99 resultados para stochastic volatility diffusions


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There is a growing interest in using stochastic parametrizations in numerical weather and climate prediction models. Previously, Palmer (2001) outlined the issues that give rise to the need for a stochastic parametrization and the forms such a parametrization could take. In this article a method is presented that uses a comparison between a standard-resolution version and a high-resolution version of the same model to gain information relevant for a stochastic parametrization in that model. A correction term that could be used in a stochastic parametrization is derived from the thermodynamic equations of both models. The origin of the components of this term is discussed. It is found that the component related to unresolved wave-wave interactions is important and can act to compensate for large parametrized tendencies. The correction term is not proportional to the parametrized tendency. Finally, it is explained how the correction term could be used to give information about the shape of the random distribution to be used in a stochastic parametrization. Copyright © 2009 Royal Meteorological Society

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(From author). Comments: First 3D stochastic/fractal model of cirrus; first detailed analysis & explanation of power spectra of ice water content, including first observations of 50-km scale break and mixing-induced steepening of spectrum; first demonstration of the potential effect of wind shear on radiative fluxes by changing fall-streak orientation. Has spawned work on the effect of 3D photon transport on the radiative effects of cirrus clouds.

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To improve the welfare of the rural poor and keep them in the countryside, the government of Botswana has been spending 40% of the value of agricultural GDP on agricultural support services. But can investment make smallholder agriculture prosperous in such adverse conditions? This paper derives an answer by applying a two-output six-input stochastic translog distance function, with inefficiency effects and biased technical change to panel data for the 18 districts and the commercial agricultural sector, from 1979 to 1996 This model demonstrates that herds are the most important input, followed by draft power. land and seeds. Multilateral indices for technical change, technical efficiency and total factor productivity (TFP) show that the technology level of the commercial agricultural sector is more than six times that of traditional agriculture and that the gap has been increasing, due to technological regression in traditional agriculture and modest progress in commercial agriculture. Since the levels of efficiency are similar, the same patient is repeated by the TFP indices. This result highlights the policy dilemma of the trade-off between efficiency and equity objectives.

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This paper introduces a simple futility design that allows a comparative clinical trial to be stopped due to lack of effect at any of a series of planned interim analyses. Stopping due to apparent benefit is not permitted. The design is for use when any positive claim should be based on the maximum sample size, for example to allow subgroup analyses or the evaluation of safety or secondary efficacy responses. A final frequentist analysis can be performed that is valid for the type of design employed. Here the design is described and its properties are presented. Its advantages and disadvantages relative to the use of stochastic curtailment are discussed. Copyright (C) 2003 John Wiley Sons, Ltd.

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A technique is presented for locating and tracking objects in cluttered environments. Agents are randomly distributed across the image, and subsequently grouped around targets. Each agent uses a weightless neural network and a histogram intersection technique to score its location. The system has been used to locate and track a head in 320x240 resolution video at up to 15fps.

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In this paper, an improved stochastic discrimination (SD) is introduced to reduce the error rate of the standard SD in the context of multi-class classification problem. The learning procedure of the improved SD consists of two stages. In the first stage, a standard SD, but with shorter learning period is carried out to identify an important space where all the misclassified samples are located. In the second stage, the standard SD is modified by (i) restricting sampling in the important space; and (ii) introducing a new discriminant function for samples in the important space. It is shown by mathematical derivation that the new discriminant function has the same mean, but smaller variance than that of standard SD for samples in the important space. It is also analyzed that the smaller the variance of the discriminant function, the lower the error rate of the classifier. Consequently, the proposed improved SD improves standard SD by its capability of achieving higher classification accuracy. Illustrative examples axe provided to demonstrate the effectiveness of the proposed improved SD.

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This paper investigates random number generators in stochastic iteration algorithms that require infinite uniform sequences. We take a simple model of the general transport equation and solve it with the application of a linear congruential generator, the Mersenne twister, the mother-of-all generators, and a true random number generator based on quantum effects. With this simple model we show that for reasonably contractive operators the theoretically not infinite-uniform sequences perform also well. Finally, we demonstrate the power of stochastic iteration for the solution of the light transport problem.