Free inertial processes driven by Gaussian noise: Probability distributions, anomalous diffusion and fractal behavior

We study the motion of an unbound particle under the influence of a random force modeled as Gaussian colored noise with an arbitrary correlation function. We derive exact equations for the joint and marginal probability density functions and find the associated solutions. We analyze in detail anomalous diffusion behaviors along with the fractal structure of the trajectories of the particle and explore possible connections between dynamical exponents of the variance and the fractal dimension of the trajectories.

Generalized Langevin equations: Anomalous diffusion and probability distributions

We study the motion of a particle governed by a generalized Langevin equation. We show that, when no fluctuation-dissipation relation holds, the long-time behavior of the particle may be from stationary to superdiffusive, along with subdiffusive and diffusive. When the random force is Gaussian, we derive the exact equations for the joint and marginal probability density functions for the position and velocity of the particle and find their solutions.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

A CT-based study investigating the relationship between pedicle screw placement and stimulation threshold of compound muscle action potentials measured by intraoperative neurophysiological monitoring.

PURPOSE: Neurophysiological monitoring aims to improve the safety of pedicle screw placement, but few quantitative studies assess specificity and sensitivity. In this study, screw placement within the pedicle is measured (post-op CT scan, horizontal and vertical distance from the screw edge to the surface of the pedicle) and correlated with intraoperative neurophysiological stimulation thresholds. METHODS: A single surgeon placed 68 thoracic and 136 lumbar screws in 30 consecutive patients during instrumented fusion under EMG control. The female to male ratio was 1.6 and the average age was 61.3 years (SD 17.7). Radiological measurements, blinded to stimulation threshold, were done on reformatted CT reconstructions using OsiriX software. A standard deviation of the screw position of 2.8 mm was determined from pilot measurements, and a 1 mm of screw-pedicle edge distance was considered as a difference of interest (standardised difference of 0.35) leading to a power of the study of 75 % (significance level 0.05). RESULTS: Correct placement and stimulation thresholds above 10 mA were found in 71 % of screws. Twenty-two percent of screws caused cortical breach, 80 % of these had stimulation thresholds above 10 mA (sensitivity 20 %, specificity 90 %). True prediction of correct position of the screw was more frequent for lumbar than for thoracic screws. CONCLUSION: A screw stimulation threshold of >10 mA does not indicate correct pedicle screw placement. A hypothesised gradual decrease of screw stimulation thresholds was not observed as screw placement approaches the nerve root. Aside from a robust threshold of 2 mA indicating direct contact with nervous tissue, a secondary threshold appears to depend on patients' pathology and surgical conditions.

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.

Theoretical approach to the magnetostructural correlations in spin-Peierls compound CuGeO3

A theoretical density-functional study has been carried out to analyze the exchange coupling in the chains of CuGeO3 using discrete models. The results show a good agreement with the experimental exchange coupling constant (J) together with a strong dependence of J with the Cu-O-Cu angle. The calculation of the J values for a distorted model indicates a larger degree of dimerization than those reported previously.

Theoretical approach to the magnetostructural correlations in spin-Peierls compound CuGeO3

A theoretical density-functional study has been carried out to analyze the exchange coupling in the chains of CuGeO3 using discrete models. The results show a good agreement with the experimental exchange coupling constant (J) together with a strong dependence of J with the Cu-O-Cu angle. The calculation of the J values for a distorted model indicates a larger degree of dimerization than those reported previously.

Characterization of PhlG, a hydrolase that specifically degrades the antifungal compound 2,4-diacetylphloroglucinol in the biocontrol agent Pseudomonas fluorescens CHA0.

The potent antimicrobial compound 2,4-diacetylphloroglucinol (DAPG) is a major determinant of biocontrol activity of plant-beneficial Pseudomonas fluorescens CHA0 against root diseases caused by fungal pathogens. The DAPG biosynthetic locus harbors the phlG gene, the function of which has not been elucidated thus far. The phlG gene is located upstream of the phlACBD biosynthetic operon, between the phlF and phlH genes which encode pathway-specific regulators. In this study, we assigned a function to PhlG as a hydrolase specifically degrades DAPG to equimolar amounts of mildly toxic monoacetylphloroglucinol (MAPG) and acetate. DAPG added to cultures of a DAPG-negative DeltaphlA mutant of strain CHA0 was completely degraded, and MAPG was temporarily accumulated. In contrast, DAPG was not degraded in cultures of a DeltaphlA DeltaphlG double mutant. To confirm the enzymatic nature of PhlG in vitro, the protein was histidine tagged, overexpressed in Escherichia coli, and purified by affinity chromatography. Purified PhlG had a molecular mass of about 40 kDa and catalyzed the degradation of DAPG to MAPG. The enzyme had a kcat of 33 s(-1) and a Km of 140 microM at 30 degrees C and pH 7. The PhlG enzyme did not degrade other compounds with structures similar to DAPG, such as MAPG and triacetylphloroglucinol, suggesting strict substrate specificity. Interestingly, PhlG activity was strongly reduced by pyoluteorin, a further antifungal compound produced by the bacterium. Expression of phlG was not influenced by the substrate DAPG or the degradation product MAPG but was subject to positive control by the GacS/GacA two-component system and to negative control by the pathway-specific regulators PhlF and PhlH.

Predicting future distributions of mountain plants under climate change: does dispersal capacity matter?

Many studies have investigated the impacts that climate change could potentially have on the distribution of plant species, but few have attempted to constrain projections through plant dispersal limitations. Instead, most studies published so far have been using the simplification of considering dispersal as either unlimited or null. However, depending on a species' dispersal capacity, landscape fragmentation, and the rate of climatic change, these assumptions can lead to serious over- or underestimation of a species' future distribution. To quantify the discrepancies between unlimited, realistic, and no dispersal scenarios, we carried out projections of future distribution over the 21st century for 287 mountain plant species in a study area of the Western Swiss Alps. For each species, simulations were run for four dispersal scenarios (unlimited dispersal, no dispersal, realistic dispersal and realistic dispersal with long-distance dispersal events) and under four climate change scenarios. Although simulations accounting for realistic dispersal limitations did significantly differ from those considering dispersal as unlimited or null in terms of projected future distribution, using the unlimited dispersal simplification nevertheless provided good approximations for species extinctions under more moderate climate change scenarios. Overall, simulations accounting for dispersal limitations produced, for our mountainous study area, results that were significantly closer to unlimited dispersal than to no dispersal. Finally, analyzing the temporal pattern of species extinctions over the entire 21st century showed that, due to the possibility of a large number of species shifting their distribution to higher elevation, important species extinctions for our study area might not occur before the 2080-2100 time periods.

Can we disentangle predator-prey interactions from species distributions at a macro-scale? A case study with a raptor species.

There is a debate on whether an influence of biotic interactions on species distributions can be reflected at macro-scale levels. Whereas the influence of biotic interactions on spatial arrangements is beginning to be studied at local scales, similar studies at macro-scale levels are scarce. There is no example disentangling, from other similarities with related species, the influence of predator-prey interactions on species distributions at macro-scale levels. In this study we aimed to disentangle predator-prey interactions from species distribution data following an experimental approach including a factorial design. As a case of study we selected the short-toed eagle because of its known specialization on certain prey reptiles. We used presence-absence data at a 100 Km2 spatial resolution to extract the explanatory capacity of different environmental predictors (five abiotic and two biotic predictors) on the short-toed eagle species distribution in Peninsular Spain. Abiotic predictors were relevant climatic and topographic variables, and relevant biotic predictors were prey richness and forest density. In addition to the short-toed eagle, we also obtained the predictor's explanatory capacities for i) species of the same family Accipitridae (as a reference), ii) for other birds of different families (as controls) and iii) species with randomly selected presences (as null models). We run 650 models to test for similarities of the short-toed eagle, controls and null models with reference species, assessed by regressions of explanatory capacities. We found higher similarities between the short-toed eagle and other species of the family Accipitridae than for the other two groups. Once corrected by the family effect, our analyses revealed a signal of predator-prey interaction embedded in species distribution data. This result was corroborated with additional analyses testing for differences in the concordance between the distributions of different bird categories and the distributions of either prey or non-prey species of the short-toed eagle. Our analyses were useful to disentangle a signal of predator-prey interactions from species distribution data at a macro-scale. This study highlights the importance of disentangling specific features from the variation shared with a given taxonomic level.

On the relationship between connections and the asymptotic properties of predictive distributions

In a recent paper, Komaki studied the second-order asymptotic properties of predictive distributions, using the Kullback-Leibler divergence as a loss function. He showed that estimative distributions with asymptotically efficient estimators can be improved by predictive distributions that do not belong to the model. The model is assumed to be a multidimensional curved exponential family. In this paper we generalize the result assuming as a loss function any f divergence. A relationship arises between alpha connections and optimal predictive distributions. In particular, using an alpha divergence to measure the goodness of a predictive distribution, the optimal shift of the estimate distribution is related to alpha-covariant derivatives. The expression that we obtain for the asymptotic risk is also useful to study the higher-order asymptotic properties of an estimator, in the mentioned class of loss functions.