First passages in bounded domains: When is the mean first passage time meaningful?

We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-dimensional domains of different shapes and configurations of the adsorbing and reflecting boundaries. From extensive numerical analysis we obtain the probability P(ω) distribution of the random variable ω=τ1/(τ1+τ2), which is a measure for how similar the first passage times τ1 and τ2 are of two independent realizations of a Brownian walk starting at the same location. We construct a chart for each domain, determining whether P(ω) represents a unimodal, bell-shaped form, or a bimodal, M-shaped behavior. While in the former case the mean first passage time (MFPT) is a valid characteristic of the first passage behavior, in the latter case it is an insufficient measure for the process. Strikingly we find a distinct turnover between the two modes of P(ω), characteristic for the domain shape and the respective location of absorbing and reflective boundaries. Our results demonstrate that large fluctuations of the first passage times may occur frequently in two-dimensional domains, rendering quite vague the general use of the MFPT as a robust measure of the actual behavior even in bounded domains, in which all moments of the first passage distribution exist.

Unit Root Analysis of Traffic Time Series in Toll Highways

Concession contracts in highways often include some kind of clauses (for example, a minimum traffic guarantee) that allow for better management of the business risks. The value of these clauses may be important and should be added to the total value of the concession. However, in these cases, traditional valuation techniques, like the NPV (net present value) of the project, are insufficient. An alternative methodology for the valuation of highway concession is one based on the real options approach. This methodology is generally built on the assumption of the evolution of traffic volume as a GBM (geometric Brownian motion), which is the hypothesis analyzed in this paper. First, a description of the methodology used for the analysis of the existence of unit roots (i.e., the hypothesis of non-stationarity) is provided. The Dickey-Fuller approach has been used, which is the most common test for this kind of analysis. Then this methodology is applied to perform a statistical analysis of traffic series in Spanish toll highways. For this purpose, data on the AADT (annual average daily traffic) on a set of highways have been used. The period of analysis is around thirty years in most cases. The main outcome of the research is that the hypothesis that traffic volume follows a GBM process in Spanish toll highways cannot be rejected. This result is robust, and therefore it can be used as a starting point for the application of the real options theory to assess toll highway concessions.

Empirical analysis of traffic volume for the application of the options theory to highway concessions

*************************************************************************************** EL WCTR es un Congreso de reconocido prestigio internacional en el ámbito de la investigación del transporte que hasta el 2010 publicaba sus libros de abstracts con ISBN. Por ello consideramos que debería seguir teníendose en cuenta para los indicadores de calidad ******************************************************************************************* Investment projects in the field of transportation infrastructures have a high degree of uncertainty and require an important amount of resources. In highway concessions in particular, the calculation of the Net Present Value (NPV) of the project by means of the discount of cash flows, may lead to erroneous results when the project incorporates certain flexibility. In these cases, the theory of real options is an alternative tool for the valuation of concessions. When the variable that generates uncertainty (in our case, the traffic) follows a random walk (or Geometric Brownian Motion), we can calculate the value of the options embedded in the contract starting directly from the process followed by that variable. This procedure notably simplifies the calculation method. In order to test the hypothesis of the evolution of traffic as a Geometric Brownian Motion, we have used the available series of traffic in Spanish highways, and we have applied the Augmented Dickey-Fuller approach, which is the most widely used test for this kind of study. The main result of the analysis is that we cannot reject the hypothesis that traffic follows a Geometric Brownian Motion in the majority of both toll highways and free highways in Spain.

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

Minimum size limit for useful locomotion by free-swimming microbes

Formulas are derived for the effect of size on a free-swimming microbe’s ability to follow chemical, light, or temperature stimuli or to disperse in random directions. The four main assumptions are as follows: (i) the organisms can be modeled as spheres, (ii) the power available to the organism for swimming is proportional to its volume, (iii) the noise in measuring a signal limits determination of the direction of a stimulus, and (iv) the time available to determine stimulus direction or to swim a straight path is limited by rotational diffusion caused by Brownian motion. In all cases, it is found that there is a sharp size limit below which locomotion has no apparent benefit. This size limit is estimated to most probably be about 0.6 μm diameter and is relatively insensitive to assumed values of the other parameters. A review of existing descriptions of free-floating bacteria reveals that the smallest of 97 motile genera has a mean length of 0.8 μm, whereas 18 of 94 nonmotile genera are smaller. Similar calculations have led to the conclusion that a minimum size also exists for use of pheromones in mate location, although this size limit is about three orders of magnitude larger. In both cases, the application of well-established physical laws and biological generalities has demonstrated that a common feature of animal behavior is of no use to small free-swimming organisms.

Torsional rigidity of single actin filaments and actin–actin bond breaking force under torsion measured directly by in vitro micromanipulation

Knowledge of the elastic properties of actin filaments is crucial for considering its role in muscle contraction, cellular motile events, and formation of cell shape. The stiffness of actin filaments in the directions of stretching and bending has been determined. In this study, we have directly determined the torsional rigidity and breaking force of single actin filaments by measuring the rotational Brownian motion and tensile strength using optical tweezers and microneedles, respectively. Rotational angular fluctuations of filaments supplied the torsional rigidity as (8.0 ± 1.2) × 10−26 Nm2. This value is similar to that deduced from the longitudinal rigidity, assuming the actin filament to be a homogeneous rod. The breaking force of the actin–actin bond was measured while twisting a filament through various angles using microneedles. The breaking force decreased greatly under twist, e.g., from 600–320 pN when filaments were turned through 90°, independent of the rotational direction. Our results indicate that an actin filament exhibits comparable flexibility in the rotational and longitudinal directions, but breaks more easily under torsional load.

Sorting by diffusion: An asymmetric obstacle course for continuous molecular separation

A separation technique employing a microfabricated sieve has been demonstrated by observing the motion of DNA molecules of different size. The sieve consists of a two-dimensional lattice of obstacles whose asymmetric disposition rectifies the Brownian motion of molecules driven through the device, causing them to follow paths that depend on their diffusion coefficient. A nominal 6% resolution by length of DNA molecules in the size range 15–30 kbp may be achieved in a 4-inch (10-cm) silicon wafer. The advantage of this method is that samples can be loaded and sorted continuously, in contrast to the batch mode commonly used in gel electrophoresis.

Protrusive growth from giant liposomes driven by actin polymerization

Development of protrusions in the cell is indispensable in the process of cell motility. Membrane protrusion has long been suggested to occur as a result of actin polymerization immediately beneath the cell membrane at the leading edge, but elucidation of the mechanism is insufficient because of the complexity of the cell. To study the mechanism, we prepared giant liposomes containing monomeric actin (100 or 200 μM) and introduced KCl into individual liposomes by an electroporation technique. On the electroporation, the giant liposomes deformed. Most importantly, protrusive structure grew from the liposomes containing 200 μM actin at rates (ranging from 0.3 to 0.7 μm/s) similar to those obtained in the cell. The deformation occurred in a time range (30 ∼ 100 s) similar to that of actin polymerization monitored in a cuvette (ca. 50 s). Concomitant with deformation, Brownian motion of micron-sized particles entrapped in the liposomes almost ceased. From these observations, we conclude that actin polymerization in the liposomes caused the protrusive formation.

Direct observation of extension and retraction of type IV pili

Type IV pili are thin filaments that extend from the poles of a diverse group of bacteria, enabling them to move at speeds of a few tenths of a micrometer per second. They are required for twitching motility, e.g., in Pseudomonas aeruginosa and Neisseria gonorrhoeae, and for social gliding motility in Myxococcus xanthus. Here we report direct observation of extension and retraction of type IV pili in P. aeruginosa. Cells without flagellar filaments were labeled with an amino-specific Cy3 fluorescent dye and were visualized on a quartz slide by total internal reflection microscopy. When pili were attached to a cell and their distal ends were free, they extended or retracted at rates of about 0.5 μm s−1 (29°C). They also flexed by Brownian motion, exhibiting a persistence length of about 5 μm. Frequently, the distal tip of a filament adsorbed to the substratum and the filament was pulled taut. From the absence of lateral deflections of such filaments, we estimate tensions of at least 10 pN. Occasionally, cell bodies came free and were pulled forward by pilus retraction. Thus, type IV pili are linear actuators that extend, attach at their distal tips, exert substantial force, and retract.

Conformational transitions monitored for single molecules in solution.

Phenomena that can be observed for a large number of molecules may not be understood if it is not possible to observe the events on the single-molecule level. We measured the fluorescence lifetimes of individual tetramethylrhodamine molecules, linked to an 18-mer deoxyribonucleotide sequence specific for M13 DNA, by time-resolved, single-photon counting in a confocal fluorescence microscope during Brownian motion in solution. When many molecules were observed, a biexponential fluorescence decay was observed with equal amplitudes. However, on the single-molecule level, the fraction of one of the amplitudes spanned from 0 to unity for a collection of single-molecule detections. Further analysis by fluorescence correlation spectroscopy made on many molecules revealed a process that obeys a stretched exponential relaxation law. These facts, combined with previous evidence of the quenching effect of guanosine on rhodamines, indicate that the tetramethylrhodamine molecule senses conformational transitions as it associates and dissociates to a guanosine-rich area. Thus, our results reveal conformational transitions in a single molecule in solution under conditions that are relevant for biological processes.

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

FemtoNewton force sensing with optically trapped nanotubes

We extract the distribution of both center-of-mass and angular fluctuations from three-dimensional tracking of optically trapped nanotubes. We measure the optical force and torque constants from autocorrelation and cross-correlation of the tracking signals. This allows us to isolate the angular Brownian motion. We demonstrate that nanotubes enable nanometer spatial and femtonewton force resolution in photonic force microscopy, the smallest to date. This has wide implications in nanotechnology, biotechnology, nanofluidics, and material science.

An Approach to Wealth Modelling

2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10

Sub- and Super-solutions of a Nonlinear PDE, and Application to a Semilinear SPDE

2010 Mathematics Subject Classification: 35R60, 60H15, 74H35.