Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Neighborhood and Efficiency in Manufacturing in Brazilian Regions: A Spatial Markov Chain Analysis

This paper analyzes the geography of regional competitiveness in manufacturing in Brazil. The authors estimate stochastic frontiers to calculate regional efficiency of representative firms in 137 regions in the period 2000-2006, in four sectors defined by technological intensity. The efficiency results are analyzed using Markov Spatial Transition Matrices to provide insights into the transition of regions between efficiency levels, considering their local spatial context. The results indicate that geography plays an important role in manufacturing competitiveness. In particular, regions with more competitive neighbors are more likely to improve their relative efficiency (pull effect) over time, and regions with less competitive neighbors are more likely to lose relative efficiency (drag effect). The authors find that the pull effect is stronger than the drag effect.

Characterization of the rat exploratory behavior in the elevated plus-maze with Markov chains

The elevated plus-maze is an animal model of anxiety used to study the effect of different drugs on the behavior of the animal It consists of a plus-shaped maze with two open and two closed arms elevated 50 cm from the floor The standard measures used to characterize exploratory behavior in the elevated plus-maze are the time spent and the number of entries in the open arms In this work we use Markov chains to characterize the exploratory behavior of the rat in the elevated plus-maze under three different conditions normal and under the effects of anxiogenic and anxiolytic drugs The spatial structure of the elevated plus-maze is divided into squares which are associated with states of a Markov chain By counting the frequencies of transitions between states during 5-min sessions in the elevated plus-maze we constructed stochastic matrices for the three conditions studied The stochastic matrices show specific patterns which correspond to the observed behaviors of the rat under the three different conditions For the control group the stochastic matrix shows a clear preference for places in the closed arms This preference is enhanced for the anxiogenic group For the anxiolytic group the stochastic matrix shows a pattern similar to a random walk Our results suggest that Markov chains can be used together with the standard measures to characterize the rat behavior in the elevated plus-maze (C) 2010 Elsevier B V All rights reserved

Association between micronuclei frequency in pollen mother cells of Tradescantia and mortality due to cancer and cardiovascular diseases: A preliminary study in Sao Jose dos Campos, Brazil

The present study was designed to explore the correlation between the frequency of micronuclei in Trad-MN, measured across 28 biomonitoring stations during the period comprised between 11 of May and 2 of October, 2006, and adjusted mortality rates due to cardiovascular, respiratory diseases and cancer in Sao Jose dos Campos, Brazil, an area with different sources of air pollution. For controlling purposes, mortality rate due to gastrointestinal diseases (an event less prone to be affected by air pollution) was also considered in the analysis. Spatial distribution of micronuclei frequency was determined using average interpolation. The association between health estimators and micronuclei frequency was determined by measures of Pearson`s correlation. Higher frequencies of micronuclei were detected in areas with high traffic and close to a petrochemical pole. Significant associations were detected between micronuclei frequency and adjusted mortality rate due to cardiovascular diseases (r = 0.841, p = 0.036) and cancer (r = 0.890, p = 0.018). The association between mortality due to chronic obstructive pulmonary diseases was positive but did not reach statistical significance (r = 0.640, p = 0.172), probably because of the small number of events. Gastrointestinal mortality did not exhibit significant association with micronuclei frequency. Because the small number of observations and the nature of an ecological study, the present findings must be considered with caution and considered as preliminary. Further studies, performed in different conditions of contamination and climate should be done before considering Trad-MN in the evaluation of human health risk imposed by air pollutants. (C) 2009 Elsevier Ltd. All rights reserved.

Actinocephalus verae (Eriocaulaceae), a new species from the Brazilian Campos Rupestres

We describe and illustrate the new species Actinocephalus verae (Eriocaulaceae: Paepalanthoideae). This species is endemic to the rocky outcrops of the Espinhacao range in Minas Gerais, Brazil. We make comparisons with Actinocephalus ithyphyllus and Actinocephalus ochrocephalus, the morphologically most similar species. The new species` morphological variation, habitat, geographic distribution, and conservation status are discussed.

Three new species of Ocotea (Lauraceae) from the campos rupestres of Brazil

Three new hermaphrodite species of Ocotea (Lauraceae) from the campos rupestres of Brazil are described and illustrated: Ocotea pumila, which is known from Bahia state; and Ocotea colophanthera and Ocotea rupestris both from Minas Gerais state. Their diagnostic features are pointed out, and a discussion of their relationships to other species of Ocotea is provided.

Population biology and regeneration of forbs and shrubs after fire in Brazilian Campos grasslands

Fire is an important factor in several ecosystems, affecting plant population biology. Campos grasslands are under constant influence of disturbance, mostly grazing and fire. However, few studies evaluated the effect of fire on plant population biology of grassland species. Therefore, we aim to analyze the effect of fire on the population biology of four species, from different functional groups and regeneration strategies: Chaptalia runcinata (forb, resprouter, absence of belowground organ), Vernonia flexuosa (forb, resprouter, presence of rhizophore), Eupatorium ligulaefolium (shrub, resprouter, presence of xylopodium) and Heterothalamus psiadioides (shrub, obligate seeder). Seven plots were established in different sites in southern Brazil: frequently burned (FB) and excluded from fire since 6 years (E). All plots were subjected to controlled burns during summer. Before experiments, populations were sampled. Further observations were carried out after 90 and after 360 days of fire experiments. In addition, we counted the number of seedlings and resprouters recruited after fire. Heat shock experiments were conducted with two species (H. psiadioides and V. flexuosa), as well as the study of the bud bank of the following species: E. ligulaefolium and V. flexuosa. The obligate seeder species had all individuals killed by fire and established only after 1 year. Resprouters, however, showed new stems immediately after fire. E. ligulaefolium and V. flexuosa showed only vegetative regeneration from belowground organs and more individuals in excluded sites 1 year after the fire. The bud bank of E. ligulaefolium tended to be larger in excluded sites, whilst V. flexuosa showed an opposite result. High temperatures did not enhance nor kill seeds from both studied species. Vegetative regeneration was the most important strategy for all studied species, except for H. psiadioides, the obligate seeder species. Fire thus, plays an important role on population structure and demography, being also important for plant recruitment.

FIRE INTENSITY AND SEVERITY IN BRAZILIAN CAMPOS GRASSLANDS

Brazilian Campos grasslands are rich in species and the maintenance of its diversity and physiognomy is dependent on disturbance (e.g. fire and grazing) Nevertheless, studies about fire intensity and severity are inexistent. The present paper describes fire parameters, using 14 experimental burn plots in southern Brazil (30 degrees 02` to 30 degrees 04`S, and 51 degrees 06` to 51 degrees 09`W. 311masl). Two sites under different fire histories were chosen: frequently burned and excluded since six years. Experimental burning was performed during summer (2006-2007), when most burning takes place in these grasslands. The following parameters were measured: air temperature and moisture, vegetation height, wind speed, fuel (fine, coarse), fuel moisture, fire temperatures (soil level and at 50cm), ash, residuals, flame freight, fire duration: burning efficiency and fire intensity were later calculated. Fuel load varied from 0.39 to 1.44kg.m(-2). and correlated positively with both fire temperature and fire intensity. Fire temperatures ranged 47 to 537.5 degrees C. being higher in the excluded site Fire intensity was low compared to grassland elsewhere (36 5-319.5kW.m(-1)), differing significantly between sties Fine fuel was the variable that best explained fire intensity. The results on fire intensity and severity in Campos grasslands can be considered a pilot study, since plots were very small. However the data provided can help other researchers to get permission for experimentation using larger plots The results provide support for further studies about the effects of fire on grassland vegetation and for studies involving fire models and fire risk prediction

A semi-Markov multistate model for estimation of the mean quality-adjusted survival for non-progressive processes

We discuss the estimation of the expected value of the quality-adjusted survival, based on multistate models. We generalize an earlier work, considering the sojourn times in health states are not identically distributed, for a given vector of covariates. Approaches based on semiparametric and parametric (exponential and Weibull distributions) methodologies are considered. A simulation study is conducted to evaluate the performance of the proposed estimator and the jackknife resampling method is used to estimate the variance of such estimator. An application to a real data set is also included.