886 resultados para Finite-time stochastic stability
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We present in this paper ideas to tackle the problem of analysing and forecasting nonstationary time series within the financial domain. Accepting the stochastic nature of the underlying data generator we assume that the evolution of the generator's parameters is restricted on a deterministic manifold. Therefore we propose methods for determining the characteristics of the time-localised distribution. Starting with the assumption of a static normal distribution we refine this hypothesis according to the empirical results obtained with the methods anc conclude with the indication of a dynamic non-Gaussian behaviour with varying dependency for the time series under consideration.
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The present empirical investigation had a 3-fold purpose: (a) to cross-validate L. R. Offermann, J. K. Kennedy, and P. W. Wirtz's (1994) scale of Implicit Leadership Theories (ILTs) in several organizational settings and to further provide a shorter scale of ILTs in organizations; (b) to assess the generalizability of ILTs across different employee groups, and (c) to evaluate ILTs' change over time. Two independent samples were used for the scale validation (N 1 = 500 and N 2 = 439). A 6-factor structure (Sensitivity, Intelligence, Dedication, Dynamism, Tyranny, and Masculinity) was found to most accurately represent ILTs in organizational settings. Regarding the generalizability of ILTs, although the 6-factor structure was consistent across different employee groups, there was only partial support for total factorial invariance. Finally, evaluation of gamma, beta, and alpha change provided support for ILTs' stability over time.
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Three different stoichiometric forms of RbMn[Fe(CN) ]y·zHO [x = 0.96, y = 0.98, z = 0.75 (1); x = 0.94, y = 0.88, z = 2.17 (2); x = 0.61, y = 0.86, z = 2.71 (3)] Prussian blue analogues were synthesized and investigated by magnetic, calorimetric, Raman spectroscopic, X-ray diffraction, and Fe Mössbauer spectroscopic methods. Compounds 1 and 2 show a hysteresis loop between the high-temperature (HT) Fe(S = 1/2)-CN-Mn(S = 5/2) and the low-temperature (LT) Fe(S = 0)-CN-Mn(S = 2) forms of 61 and 135 K width centered at 273 and 215 K, respectively, whereas the third compound remains in the HT phase down to 5 K. The splitting of the quadrupolar doublets in the Fe Mössbauer spectra reveal the electron-transfer-active centers. Refinement of the X-ray powder diffraction profiles shows that electron-transfer-active materials have the majority of the Rb ions on only one of the two possible interstitial sites, whereas nonelectron-transfer-active materials have the Rb ions equally distributed. Moreover, the stability of the compounds with time and following heat treatment is also discussed. © Wiley-VCH Verlag GmbH & Co. KGaA, 2009.
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For analysing financial time series two main opposing viewpoints exist, either capital markets are completely stochastic and therefore prices follow a random walk, or they are deterministic and consequently predictable. For each of these views a great variety of tools exist with which it can be tried to confirm the hypotheses. Unfortunately, these methods are not well suited for dealing with data characterised in part by both paradigms. This thesis investigates these two approaches in order to model the behaviour of financial time series. In the deterministic framework methods are used to characterise the dimensionality of embedded financial data. The stochastic approach includes here an estimation of the unconditioned and conditional return distributions using parametric, non- and semi-parametric density estimation techniques. Finally, it will be shown how elements from these two approaches could be combined to achieve a more realistic model for financial time series.
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This thesis demonstrates that the use of finite elements need not be confined to space alone, but that they may also be used in the time domain, It is shown that finite element methods may be used successfully to obtain the response of systems to applied forces, including, for example, the accelerations in a tall structure subjected to an earthquake shock. It is further demonstrated that at least one of these methods may be considered to be a practical alternative to more usual methods of solution. A detailed investigation of the accuracy and stability of finite element solutions is included, and methods of applications to both single- and multi-degree of freedom systems are described. Solutions using two different temporal finite elements are compared with those obtained by conventional methods, and a comparison of computation times for the different methods is given. The application of finite element methods to distributed systems is described, using both separate discretizations in space and time, and a combined space-time discretization. The inclusion of both viscous and hysteretic damping is shown to add little to the difficulty of the solution. Temporal finite elements are also seen to be of considerable interest when applied to non-linear systems, both when the system parameters are time-dependent and also when they are functions of displacement. Solutions are given for many different examples, and the computer programs used for the finite element methods are included in an Appendix.
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Mathematics Subject Classification 2010: 26A33, 33E12, 35S10, 45K05.
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The links between childhood eating behaviours and parental feeding practices are well-established in younger children, but there is a lack of research examining these variables in a preadolescent age group, particularly from the child's perspective, and longitudinally. This study firstly aimed to examine the continuity and stability of preadolescent perceptions of their parents' controlling feeding practices (pressure to eat and restriction) over a 12 month period. The second aim was to explore if perceptions of parental feeding practices moderated the relationship between preadolescents' eating behaviours longitudinally. Two hundred and twenty nine preadolescents (mean age at recruitment 8.73 years) completed questionnaires assessing their eating behaviours and their perceptions of parental feeding practices at two time points, 12 months apart (T1 and T2). Preadolescents' perceptions of their parental feeding practices remained stable. Perceptions of restriction and pressure to eat were continuous. Perceptions of parental pressure to eat and restriction significantly moderated the relationships between eating behaviours at T1 and T2. The findings from this study suggest that in a preadolescent population, perceptions of parental pressure to eat and restriction of food may exacerbate the development of problematic eating behaviours.
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The current mobile networks don't offer sufficient data rates to support multimedia intensive applications in development for multifunctional mobile devices. Ultra wideband (UWB) wireless technology is being considered as the solution to overcome data rate bottlenecks in the current mobile networks. UWB is able to achieve such high data transmission rates because it transmits data over a very large chunk of the frequency spectrum. As currently approved by the U.S. Federal Communication Commission it utilizes 7.5 GHz of spectrum between 3.1 GHz and 10.6 GHz. ^ Successful transmission and reception of information data using UWB wireless technology in mobile devices, requires an antenna that has linear phase, low dispersion and a voltage standing wave ratio (VSWR) ≤ 2 throughout the entire frequency band. Compatibility with an integrated circuit requires an unobtrusive and electrically small design. The previous techniques that have been used to optimize the performance of UWB wireless systems, involve proper design of source pulses for optimal UWB performance. The goal of this work is directed towards the designing of antennas for personal communication devices, with optimal UWB bandwidth performance. Several techniques are proposed for optimal UWB bandwidth performance of the UWB antenna designs in this Ph.D. dissertation. ^ This Ph.D. dissertation presents novel UWB antenna designs for personal communication devices that have been characterized and optimized using the finite difference time domain (FDTD) technique. The antenna designs reported in this research are physically compact, planar for low profile use, with sufficient impedance bandwidth (>20%), antenna input impedance of 50-Ω, and an omni-directional (±1.5 dB) radiation pattern in the operating bandwidth. ^
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Antenna design is an iterative process in which structures are analyzed and changed to comply with certain performance parameters required. The classic approach starts with analyzing a "known" structure, obtaining the value of its performance parameter and changing this structure until the "target" value is achieved. This process relies on having an initial structure, which follows some known or "intuitive" patterns already familiar to the designer. The purpose of this research was to develop a method of designing UWB antennas. What is new in this proposal is that the design process is reversed: the designer will start with the target performance parameter and obtain a structure as the result of the design process. This method provided a new way to replicate and optimize existing performance parameters. The base of the method was the use of a Genetic Algorithm (GA) adapted to the format of the chromosome that will be evaluated by the Electromagnetic (EM) solver. For the electromagnetic study we used XFDTD™ program, based in the Finite-Difference Time-Domain technique. The programming portion of the method was created under the MatLab environment, which serves as the interface for converting chromosomes, file formats and transferring of data between the XFDTD™ and GA. A high level of customization had to be written into the code to work with the specific files generated by the XFDTD™ program. Two types of cost functions were evaluated; the first one seeking broadband performance within the UWB band, and the second one searching for curve replication of a reference geometry. The performance of the method was evaluated considering the speed provided by the computer resources used. Balance between accuracy, data file size and speed of execution was achieved by defining parameters in the GA code as well as changing the internal parameters of the XFDTD™ projects. The results showed that the GA produced geometries that were analyzed by the XFDTD™ program and changed following the search criteria until reaching the target value of the cost function. Results also showed how the parameters can change the search criteria and influence the running of the code to provide a variety of geometries.
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A two-dimensional, 2D, finite-difference time-domain (FDTD) method is used to analyze two different models of multi-conductor transmission lines (MTL). The first model is a two-conductor MTL and the second is a threeconductor MTL. Apart from the MTL's, a three-dimensional, 3D, FDTD method is used to analyze a three-patch microstrip parasitic array. While the MTL analysis is entirely in time-domain, the microstrip parasitic array is a study of scattering parameter Sn in the frequency-domain. The results clearly indicate that FDTD is an efficient and accurate tool to model and analyze multiconductor transmission line as well as microstrip antennas and arrays.
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Finite-Differences Time-Domain (FDTD) algorithms are well established tools of computational electromagnetism. Because of their practical implementation as computer codes, they are affected by many numerical artefact and noise. In order to obtain better results we propose using Principal Component Analysis (PCA) based on multivariate statistical techniques. The PCA has been successfully used for the analysis of noise and spatial temporal structure in a sequence of images. It allows a straightforward discrimination between the numerical noise and the actual electromagnetic variables, and the quantitative estimation of their respective contributions. Besides, The GDTD results can be filtered to clean the effect of the noise. In this contribution we will show how the method can be applied to several FDTD simulations: the propagation of a pulse in vacuum, the analysis of two-dimensional photonic crystals. In this last case, PCA has revealed hidden electromagnetic structures related to actual modes of the photonic crystal.
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We introduce a discrete-time fibre channel model that provides an accurate analytical description of signal-signal and signal-noise interference with memory defined by the interplay of nonlinearity and dispersion. Also the conditional pdf of signal distortion, which captures non-circular complex multivariate symbol interactions, is derived providing the necessary platform for the analysis of channel statistics and capacity estimations in fibre optic links.
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In this thesis, novel analog-to-digital and digital-to-analog generalized time-interleaved variable bandpass sigma-delta modulators are designed, analysed, evaluated and implemented that are suitable for high performance data conversion for a broad-spectrum of applications. These generalized time-interleaved variable bandpass sigma-delta modulators can perform noise-shaping for any centre frequency from DC to Nyquist. The proposed topologies are well-suited for Butterworth, Chebyshev, inverse-Chebyshev and elliptical filters, where designers have the flexibility of specifying the centre frequency, bandwidth as well as the passband and stopband attenuation parameters. The application of the time-interleaving approach, in combination with these bandpass loop-filters, not only overcomes the limitations that are associated with conventional and mid-band resonator-based bandpass sigma-delta modulators, but also offers an elegant means to increase the conversion bandwidth, thereby relaxing the need to use faster or higher-order sigma-delta modulators. A step-by-step design technique has been developed for the design of time-interleaved variable bandpass sigma-delta modulators. Using this technique, an assortment of lower- and higher-order single- and multi-path generalized A/D variable bandpass sigma-delta modulators were designed, evaluated and compared in terms of their signal-to-noise ratios, hardware complexity, stability, tonality and sensitivity for ideal and non-ideal topologies. Extensive behavioural-level simulations verified that one of the proposed topologies not only used fewer coefficients but also exhibited greater robustness to non-idealties. Furthermore, second-, fourth- and sixth-order single- and multi-path digital variable bandpass digital sigma-delta modulators are designed using this technique. The mathematical modelling and evaluation of tones caused by the finite wordlengths of these digital multi-path sigmadelta modulators, when excited by sinusoidal input signals, are also derived from first principles and verified using simulation and experimental results. The fourth-order digital variable-band sigma-delta modulator topologies are implemented in VHDL and synthesized on Xilinx® SpartanTM-3 Development Kit using fixed-point arithmetic. Circuit outputs were taken via RS232 connection provided on the FPGA board and evaluated using MATLAB routines developed by the author. These routines included the decimation process as well. The experiments undertaken by the author further validated the design methodology presented in the work. In addition, a novel tunable and reconfigurable second-order variable bandpass sigma-delta modulator has been designed and evaluated at the behavioural-level. This topology offers a flexible set of choices for designers and can operate either in single- or dual-mode enabling multi-band implementations on a single digital variable bandpass sigma-delta modulator. This work is also supported by a novel user-friendly design and evaluation tool that has been developed in MATLAB/Simulink that can speed-up the design, evaluation and comparison of analog and digital single-stage and time-interleaved variable bandpass sigma-delta modulators. This tool enables the user to specify the conversion type, topology, loop-filter type, path number and oversampling ratio.
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This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.