Parrondo-like behavior in continuous-time random walks with memory

The continuous-time random walk (CTRW) formalism can be adapted to encompass stochastic processes with memory. In this paper we will show how the random combination of two different unbiased CTRWs can give rise to a process with clear drift, if one of them is a CTRW with memory. If one identifies the other one as noise, the effect can be thought of as a kind of stochastic resonance. The ultimate origin of this phenomenon is the same as that of the Parrondo paradox in game theory.

The relationship of capitalization period length with market portfolio composition and betas

Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.

The mean-variance model from the inverse of the variance-covariance matrix

En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.

On the nucleolus of 2 x 2 assignment games

[spa] En este artículo hallamos fórmulas para el nucleolo de juegos de asignación arbitrarios con dos compradores y dos vendedores. Se analizan cinco casos distintos, dependiendo de las entradas en la matriz de asignación. Los resultados se extienden a los casos de juegos de asignación de tipo 2 x m o m x 2.

Morphological changes in convection-diffusion-limited deposition

The effect of hydrodynamic flow upon diffusion-limited deposition on a line is investigated using a Monte Carlo model. The growth process is governed by the convection and diffusion field. The convective diffusion field is simulated by the biased-random walker resulting from a superimposed drift that represents the convective flow. The development of distinct morphologies is found with varying direction and strength of drift. By introducing a horizontal drift parallel to the deposition plate, the diffusion-limited deposit changes into a single needle inclined to the plate. The width of the needle decreases with increasing strength of drift. The angle between the needle and the plate is about 45° at high flow rate. In the presence of an inclined drift to the plate, the convection-diffusion-limited deposit leads to the formation of a characteristic columnar morphology. In the limiting case where the convection dominates, the deposition process is equivalent to ballistic deposition onto an inclined surface.

Interiority of the optimal population growth rate with endogenous fertility

This paper analyzes the issue of the interiority of the optimal population growth rate in a two-period overlapping generations model with endogenous fertility. Using Cobb-Douglas utility and production functions, we show that the introduction of a cost of raising children allows for the possibility of the existence of an interior global maximum in the planner¿s problem, contrary to the exogenous fertility case

La teoría de la detección de señales en tareas y reconocimiento de palabras de clase cerrada

Esta investigación representa una actualización y extensión de los modelos matemáticos aplicados por Wickelgren y Norman (1966). Tal modelación ha partido del supuesto teórico de continuidad de la fuerza de la huella asi como del continuo de estados de respuesta de la TDS (teoria de la detección de señales). Si partimos de tales modelos, de la abundancia de resultados experimentales en este sentido y de la analogia entre el decaimiento geométrico y el aritmético, podemos estimar la función matemitica que mejor describe y predice 10s resultados. La aplicación se ha concretado en palabras de clase cerrada o palabras funcionales (pronombres, preposiciones, etc.) considerando L-K como variable independiente (L=longitud de la lista, K=posiciÓn serial). Los resultados confirman que el modelo describe de una forma precisa los datos obtenidos y la utilidad para este propósito de las medidas d', beta y las curvas MOC (característica operativa de la memoria).

Análisis evaluativo de las características teórico-empíricas de los sistemas de ecuaciones estructurales

El empleo generalizado de los modelos de ecuaciones estructurales ha llevado al planteamiento de distintas estrategias de trabajo en el ámbito de los diseños no experimentales. Es por ello que este tipo de análisis estadístico está relacionado en su propia configuración con aspectos de carácter estrictamente metodológico. Ello no es en sí mismo una novedad, puesto que técnicas como el Anova presentan esa misma configuración. Sin embargo, no puede pensarse en los sistemas de ecuaciones estructurales en los mismos términos que el resto de pruebas estadísticas. De ahí que en este articulo se pretenda efectuar un análisis de la técnica en cuestión desde una perspectiva teórica y empírica para mostrar algunos de los elementos criticos de este tipo de tratamiento de datos. Así se efectua una revisión del proceso de modelización estadística estructural, comentando la posibilidad de interpretación causal a partir de la estimación de parametros, su adecuación en diseños experimentales y, de forma general, una evaluación de los procedimientos de ajuste global de los datos obtenidos

Space Competition and Time Delays in Human Range Expansions. Application to the Neolithic Transition

Space competition effects are well-known in many microbiological and ecological systems. Here we analyze such an effectin human populations. The Neolithic transition (change from foraging to farming) was mainly the outcome of a demographic process that spread gradually throughout Europe from the Near East. In Northern Europe, archaeological data show a slowdown on the Neolithic rate of spread that can be related to a high indigenous (Mesolithic) population density hindering the advance as a result of the space competition between the two populations. We measure this slowdown from a database of 902 Early Neolithic sites and develop a time-delayed reaction-diffusion model with space competition between Neolithic and Mesolithic populations, to predict the observed speeds. The comparison of the predicted speed with the observations and with a previous non-delayed model show that both effects, the time delay effect due to the generation lag and the space competition between populations, are crucial in order to understand the observations

Prediction of Childhood Asthma Using Conditional Probability and Discrete Event Simulation

Abstract: Asthma prevalence in children and adolescents in Spain is 10-17%. It is the most common chronic illness during childhood. Prevalence has been increasing over the last 40 years and there is considerable evidence that, among other factors, continued exposure to cigarette smoke results in asthma in children. No statistical or simulation model exist to forecast the evolution of childhood asthma in Europe. Such a model needs to incorporate the main risk factors that can be managed by medical authorities, such as tobacco (OR = 1.44), to establish how they affect the present generation of children. A simulation model using conditional probability and discrete event simulation for childhood asthma was developed and validated by simulating realistic scenario. The parameters used for the model (input data) were those found in the bibliography, especially those related to the incidence of smoking in Spain. We also used data from a panel of experts from the Hospital del Mar (Barcelona) related to actual evolution and asthma phenotypes. The results obtained from the simulation established a threshold of a 15-20% smoking population for a reduction in the prevalence of asthma. This is still far from the current level in Spain, where 24% of people smoke. We conclude that more effort must be made to combat smoking and other childhood asthma risk factors, in order to significantly reduce the number of cases. Once completed, this simulation methodology can realistically be used to forecast the evolution of childhood asthma as a function of variation in different risk factors.

Progress in front propagation research

We review the progress in the field of front propagation in recent years. We survey many physical, biophysical and cross-disciplinary applications, including reduced-variable models of combustion flames, Reid's paradox of rapid forest range expansions, the European colonization of North America during the 19th century, the Neolithic transition in Europe from 13 000 to 5000 years ago, the description of subsistence boundaries, the formation of cultural boundaries, the spread of genetic mutations, theory and experiments on virus infections, models of cancer tumors, etc. Recent theoretical advances are unified in a single framework, encompassing very diverse systems such as those with biased random walks, distributed delays, sequential reaction and dispersion, cohabitation models, age structure and systems with several interacting species. Directions for future progress are outlined

Ecuaciones de recurrencia estocásticas en el cálculo de la prima de reaseguro Finite Risk

RESUMEN: El objetivo de este trabajo es calcular el importe de la prima pura periódica que debe cobrar el reasegurador a la cedente en un reaseguro finite risk en ambiente financiero estocástico. El problema de la convolución de las diferentes variables aleatorias que intervienen en el cálculo de la prima lo hemos solucionado simulando, por Monte-Carlo, trayectorias de siniestralidad para el reasegurador aplicando posteriormente, en cada trayectoria simulada, los criterios de decisión financieros, esperanza, varianza y desviación. En los criterios de la varianza y de la desviación proponemos utilizar una ecuación de recurrencia estocástica para evitar el problema de la dependencia que existe entre los factores de capitalización estocásticos, obteniendo la prima de reaseguro en función del nivel de aversión al riesgo del reasegurador y de la volatilidad del tipo de interés. Palabras clave: Finite risk, ambiente estocástico, ecuación de recurrencia, simulación de Monte-Carlo, prima pura periódica.

Multidelayed random walks: Theory and application to the neolithic transition in Europe

We present a model in which particles (or individuals of a biological population) disperse with a rest time between consecutive motions (or migrations) which may take several possible values from a discrete set. Particles (or individuals) may also react (or reproduce). We derive a new equation for the effective rest time T˜ of the random walk. Application to the neolithic transition in Europe makes it possible to derive more realistic theoretical values for its wavefront speed than those following from the single-delayed framework presented previously [J. Fort and V. Méndez, Phys. Rev. Lett. 82, 867 (1999)]. The new results are consistent with the archaeological observations of this important historical process