Long-tailed trapping times and Lévy flights in a self-organized critical granular system

We present a continuous time random walk model for the scale-invariant transport found in a self-organized critical rice pile [K. Christensen et al., Phys. Rev. Lett. 77, 107 (1996)]. From our analytical results it is shown that the dynamics of the experiment can be explained in terms of Lvy flights for the grains and a long-tailed distribution of trapping times. Scaling relations for the exponents of these distributions are obtained. The predicted microscopic behavior is confirmed by means of a cellular automaton model.

Extreme times in financial markets.

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

Mean first-passage times for systems driven by gamma and McFadden dichotomous noise

We consider mean first-passage times (MFPTs) for systems driven by non-Markov gamma and McFadden dichotomous noises. A simplified derivation is given of the underlying integral equations and the theory for ordinary renewal processes is extended to modified and equilibrium renewal processes. The exact results are compared with the MFPT for Markov dichotomous noise and with the results of Monte Carlo simulations.

Mean first-passage times for systems driven by equilibrium persistent-periodic dichotomous noise

In a recent paper, [J. M. Porrà, J. Masoliver, and K. Lindenberg, Phys. Rev. E 48, 951 (1993)], we derived the equations for the mean first-passage time for systems driven by the coin-toss square wave, a particular type of dichotomous noisy signal, to reach either one of two boundaries. The coin-toss square wave, which we here call periodic-persistent dichotomous noise, is a random signal that can only change its value at specified time points, where it changes its value with probability q or retains its previous value with probability p=1-q. These time points occur periodically at time intervals t. Here we consider the stationary version of this signal, that is, equilibrium periodic-persistent noise. We show that the mean first-passage time for systems driven by this stationary noise does not show either the discontinuities or the oscillations found in the case of nonstationary noise. We also discuss the existence of discontinuities in the mean first-passage time for random one-dimensional stochastic maps.

Extreme times for volatility processes

Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.

Social Investment Policies in Times of Permanent Austerity

The objective of this paper is to identify the political conditions that are most likely to be conducive to the development of social investment policies. It starts from the view put forward by theorists of welfare retrenchment that in the current context of permanent austerity, policy is likely to be dominated by retrenchment and implemented in a way that allows governments to minimise the risk of electoral punishment (blame avoidance). It is argued that this view is inconsistent with developments observed in several European countries, were some welfare state expansion has taken place mostly in the fields of childcare and active labour market policy. An alternative model is put forward, that emphasises the notion of "affordable credit claiming". It is argued that even under strong budgetary pressures, governments maintain a preference for policies that allow them to claim credit for their actions. Since the traditional redistributive policies tend to be off the menu for cost reasons, governments have tended to favour investments in childcare and active labour market policy as credit claiming tools. Policies developed in this way while they have a social investment flavour, tend to be rather limited in the extent to which they genuinely improve prospects of disadvantaged people by investing in their human capital. A more ambitious strategy of social investment sees unlikely to develop on the basis of affordable credit claiming. The paper starts by presenting the theoretical argument, which is then illustrated with examples taken from European countries both in the pre-crisis and in the post-crisis years.

Retention half times in the skeleton of plutonium and Sr-90 from above-ground nuclear tests: A retrospective study of the Swiss population

Plutonium and Sr-90 are considered to be among the most radiotoxic nuclides produced by the nuclear fission process. In spite of numerous studies on mammals and humans there is still no general agreement on the retention half time of both radionuclides in the skeleton in the general population. Here we determined plutonium and Sr-90 in human vertebrae in individuals deceased between 1960 and 2004 in Switzerland. Plutonium was measured by sensitive SF-ICP-MS techniques and Sr-90 by radiometric methods. We compared our results to the ones obtained for other environmental compartments to reveal the retention half time of NBT fallout Pu-239 and Sr-90 in trabecular bones of the Swiss population. Results show that plutonium has a retention half time of 40 +/- 14 years. In contrast Sr-90 has a shorter retention half time of 13.5 +/- 1.0 years. Moreover Sr-90 retention half time in vertebrae is shown to be linked to the retention half time in food and other environmental compartments. These findings demonstrate that the renewal of the vertebrae through calcium homeostatic control is faster for Sr-90 excretion than for plutonium excretion. The precise determination of the retention half time of plutonium in the skeleton will improve the biokinetic model of plutonium metabolism in humans. (C) 2010 Elsevier Ltd. All rights reserved.

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.

Sign of the Times, September-November 2012

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Life Times, Winter 2004

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Life Times, Winter 2005-2006

The IPERB newsletter is published by the Public Employment Relations Board. The opinions expressed should not be considered official opinions of the Iowa PERB.

Life Times, Winter 2008-2009

The IPERB newsletter is published by the Public Employment Relations Board. The opinions expressed should not be considered official opinions of the Iowa PERB.