Birth-death processes with disaster and instantaneous resurrection

A new structure with the special property that instantaneous resurrection and mass disaster are imposed on an ordinary birth-death process is considered. Under the condition that the underlying birth-death process is exit or bilateral, we are able to give easily checked existence criteria for such Markov processes. A very simple uniqueness criterion is also established. All honest processes are explicitly constructed. Ergodicity properties for these processes are investigated. Surprisingly, it can be proved that all the honest processes are not only recurrent but also ergodic without imposing any extra conditions. Equilibrium distributions are then established. Symmetry and reversibility of such processes are also investigated. Several examples are provided to illustrate our results.

The non-equilibrium nature of culinary evolution

Food is an essential part of civilization, with a scope that ranges from the biological to the economic and cultural levels. Here, we study the statistics of ingredients and recipes taken from Brazilian, British, French and Medieval cookery books. We find universal distributions with scale invariant behaviour. We propose a copy-mutate process to model culinary evolution that fits our empirical data very well. We find a cultural 'founder effect' produced by the non-equilibrium dynamics of the model. Both the invariant and idiosyncratic aspects of culture are accounted for by our model, which may have applications in other kinds of evolutionary processes.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Studies of solute self-association by sedimentation equilibrium: allowance for effects of thermodynamic non-ideality beyond the consequences of nearest-neighbor interactions

A sedimentation equilibrium study of a-chymotrypsin self-association in acetate-chloride buffer, pH 4.1 I 0.05, has been used to illustrate determination of a dimerization constant under conditions where thermodynamic non-ideality is manifested beyond the consequences of nearest-neighbor interactions. Because the expressions for the experimentally determinable interaction parameters comprise a mixture of equilibrium constant and excluded volume terms, the assignment of reasonable magnitudes to the relevant virial coefficients describing non-associative cluster formation is essential for the evaluation of a reliable estimate of the dimerization constant. Determination of these excluded volume parameters by numerical integration over the potential-of-mean-force is shown to be preferable to their calculation by approximate analytical solutions of the integral for this relatively small enzyme monomer with high net charge (+ 10) under conditions of low ionic strength (0.05 M). (C) 2001 Elsevier Science B.V. All rights reserved.

Equilibrium self-assembly of colloids with distinct interaction sites: Thermodynamics, percolation, and cluster distribution functions

We calculate the equilibrium thermodynamic properties, percolation threshold, and cluster distribution functions for a model of associating colloids, which consists of hard spherical particles having on their surfaces three short-ranged attractive sites (sticky spots) of two different types, A and B. The thermodynamic properties are calculated using Wertheim's perturbation theory of associating fluids. This also allows us to find the onset of self-assembly, which can be quantified by the maxima of the specific heat at constant volume. The percolation threshold is derived, under the no-loop assumption, for the correlated bond model: In all cases it is two percolated phases that become identical at a critical point, when one exists. Finally, the cluster size distributions are calculated by mapping the model onto an effective model, characterized by a-state-dependent-functionality (f) over bar and unique bonding probability (p) over bar. The mapping is based on the asymptotic limit of the cluster distributions functions of the generic model and the effective parameters are defined through the requirement that the equilibrium cluster distributions of the true and effective models have the same number-averaged and weight-averaged sizes at all densities and temperatures. We also study the model numerically in the case where BB interactions are missing. In this limit, AB bonds either provide branching between A-chains (Y-junctions) if epsilon(AB)/epsilon(AA) is small, or drive the formation of a hyperbranched polymer if epsilon(AB)/epsilon(AA) is large. We find that the theoretical predictions describe quite accurately the numerical data, especially in the region where Y-junctions are present. There is fairly good agreement between theoretical and numerical results both for the thermodynamic (number of bonds and phase coexistence) and the connectivity properties of the model (cluster size distributions and percolation locus).

Methods to Estimate Dynamic Stochastic General Equilibrium Models

This paper employs the one-sector Real Business Cycle model as a testing ground for four different procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1 ) Maximum Likelihood, with and without measurement errors and incorporating Bayesian priors, 2) Generalized Method of Moments, 3) Simulated Method of Moments, and 4) Indirect Inference. Monte Carlo analysis indicates that all procedures deliver reasonably good estimates under the null hypothesis. However, there are substantial differences in statistical and computational efficiency in the small samples currently available to estimate DSGE models. GMM and SMM appear to be more robust to misspecification than the alternative procedures. The implications of the stochastic singularity of DSGE models for each estimation method are fully discussed.

A stochastic parameterization for deep convection based on equilibrium statistics

A stochastic parameterization scheme for deep convection is described, suitable for use in both climate and NWP models. Theoretical arguments and the results of cloud-resolving models, are discussed in order to motivate the form of the scheme. In the deterministic limit, it tends to a spectrum of entraining/detraining plumes and is similar to other current parameterizations. The stochastic variability describes the local fluctuations about a large-scale equilibrium state. Plumes are drawn at random from a probability distribution function (pdf) that defines the chance of finding a plume of given cloud-base mass flux within each model grid box. The normalization of the pdf is given by the ensemble-mean mass flux, and this is computed with a CAPE closure method. The characteristics of each plume produced are determined using an adaptation of the plume model from the Kain-Fritsch parameterization. Initial tests in the single column version of the Unified Model verify that the scheme is effective in producing the desired distributions of convective variability without adversely affecting the mean state.

Approach to Equilibrium for a Class of Random Quantum Models of Infinite Range

We consider random generalizations of a quantum model of infinite range introduced by Emch and Radin. The generalizations allow a neat extension from the class l (1) of absolutely summable lattice potentials to the optimal class l (2) of square summable potentials first considered by Khanin and Sinai and generalised by van Enter and van Hemmen. The approach to equilibrium in the case of a Gaussian distribution is proved to be faster than for a Bernoulli distribution for both short-range and long-range lattice potentials. While exponential decay to equilibrium is excluded in the nonrandom l (1) case, it is proved to occur for both short and long range potentials for Gaussian distributions, and for potentials of class l (2) in the Bernoulli case. Open problems are discussed.

Affiliation, equilibrium existence and the revenue ranking of auctions

We consider private value auctions where bidders’ types are dependent, a case usually treated by assuming affiliation. We show that affiliation is a restrictive assumption in three senses: topological, measure-theoretic and statistical (affiliation is a very restrictive characterization of positive dependence). We also show that affiliation’s main implications do not generalize for alternative definitions of positive dependence. From this, we propose new approaches to the problems of pure strategy equilibrium existence in first-price auctions (PSEE) and the characterization of the revenue ranking of auctions. For equilibrium existence, we slightly restrict the set of distributions considered, without loss of economic generality, and offer a complete characterization of PSEE. For revenue ranking, we obtain a characterization of the expected revenue differences between second and first price auctions with general dependence of types.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Allele frequency distributions of six hypervariable loci (D1S80, APOB, D4S43, vW1, F13A and DYS19) in two African-Brazilian communities from the Amazon region

ABSTRACT: The allele frequency distributions of three VNTR (D1S80, APOB and D4S43) and three STR (vW1, F13A1 and DYS19) loci were investigated in two Afro-Brazilian populations from the Amazon: Curiau and Pacoval. Exact tests for population differentiation revealed significant differences in allele frequency between populations only for the D1S80 and APOB loci. A statistically significant deviation from the Hardy-Weinberg equilibrium was observed only in the D1S80 locus of the Pacoval sample. A neighbor-joining tree was constructed based on DA genetic distances of allele frequencies in four Afro-Brazilian populations from the Amazon (Pacoval, Curiau, Trombetas, and Cametá), along with those from Congo, Cameroon, Brazilian Amerindians, and Europeans. This analysis revealed the usefulness of these Amp-FLPs for population studies - African and African-derived populations were closely grouped, and clearly separated from Amerindians and Europeans. Estimates of admixture components based on the gene identity method revealed the prevalence of the African component in both populations studied, amounting to 51% in Pacoval, and to 43% in Curiau. The Amerindian component was also important in both populations (37% in Pacoval, and 24% in Curiau). The European component reached 33% in Curiau.

Constraining age distributions of groundwater from public supply wells in diverse hydrogeological settings in Scania, Sweden

Twenty-five public supply wells throughout the hydrogeologically diverse region of Scania, southern Sweden are subjected to environmental tracer analysis (³H–³He,⁴He, CFCs, SF₆ and for one well only also ⁸⁵Kr and ³⁹Ar) to study well and aquifer vulnerability and evaluate possibilities of groundwater age distribution assessment. We find CFC and SF₆ concentrations well above solubility equilibrium with modern atmosphere, indicating local contamination, as well as indications of CFC degradation. The tracer-specific complications considerably constrain possibilities for sound quantitative regional ground- water age distribution assessment and demonstrate the importance of initial qualitative assessment of tracer-specific reliability, as well a need for additional, complementary tracers (e.g. ⁸⁵Kr,³⁹Ar and potentially also ¹⁴C). Lumped parameter modelling yields credible age distribution assessments for representative wells in four type aquifers. Pollution vulnerability of the aquifer types was based on the selected LPM models and qualitative age characterisation. Most vulnerable are unconfined dual porosity and fractured bedrock aquifers, due to a large component of very young groundwater. Unconfined sedimentary aquifers are vulnerable due to young groundwater and a small pre-modern component. Less vulnerable are semi-confined sedimentary or dual-porosity aquifers, due to older age of the modern component and a larger pre-modern component. Confined aquifers appear least vulnerable, due an entirely pre-modern groundwater age distribution (recharged before 1963). Tracer complications aside, environmental tracer analyses and lumped parameter modelling aid in vulnerability assessment and protection of regional groundwater resources.

Chapter 2 Equilibrium locations of upstream and downstream firms

This paper explores the interaction between upstream firms and downstream firms in a two-region general equilibrium model. In many countries, lower tariff rates are set for intermediate manufactured goods and higher tariff rates are set for final manufactured goods. The derived results imply that such settings of tariff rates tend to preserve a symmetric spread of upstream and downstream firms, and continuing tariff reduction may cause core-periphery structures. In the case in which the circular causality between upstream and downstream firms is focused as agglomeration forces, the present model is fully solved. Thus, we find that (1) the present model displays, at most, three interior steady states, (2) when the asymmetric steady-states exist, they are unstable and (3) location displays hysteresis when the transport costs of intermediate manufactured goods are sufficiently high.

An equilibrium statistical model for the spreading phase of open-ocean convection

A “most probable state” equilibrium statistical theory for random distributions of hetons in a closed basin is developed here in the context of two-layer quasigeostrophic models for the spreading phase of open-ocean convection. The theory depends only on bulk conserved quantities such as energy, circulation, and the range of values of potential vorticity in each layer. The simplest theory is formulated for a uniform cooling event over the entire basin that triggers a homogeneous random distribution of convective towers. For a small Rossby deformation radius typical for open-ocean convection sites, the most probable states that arise from this theory strongly resemble the saturated baroclinic states of the spreading phase of convection, with a stabilizing barotropic rim current and localized temperature anomaly.

Sample-to-sample fluctuations of the overlap distributions in the three-dimensional Edwards-Anderson spin glass

We study the sample-to-sample fluctuations of the overlap probability densities from large-scale equilibrium simulations of the three-dimensional Edwards-Anderson spin glass below the critical temperature. Ultrametricity, stochastic stability, and overlap equivalence impose constraints on the moments of the overlap probability densities that can be tested against numerical data. We found small deviations from the Ghirlanda Guerra predictions, which get smaller as system size increases. We also focus on the shape of the overlap distribution, comparing the numerical data to a mean-field-like prediction in which finite-size effects are taken into account by substituting delta functions with broad peaks.