Determinação in Loco da difusividade térmica num solo da região de Caatinga (PB)

Um estudo experimental detalhado sobre transferências de calor e água no complexo solo - vegetação - atmosfera, em uma região de caatinga no semi-árido paraibano, mostrou que o comportamento termodinâmico do solo exerce papel fundamental no processo de evaporação do solo e nos fluxos de calor sensível. Este trabalho objetivou mostrar como a difusividade térmica do solo in loco foi determinada. Três métodos diferentes, embasados sobre hipóteses bem distintas, foram utilizados, e os seus resultados foram comparados. O método harmônico não se mostrou adequado para o tipo de solo encontrado. Para a camada superficial do solo (0-5 cm), o método CLTM (Corrected Laplace Transform Method) mostrou-se bem adaptado. Em todos os casos, o método NHS (método de Nassar & Horton), que considera variações verticais da difusividade térmica, apresentou uma dispersão elevada dos seus pontos, porém forneceu valores próximos dos valores estimados pelo método CLTM na camada superior e valores coerentes nas outras camadas. A umidade do solo, na profundidade média de 5 cm, foi medida por uma sonda TDR devidamente calibrada. Assim, pôde se determinar a relação entre a difusividade térmica e a umidade volumétrica para o solo estudado. Os valores muito baixos de difusividade constituem um condicionante importante do clima local.

Improved multiexponential transient spectroscopy by iterative deconvolution

The analysis of multiexponential decays is challenging because of their complex nature. When analyzing these signals, not only the parameters, but also the orders of the models, have to be estimated. We present an improved spectroscopic technique specially suited for this purpose. The proposed algorithm combines an iterative linear filter with an iterative deconvolution method. A thorough analysis of the noise effect is presented. The performance is tested with synthetic and experimental data.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

The Effect of a threshold proportional reinsurance strategy on ruin probabilities

[spa] En un modelo de Poisson compuesto, definimos una estrategia de reaseguro proporcional de umbral : se aplica un nivel de retención k1 siempre que las reservas sean inferiores a un determinado umbral b, y un nivel de retención k2 en caso contrario. Obtenemos la ecuación íntegro-diferencial para la función Gerber-Shiu, definida en Gerber-Shiu -1998- en este modelo, que nos permite obtener las expresiones de la probabilidad de ruina y de la transformada de Laplace del momento de ruina para distintas distribuciones de la cuantía individual de los siniestros. Finalmente presentamos algunos resultados numéricos.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Generalized Weyl solutions

It was shown by Weyl that the general static axisymmetric solution of the vacuum Einstein equations in four dimensions is given in terms of a single axisymmetric solution of the Laplace equation in three-dimensional flat space. Weyls construction is generalized here to arbitrary dimension D>~4. The general solution of the D-dimensional vacuum Einstein equations that admits D-2 orthogonal commuting non-null Killing vector fields is given either in terms of D-3 independent axisymmetric solutions of Laplaces equation in three-dimensional flat space or by D-4 independent solutions of Laplaces equation in two-dimensional flat space. Explicit examples of new solutions are given. These include a five-dimensional asymptotically flat black ring with an event horizon of topology S1S2 held in equilibrium by a conical singularity in the form of a disk.

Continued fraction solution for the radiative transfer equation in three dimensions

Starting from the radiative transfer equation, we obtain an analytical solution for both the free propagator along one of the axes and an arbitrary phase function in the Fourier-Laplace domain. We also find the effective absorption parameter, which turns out to be very different from the one provided by the diffusion approximation. We finally present an analytical approximation procedure and obtain a differential equation that accurately reproduces the transport process. We test our approximations by means of simulations that use the Henyey-Greenstein phase function with very satisfactory results.

Statistics of depth probed by cw measurement of photons in a turbid medium

Photon migration in a turbid medium has been modeled in many different ways. The motivation for such modeling is based on technology that can be used to probe potentially diagnostic optical properties of biological tissue. Surprisingly, one of the more effective models is also one of the simplest. It is based on statistical properties of a nearest-neighbor lattice random walk. Here we develop a theory allowing one to calculate the number of visits by a photon to a given depth, if it is eventually detected at an absorbing surface. This mimics cw measurements made on biological tissue and is directed towards characterizing the depth reached by photons injected at the surface. Our development of the theory uses formalism based on the theory of a continuous-time random walk (CTRW). Formally exact results are given in the Fourier-Laplace domain, which, in turn, are used to generate approximations for parameters of physical interest.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

The Effect of a threshold proportional reinsurance strategy on ruin probabilities

[spa] En un modelo de Poisson compuesto, definimos una estrategia de reaseguro proporcional de umbral : se aplica un nivel de retención k1 siempre que las reservas sean inferiores a un determinado umbral b, y un nivel de retención k2 en caso contrario. Obtenemos la ecuación íntegro-diferencial para la función Gerber-Shiu, definida en Gerber-Shiu -1998- en este modelo, que nos permite obtener las expresiones de la probabilidad de ruina y de la transformada de Laplace del momento de ruina para distintas distribuciones de la cuantía individual de los siniestros. Finalmente presentamos algunos resultados numéricos.

Apéndice. Análisis de la industria lítica de "Els Ermitons"

Después de la amplia exposición general que precede a nuestro estudio, no vamos a extendernos más en describir, en conjunto, los materiales de cada estrato. Nos hemos limitado a revisar a fondo todas y cada una de las piezas extraídas de la excavación; con anterioridad habían sido inventariadas y marcadas con un número correspondientes al fondo del Museo Arqueológico Provincial de Gerona, al que nosotros hacemos ahora referencia. Independientemente cada número de éstos abarca, en algunos casos, más de un útil, al aludir a un conjunto de piezas de una zona determinada, por lo que hemos procedido a marcar, a partir de 1, en cada caso, los útiles incluidos bajo una de las cifras de Gerona. En nuestra revisión hemos separado lo que ha sido considerado como útiles paleolíticos. La pobreza de estos materiales ha quedado ya suficientemente explicitada con anterioridad, tanto en su aspecto de utillaje como en el de la materia prima. En efecto, el total de útiles analizados, pertenecientes casi en su totalidad a los estratos III, IV Y V, es de 143. El método utilizado para la descripción del utillaje lítico ha sido el de la tipología analítica (Laplace, 1972). Somos plenamente conscientes de que su aplicación a una industria considerada como Paleolítico Medio es algo nuevo y que quizá sea aventurado, pero hemos de decir que la mera descripción de los útiles se puede enmarcar perfectamente en el campo de esta nueva metodología desde el punto de vista de una exposición objetiva de los retoques que conforman cada pieza. Nuestra decisión al decantarnos por la tipología analítica en nuestro estudio, es la de exponer simplemente las piezas, omitiendo al máximo las ambigüedades derivadas de las listas-tipo anteriores.