De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

On two rational difference equations

In this paper, we study the oscillating property of positive solutions and the global asymptotic stability of the unique equilibrium of the two rational difference equations [GRAPHICS] and [GRAPHICS] where a is a nonnegative constant. (c) 2005 Elsevier Inc. All rights reserved.

Foliations and polynomial diffeomorphisms of R(3)

Let Y = (f, g, h): R(3) -> R(3) be a C(2) map and let Spec(Y) denote the set of eigenvalues of the derivative DY(p), when p varies in R(3). We begin proving that if, for some epsilon > 0, Spec(Y) boolean AND (-epsilon, epsilon) = empty set, then the foliation F(k), with k is an element of {f, g, h}, made up by the level surfaces {k = constant}, consists just of planes. As a consequence, we prove a bijectivity result related to the three-dimensional case of Jelonek`s Jacobian Conjecture for polynomial maps of R(n).

Estabilidade e robustez de um controlador adaptativo indireto por um modelo de referência e estrutura variável

In this thesis, it is developed the robustness and stability analysis of a variable structure model reference adaptive controller considering the presence of disturbances and unmodeled dynamics. The controller is applied to uncertain, monovariable, linear time-invariant plants with relative degree one, and its development is based on the indirect adaptive control. In the direct approach, well known in the literature, the switching laws are designed for the controller parameters. In the indirect one, they are designed for the plant parameters and, thus, the selection of the relays upper bounds becomes more intuitive, whereas they are related to physical parameters, which present uncertainties that can be known easier, such as resistances, capacitances, inertia moments and friction coefficients. Two versions for the controller algorithm with the stability analysis are presented. The global asymptotic stability with respect to a compact set is guaranteed for both cases. Simulation results under adverse operation conditions in order to verify the theoretical results and to show the performance and robustness of the proposed controller are showed. Moreover, for practical purposes, some simplifications on the original algorithm are developed

Transmission problem for waves with frictional damping April 22, 2007

In this paper we consider the transmission problem, in one space dimension, for linear dissipative waves with frictional damping. We study the wave propagation in a medium with a component with attrition and another simply elastic. We show that for this type of material, the dissipation produced by the frictional part is strong enough to produce exponential decay of the solution, no matter how small is its size. ©2007 Texas State University.

Sistemas de controle em domínios estratificados

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Compressible modes in a square lid-driven cavity

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Nonlinear Observers for Sensorless Control of Permanent Magnet Synchronous Motors

In this thesis, the industrial application of control a Permanent Magnet Synchronous Motor in a sensorless configuration has been faced, and in particular the task of estimating the unknown “parameters” necessary for the application of standard motor control algorithms. In literature several techniques have been proposed to cope with this task, among them the technique based on model-based nonlinear observer has been followed. The hypothesis of neglecting the mechanical dynamics from the motor model has been applied due to practical and physical considerations, therefore only the electromagnetic dynamics has been used for the observers design. First observer proposed is based on stator currents and Stator Flux dynamics described in a generic rotating reference frame. Stator flux dynamics are known apart their initial conditions which are estimated, with speed that is also unknown, through the use of the Adaptive Theory. The second observer proposed is based on stator currents and Rotor Flux dynamics described in a self-aligning reference frame. Rotor flux dynamics are described in the stationary reference frame exploiting polar coordinates instead of classical Cartesian coordinates, by means the estimation of amplitude and speed of the rotor flux. The stability proof is derived in a Singular Perturbation Framework, which allows for the use the current estimation errors as a measure of rotor flux estimation errors. The stability properties has been derived using a specific theory for systems with time scale separation, which guarantees a semi-global practical stability. For the two observer ideal simulations and real simulations have been performed to prove the effectiveness of the observers proposed, real simulations on which the effects of the Inverter nonlinearities have been introduced, showing the already known problems of the model-based observers for low speed applications.

Sanctions and public enforcement of insider trading laws in Europe

The recent financial crisis triggered an increasing demand for financial regulation to counteract the potential negative economic effects of the evermore complex operations and instruments available on financial markets. As a result, insider trading regulation counts amongst the relatively recent but particularly active regulation battles in Europe and overseas. Claims for more transparency and equitable securities markets proliferate, ranging from concerns about investor protection to global market stability. The internationalization of the world’s securities market has challenged traditional notions of regulation and enforcement. Considering that insider trading is currently forbidden all over Europe, this study follows a law and economics approach in identifying how this prohibition should be enforced. More precisely, the study investigates first whether criminal law is necessary under all circumstances to enforce insider trading; second, if it should be introduced at EU level. This study provides evidence of law and economics theoretical logic underlying the legal mechanisms that guide sanctioning and public enforcement of the insider trading prohibition by identifying optimal forms, natures and types of sanctions that effectively induce insider trading deterrence. The analysis further aims to reveal the economic rationality that drives the potential need for harmonization of criminal enforcement of insider trading laws within the European environment by proceeding to a comparative analysis of the current legislations of height selected Member States. This work also assesses the European Union’s most recent initiative through a critical analysis of the proposal for a Directive on criminal sanctions for Market Abuse. Based on the conclusions drawn from its close analysis, the study takes on the challenge of analyzing whether or not the actual European public enforcement of the laws prohibiting insider trading is coherent with the theoretical law and economics recommendations, and how these enforcement practices could be improved.

Numerical simulation of some viscoelastic fluids

Numerical simulation of the Oldroyd-B type viscoelastic fluids is a very challenging problem. rnThe well-known High Weissenberg Number Problem" has haunted the mathematicians, computer scientists, and rnengineers for more than 40 years. rnWhen the Weissenberg number, which represents the ratio of elasticity to viscosity, rnexceeds some limits, simulations done by standard methods break down exponentially fast in time. rnHowever, some approaches, such as the logarithm transformation technique can significantly improve rnthe limits of the Weissenberg number until which the simulations stay stable. rnrnWe should point out that the global existence of weak solutions for the Oldroyd-B model is still open. rnLet us note that in the evolution equation of the elastic stress tensor the terms describing diffusive rneffects are typically neglected in the modelling due to their smallness. However, when keeping rnthese diffusive terms in the constitutive law the global existence of weak solutions in two-space dimension rncan been shown. rnrnThis main part of the thesis is devoted to the stability study of the Oldroyd-B viscoelastic model. rnFirstly, we show that the free energy of the diffusive Oldroyd-B model as well as its rnlogarithm transformation are dissipative in time. rnFurther, we have developed free energy dissipative schemes based on the characteristic finite element and finite difference framework. rnIn addition, the global linear stability analysis of the diffusive Oldroyd-B model has also be discussed. rnThe next part of the thesis deals with the error estimates of the combined finite element rnand finite volume discretization of a special Oldroyd-B model which covers the limiting rncase of Weissenberg number going to infinity. Theoretical results are confirmed by a series of numerical rnexperiments, which are presented in the thesis, too.

Sea surface temperature reconstruction for ODP Hole 178-1098B

The disintegration of ice shelves, reduced sea-ice and glacier extent, and shifting ecological zones observed around Antarctica (Cook et al., 2005, doi:10.1126/science.1104235; Stammerjohn et al., 2008, doi:10.1016/j.dsr2.2008.04.026) highlight the impact of recent atmospheric (Steig et al., 2009, doi:10.1038/nature07669) and oceanic warming (Gille, 2002, doi:10.1126/science.1065863) on the cryosphere. Observations (Cook et al., 2005, doi:10.1126/science.1104235; Stammerjohn et al., 2008, doi:10.1016/j.dsr2.2008.04.026) and models (Pollard and DeConto, 2009, doi:10.1038/nature07809) suggest that oceanic and atmospheric temperature variations at Antarctica's margins affect global cryosphere stability, ocean circulation, sea levels and carbon cycling. In particular, recent climate changes on the Antarctic Peninsula have been dramatic, yet the Holocene climate variability of this region is largely unknown, limiting our ability to evaluate ongoing changes within the context of historical variability and underlying forcing mechanisms. Here we show that surface ocean temperatures at the continental margin of the western Antarctic Peninsula cooled by 3-4 °C over the past 12,000?years, tracking the Holocene decline of local (65° S) spring insolation. Our results, based on TEX86 sea surface temperature (SST) proxy evidence from a marine sediment core, indicate the importance of regional summer duration as a driver of Antarctic seasonal sea-ice fluctuations (Huybers and Denton, 2008, doi:10.1038/ngeo311). On millennial timescales, abrupt SST fluctuations of 2-4 °C coincide with globally recognized climate variability (Mayewski et al., 2004, doi:10.1016/j.yqres.2004.07.001). Similarities between our SSTs, Southern Hemisphere westerly wind reconstructions (Moreno et al., 2010, doi:10.1130/G30962.1) and El Niño/Southern Oscillation variability (Conroy et al., 2008, doi:10.1016/j.quascirev.2008.02.015) indicate that present climate teleconnections between the tropical Pacific Ocean and the western Antarctic Peninsula (Yuan et al., 2004, doi:10.1017/S0954102004002238) strengthened late in the Holocene epoch. We conclude that during the Holocene, Southern Ocean temperatures at the western Antarctic Peninsula margin were tied to changes in the position of the westerlies, which have a critical role in global carbon cycling (Moreno et al., 2010, doi:10.1130/G30962.1; Anderson et al., 2009, doi:10.1126/science.1167441).

Coupling time-stepping numerical methods and standard aerodynamics codes for instability analysis of flows in complex geometries

The development of a global instability analysis code coupling a time-stepping approach, as applied to the solution of BiGlobal and TriGlobal instability analysis 1, 2 and finite-volume-based spatial discretization, as used in standard aerodynamics codes is presented. The key advantage of the time-stepping method over matrix-formulation approaches is that the former provides a solution to the computer-storage issues associated with the latter methodology. To-date both approaches are successfully in use to analyze instability in complex geometries, although their relative advantages have never been quantified. The ultimate goal of the present work is to address this issue in the context of spatial discretization schemes typically used in industry. The time-stepping approach of Chiba 3 has been implemented in conjunction with two direct numerical simulation algorithms, one based on the typically-used in this context high-order method and another based on low-order methods representative of those in common use in industry. The two codes have been validated with solutions of the BiGlobal EVP and it has been showed that small errors in the base flow do not have affect significantly the results. As a result, a three-dimensional compressible unsteady second-order code for global linear stability has been successfully developed based on finite-volume spatial discretization and time-stepping method with the ability to study complex geometries by means of unstructured and hybrid meshes

Electron transport and azimuthal oscillations in hall thrusters

The Hall Effect Thruster (HET) is a type of satellite electric propulsion device initially developed in the 1960’s independently by USA and the former USSR. The development continued in the shadow during the 1970’s in the Soviet Union to reach a mature status from the technological point of view in the 1980’s. In the 1990’s the advanced state of this Russian technology became known in western countries, which rapidly restarted the analysis and development of modern Hall thrusters. Currently, there are several companies in USA, Russia and Europe manufacturing Hall thrusters for operational use. The main applications of these thrusters are low-thrust propulsion of interplanetary probes, orbital raising of satellites and stationkeeping of geostationary satellites. However, despite the well proven in-flight experience, the physics of the Hall Thruster are not completely understood yet. Over the last two decades large efforts have been dedicated to the understanding of the physics of Hall Effect thrusters. However, the so-called anomalous diffusion, short name for an excessive electron conductivity along the thruster, is not yet fully understood as it cannot be explained with classical collisional theories. One commonly accepted explanation is the existence of azimuthal oscillations with correlated plasma density and electric field fluctuations. In fact, there is experimental evidence of the presence of an azimuthal oscillation in the low frequency range (a few kHz). This oscillation, usually called spoke, was first detected empirically by Janes and Lowder in the 1960s. More recently several experiments have shown the existence of this type of oscillation in various modern Hall thrusters. Given the frequency range, it is likely that the ionization is the cause of the spoke oscillation, like for the breathing mode oscillation. In the high frequency range (a few MHz), electron-drift azimuthal oscillations have been detected in recent experiments, in line with the oscillations measured by Esipchuk and Tilinin in the 1970’s. Even though these low and high frequency azimuthal oscillations have been known for quite some time already, the physics behind them are not yet clear and their possible relation with the anomalous diffusion process remains an unknown. This work aims at analysing from a theoretical point of view and via computer simulations the possible relation between the azimuthal oscillations and the anomalous electron transport in HET. In order to achieve this main objective, two approaches are considered: local linear stability analyses and global linear stability analyses. The use of local linear stability analyses shall allow identifying the dominant terms in the promotion of the oscillations. However, these analyses do not take into account properly the axial variation of the plasma properties along the thruster. On the other hand, global linear stability analyses do account for these axial variations and shall allow determining how the azimuthal oscillations are promoted and their possible relation with the electron transport.

Control of cascaded DC-DC converter based hybrid battery energy storage systems - Part II:Lyapunov approach

A cascaded DC-DC boost converter is one of the ways to integrate hybrid battery types within a grid-tie inverter. Due to the presence of different battery parameters within the system such as, state-of-charge and/or capacity, a module based distributed power sharing strategy may be used. To implement this sharing strategy, the desired control reference for each module voltage/current control loop needs to be dynamically varied according to these battery parameters. This can cause stability problem within the cascaded converters due to relative battery parameter variations when using the conventional PI control approach. This paper proposes a new control method based on Lyapunov Functions to eliminate this issue. The proposed solution provides a global asymptotic stability at a module level avoiding any instability issue due to parameter variations. A detailed analysis and design of the nonlinear control structure are presented under the distributed sharing control. At last thorough experimental investigations are shown to prove the effectiveness of the proposed control under grid-tie conditions.

Post-Crisis Lessons for Open Economies

In a systemic perspective, what are the primary transmitters of global competitiveness with the proper coordination mechanism? What are the systemic impacts of the U.S. economy on world markets? Will the United States stay the main engine of world economic growth for quite some time to come, or at least in the current decade? Will and should the United States, as the single largest open economy of the world, be in some way responsible for the provision of global economic stability as a valuable public good? Was the recent crisis predictable? These are the main questions addressed, all of which are answered in a new global context, and the responses are based on some known principles of international economics and economic history.