Two additions to Lucas's "inflation and welfare"

This work adds to Lucas (2000) by providing analytical solutions to two problems that are solved only numerically by the author. The first part uses a theorem in control theory (Arrow' s sufficiency theorem) to provide sufficiency conditions to characterize the optimum in a shopping-time problem where the value function need not be concave. In the original paper the optimality of the first-order condition is characterized only by means of a numerical analysis. The second part of the paper provides a closed-form solution to the general-equilibrium expression of the welfare costs of inflation when the money demand is double logarithmic. This closed-form solution allows for the precise calculation of the difference between the general-equilibrium and Bailey's partial-equilibrium estimates of the welfare losses due to inflation. Again, in Lucas's original paper, the solution to the general-equilibrium-case underlying nonlinear differential equation is done only numerically, and the posterior assertion that the general-equilibrium welfare figures cannot be distinguished from those derived using Bailey's formula rely only on numerical simulations as well.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Stability of neutral functional differential equations in terms of measures

In this paper we investigate the relationships between different concepts of stability in measure for the solutions of an autonomous or periodic neutral functional differential equation.

On retarded differential equations with impulses

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Zeros of Jacobi functions of second kind

The number of zeros in (- 1, 1) of the Jacobi function of second kind Q(n)((alpha, beta)) (x), alpha, beta > - 1, i.e. The second solution of the differential equation(1 - x(2))y (x) + (beta - alpha - (alpha + beta + 2)x)y' (x) + n(n + alpha + beta + 1)y(x) = 0,is determined for every n is an element of N and for all values of the parameters alpha > - 1 and beta > - 1. It turns out that this number depends essentially on alpha and beta as well as on the specific normalization of the function Q(n)((alpha, beta)) (x). Interlacing properties of the zeros are also obtained. As a consequence of the main result, we determine the number of zeros of Laguerre's and Hermite's functions of second kind. (c) 2005 Elsevier B.V. All rights reserved.

A Decomposition and Noise Removal Method Combining Diffusion Equation and Wave Atoms for Textured Images

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Discussion on the limit cycles of the Lev Ginzburg equation by M. Bellamy and R.E. Mickens, Journal of Sound and Vibration 308 (2007) 337-342

The authors M. Bellamy and R.E. Mickens in the article "Hopf bifurcation analysis of the Lev Ginzburg equation" published in Journal of Sound and Vibration 308 (2007) 337-342, claimed that this differential equation in the plane can exhibit a limit cycle. Here we prove that the Lev Ginzburg differential equation has no limit cycles. (C) 2012 Elsevier Ltd. All rights reserved.

Symmetry analysis of an integrable reaction-diffusion equation

In this paper, we investigate the invariance and integrability properties of an integrable two-component reaction-diffusion equation. We perform Painleve analysis for both the reaction-diffusion equation modelled by a coupled nonlinear partial differential equations and its general similarity reduced ordinary differential equation and confirm its integrability. Further, we perform Lie symmetry analysis for this model. Interestingly our investigations reveals a rich variety of particular solutions, which have not been reported in the literature, for this model. (C) 2000 Elsevier B.V. Ltd. All rights reserved.

Fortran programs for the time-dependent Gross-Pitaevskii equation in a fully anisotropic trap

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Evolution equation for short surface waves on water of finite depth

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

C programs for solving the time-dependent Gross-Pitaevskii equation in a fully anisotropic trap

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Stability of differential equations with piecewise constant argument via discrete equations

Lyapunov stability for a class of differential equation with piecewise constant argument (EPCA) is considered by means of the stability of a discrete equation. Applications to some nonlinear autonomous equations are given improving some linear known cases.

A well-balanced flow equation for noise removal and edge detection

In this paper, an anisotropic nonlinear diffusion equation for image restoration is presented. The model has two terms: the diffusion and the forcing term. The balance between these terms is made in a selective way, in which boundary points and interior points of the objects that make up the image are treated differently. The optimal smoothing time concept, which allows for finding the ideal stop time for the evolution of the partial differential equation is also proposed. Numerical results show the proposed model's high performance.

Some results on stability of retarded functional differential equations using dichotomic map techniques

This paper deals with the study of the stability of nonautonomous retarded functional differential equations using the theory of dichotomic maps. After some preliminaries, we prove the theorems on simple and asymptotic stability. Some examples are given to illustrate the application of the method. Main results about asymptotic stability of the equation x′(t) = -b(t)x(t - r) and of its nonlinear generalization x′(t) = b(t) f (x(t - r)) are established. © 1998 Kluwer Academic Publishers.

Object oriented modeling of piston engines

This work reports a conception phase of a piston engine global model. The model objective is forecast the motor performance (power, torque and specific consumption as a function of rotation and environmental conditions). Global model or Zero-dimensional is based on flux balance through each engine component. The resulting differential equations represents a compressive unsteady flow, in which, all dimensional variables are areas or volumes. A review is presented first. The ordinary differential equation system is presented and a Runge-Kutta method is proposed to solve it numerically. The model includes the momentum conservation equation to link the gas dynamics with the engine moving parts rigid body mechanics. As an oriented to objects model the documentation follows the UML standard. A discussion about the class diagrams is presented, relating the classes with physical model related. The OOP approach allows evolution from simple models to most complex ones without total code rewrite. Copyright © 2001 Society of Automotive Engineers, Inc.