Brownian motion with drift threshold model

In this thesis we implement estimating procedures in order to estimate threshold parameters for the continuous time threshold models driven by stochastic di®erential equations. The ¯rst procedure is based on the EM (expectation-maximization) algorithm applied to the threshold model built from the Brownian motion with drift process. The second procedure mimics one of the fundamental ideas in the estimation of the thresholds in time series context, that is, conditional least squares estimation. We implement this procedure not only for the threshold model built from the Brownian motion with drift process but also for more generic models as the ones built from the geometric Brownian motion or the Ornstein-Uhlenbeck process. Both procedures are implemented for simu- lated data and the least squares estimation procedure is also implemented for real data of daily prices from a set of international funds. The ¯rst fund is the PF-European Sus- tainable Equities-R fund from the Pictet Funds company and the second is the Parvest Europe Dynamic Growth fund from the BNP Paribas company. The data for both funds are daily prices from the year 2004. The last fund to be considered is the Converging Europe Bond fund from the Schroder company and the data are daily prices from the year 2005.

Comments on ‘‘Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions

Applied Mathematical Modelling, Vol.33

On the relation between the fractional Brownian motion and the fractional derivatives

Physics Letters A, vol. 372; Issue 7

A fractional linear system view of the fractional brownian motion

Nonlinear Dynamics, Vol. 38

On-line system for faults detection in induction motors based on PCA

Dissertation to obtain the degree of Master in Electrical and Computer Engineering

Aplicação dos métodos de Taguchi e estudo da capacidade do processo: caso de estudo na indústria automóvel

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Mecânica

Application of superconducting bulks and stacks of tapes in electrical machines

The present dissertation focuses on the research of the recent approach of innovative high-temperature superconducting stacked tapes in electrical ma-chines applications, taking into account their potential benefits as an alternative for the massive superconducting bulks, mainly related with geometric and me-chanical flexibility. This work was developed in collaboration with Institut de Ciència de Ma-terials de Barcelona (ICMAB), and is related with evaluation of electrical and magnetic properties of the mentioned superconducting materials, namely: analysis of magnetization of a bulk sample through simulations carried out in the finite elements COMSOL software; measurement of superconducting tape resistivity at liquid nitrogen and room temperatures; and, finally, development and testing of a frequency controlled superconducting motor with rotor built by superconducting tapes. In the superconducting state, results showed a critical current density of 140.3 MA/m2 (or current of 51.15 A) on the tape and a 1 N∙m developed motor torque, independent from the rotor position angle, typical in hysteresis motors.