Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

A non-extensive maximum entropy based regulations method for bad conditioned inverse problems

A regularization method based on the non-extensive maximum entropy principle is devised. Special emphasis is given to the q=1/2 case. We show that, when the residual principle is considered as constraint, the q=1/2 generalized distribution of Tsallis yields a regularized solution for bad-conditioned problems. The so devised regularized distribution is endowed with a component which corresponds to the well known regularized solution of Tikhonov (1977).

What to consider for applying backfilling on non-dedicated environments

The resource utilization level in open laboratories of several universities has been shown to be very low. Our aim is to take advantage of those idle resources for parallel computation without disturbing the local load. In order to provide a system that lets us execute parallel applications in such a non-dedicated cluster, we use an integral scheduling system that considers both Space and Time sharing concerns. For dealing with the Time Sharing (TS) aspect, we use a technique based on the communication-driven coscheduling principle. This kind of TS system has some implications on the Space Sharing (SS) system, that force us to modify the way job scheduling is traditionally done. In this paper, we analyze the relation between the TS and the SS systems in a non-dedicated cluster. As a consequence of this analysis, we propose a new technique, termed 3DBackfilling. This proposal implements the well known SS technique of backfilling, but applied to an environment with a MultiProgramming Level (MPL) of the parallel applications that is greater than one. Besides, 3DBackfilling considers the requirements of the local workload running on each node. Our proposal was evaluated in a PVM/MPI Linux cluster, and it was compared with several more traditional SS policies applied to non-dedicated environments.

On the number of limit cycles bifurcating from a non-global degenerated center

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The Zariski-Lefschetz principle for higher homotopy groups of nongeneric pencils

We prove a general Zariski-van Kampen-Lefschetz type theorem for higher homotopy groups of generic and nongeneric pencils on singular open complex spaces.

Creating and using a non-dedicated HPC cluster with ParallelKnoppix

This note describes ParallelKnoppix, a bootable CD that allows econometricians with average knowledge of computers to create and begin using a high performance computing cluster for parallel computing in very little time. The computers used may be heterogeneous machines, and clusters of up to 200 nodes are supported. When the cluster is shut down, all machines are in their original state, so their temporary use in the cluster does not interfere with their normal uses. An example shows how a Monte Carlo study of a bootstrap test procedure may be done in parallel. Using a cluster of 20 nodes, the example runs approximately 20 times faster than it does on a single computer.

ParallelKnoppix - Rapid deployment of a linux cluster for MPI parallel processing using non-dedicated computers

This note describes ParallelKnoppix, a bootable CD that allows creation of a Linux cluster in very little time. An experienced user can create a cluster ready to execute MPI programs in less than 10 minutes. The computers used may be heterogeneous machines, of the IA-32 architecture. When the cluster is shut down, all machines except one are in their original state, and the last can be returned to its original state by deleting a directory. The system thus provides a means of using non-dedicated computers to create a cluster. An example session is documented.

A note on the separability principle in economies with single-peaked

We consider the problem of allocating an infinitely divisible commodity among a group of agents with single-peaked preferences. A rule that has played a central role in the analysis of the problem is the so-called uniform rule. Chun (2001) proves that the uniform rule is the only rule satisfying Pareto optimality, no-envy, separability, and continuity (with respect to the social endowment). We obtain an alternative characterization by using a weak replication-invariance condition, called duplication-invariance, instead of continuity. Furthermore, we prove that Pareto optimality, equal division lower bound, and separability imply no-envy. Using this result, we strengthen one of Chun's (2001) characterizations of the uniform rule by showing that the uniform rule is the only rule satisfying Pareto optimality, equal división lower bound, separability, and either continuity or duplication-invariance.

Non compact euclidean cone 3-manifolds with cone angles less than 2∏

We study of noncompact Euclidean cone manifolds with cone angles less than c&2π and singular locus a submanifold. More precisely, we describe its structure outside a compact set. As a corol lary we classify those with cone angles & 2π/3 and those with cone angles = 2π/3.

Tropical varieties for non-archimedean analytic spaces

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