❡♥ t❤❡ ❦❡② ❛ss♦❝✐❛t❡❞ ❜♦✉♥❞❛r② ❝♦♥❞✐t✐♦♥ ✇✐❧❧ ❜❡✿ ❢ = ♠❛①(❙ −❊,✵) when t = ❚ ❊q✉❛t✐♦♥ ✭✸✮ ✐s ♥♦t r✐s❦❧❡ss ❢♦r ❛❧❧ t✐♠❡✕✐t ✐s ♦♥❧② r✐s❦❧❡ss ❢♦r t❤❡ ❛♠♦✉♥t ♦❢ t✐♠❡ s♣❡❝✐✜❡❞ ❜② ❞t✳ ❚❤✐s ✐s ❜❡❝❛✉s❡ ❛s ❙ ❛♥❞ t ❝❤❛♥❣❡ s♦ ❞♦❡s ∆ = ∂❢

∂❙ ✱ t❤✉s t♦ ❦❡❡♣ t❤❡ ♣♦rt❢♦❧✐♦ ❞❡✜♥❡❞ ❜②

Π✷ r✐s❦❧❡ss ✇❡ ♥❡❡❞ t♦ ❝♦♥st❛♥t❧② ✉♣❞❛t❡ ♥✉♠❜❡r ♦❢ s❤❛r❡s ♦❢ ✉♥❞❡r❧②✐♥❣ ❤❡❧❞✳

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈❡❞

❈♦♥s✐❞❡r t❤❡ ❇❧❛❝❦✲❙❝❤♦❧❡s ❡q✉❛t✐♦♥ ✭❛♥❞ ❜♦✉♥❞❛r② ❝♦♥❞✐t✐♦♥s✮ ❢♦r ❛ ❊✉r♦♣❡❛♥ ❝❛❧❧ ✇✐t❤ ✈❛❧✉❡ ❈(❙,t) ∂❈ ∂t +r❙ ∂❈ ∂❙ + ✶ ✷σ✷❙✷ ∂ ✷❈ ∂❙✷ −r❈ = ✵ ✇✐t❤ ❈(✵,t) = ✵, and ❈(❙,t) ∼ ❙ as ❙ → ∞ ❛♥❞ ❈(❙,❚) = max(❙ −❊,✵) ◆♦t✐❝❡ t❤❡ s✐♠✐❧❛r✐t✐❡s t♦ t❤❡ ♦♥❡✲❞✐♠❡♥s✐♦♥❛❧ ❞✐✛✉s✐♦♥ ❡q✉❛t✐♦♥❀ ❤♦✇ ❝❛♥ ✇❡ ✉s❡ t❤✐s ♦❜s❡r✈❛t✐♦♥❄

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❙✉❜st✐t✉t✐♦♥s

❲❡ ♥❡❡❞ t♦ ❣❡t r✐❞ ♦❢ t❤❡ ✉❣❧② ❙ and ❙✷ t❡r♠s ✐♥ t❤❡ ❡q✉❛t✐♦♥ ❛❜♦✈❡✱ s♦ ✇❡ ♠❛❦❡ t❤❡ ❢♦❧❧♦✇✐♥❣ s✉❜st✐t✉t✐♦♥s✿ ❙ = ❊❡① t = ❚ −τ/✶

✷σ✷

❈ = ❊✈(①,τ)

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❙✉❜st✐t✉t✐♦♥s

❚❤❡ ❛❜♦✈❡ s✉❜st✐t✉t✐♦♥s r❡s✉❧t ✐♥ t❤❡ ❢♦❧❧♦✇✐♥❣ ❡q✉❛t✐♦♥ ∂✈ ∂τ = ∂ ✷✈ ∂①✷ +(❦ −✶)∂✈ ∂① −❦✈ ✇❤❡r❡ ❦ = r/✶ ✷σ✷ ❛♥❞ t❤❡ ✐♥✐t✐❛❧ ❝♦♥❞✐t✐♦♥ ❜❡❝♦♠❡s ✈(①,✵) = max(❡① −✶,✵)

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷

❲✐❡♥❡r Pr♦❝❡ss ■t♦✬s ▲❡♠♠❛ ❉❡r✐✈❛t✐♦♥ ♦❢ ❇❧❛❝❦✲❙❝❤♦❧❡s ❙♦❧✈✐♥❣ ❇❧❛❝❦✲❙❝❤♦❧❡s

❈❧♦s❡r

◆♦t❡ t❤❡ ❛❜♦✈❡ ❡q✉❛t✐♦♥ ❝♦♥t❛✐♥s ♦♥❧② ♦♥❡ ❞✐♠❡♥s✐♦♥❧❡ss ♣❛r❛♠❡t❡r✱ ❦✱ ❛♥❞ ✐s ❛❧♠♦st t❤❡ ❞✐✛✉s✐♦♥ ❡q✉❛t✐♦♥✳ ❈♦♥s✐❞❡r t❤❡ ❢♦❧❧♦✇✐♥❣ ❝❤❛♥❣❡ ♦❢ ✈❛r✐❛❜❧❡ ✈ = ❡α①+βτ✉(①,τ) ❢♦r s♦♠❡ ❝♦♥st❛♥ts α ❛♥❞ β t♦ ❜❡ ❞❡t❡r♠✐♥❡❞ ❧❛t❡r✳ ▼❛❦✐♥❣ t❤❡ s✉❜st✐t✉t✐♦♥ ✭❛♥❞ ♣❡r❢♦r♠✐♥❣ t❤❡ ❞✐✛❡r❡♥t✐❛t✐♦♥✮ r❡s✉❧ts ✐♥ β✉ + ∂✉ ∂τ = α✷✉ +✷α ∂✉ ∂① + ∂ ✷✉ ∂①✷ +(❦ −✶)(α✉ + ∂✉ ∂① )−❦✉ ♥♦✇ ✐❢ ✇❡ ❝❤♦♦s❡ β = α✷ +(❦ −✶)α −❦ ✇✐t❤ ✵ = ✷α +(❦ −✶) ✇❡ r❡t✉r♥ ❛♥ ❡q✉❛t✐♦♥ ✇✐t❤ ♥♦ ✉ t❡r♠ ❛♥❞ ♥♦ ∂✉

∂① t❡r♠✳

◆❊❊❉ ❚❖ ❉❖ ▼❖❘❊✦✦✦

❯♥❞❡rst❛♥❞✐♥❣ t❤❡ ❙t♦❝❦ Pr✐❝✐♥❣ ▼♦❞❡❧ ✷✷▼✿✸✵✸✿✵✵✷