961 resultados para Exponential distributions
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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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.
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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The number of citations of a scientific publication or of an individual scientist has become an important factor of quality assessment in science. We report a study of the statistical distribution of the citation index of both scientific publications and scientists. We give numerical evidence that Tsallis (power law) statistics explains the entire distribution over eight orders of magnitude (10-4 to 10(4)). Also, we draw Zipf plots in order to analyze the statistical distribution of the citation index of Brazilian and international physicists and chemists. The relatively small group of Brazilian scientists seems more adequate to explain the dynamics of the citation index. In this case, we find that the distribution of the citation index can also be explained by a gradually truncated power law with similar parameters. We finally discuss possible mechanisms behind the citation index of scientists and scientific publications.
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For eta >= 0, we consider a family of damped wave equations u(u) + eta Lambda 1/2u(t) + au(t) + Lambda u = f(u), t > 0, x is an element of Omega subset of R-N, where -Lambda denotes the Laplacian with zero Dirichlet boundary condition in L-2(Omega). For a dissipative nonlinearity f satisfying a suitable growth restrictions these equations define on the phase space H-0(1)(Omega) x L-2(Omega) semigroups {T-eta(t) : t >= 0} which have global attractors A(eta) eta >= 0. We show that the family {A(eta)}(eta >= 0), behaves upper and lower semi-continuously as the parameter eta tends to 0(+).
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Direct-sampling and remote-sensing measurements were made at the crater rim of Masaya volcano (Nicaragua) to sample the aerosol plume emanating from the active vent. We report the first measurements of the size distribution of fine silicate particles (d <10 mu m) in Masaya's plume, by automated scanning electron microscopy (QEMSCAN) analysis of a particle filter. The particle size distribution was approximately lognormal with modal d similar to 1.15 mu m. The majority of these particles were found to be spherical. These particles are interpreted to be droplets of quenched magma produced by a spattering process. Compositional analyses confirm earlier reports that the fine silicate particles show a range of compositions between that of the degassing magma and nearly pure silica and that the extent of compositional variability decreases with increasing particle size. These results indicate that fine silicate particles are altered owing to reactions with acidic droplets in the plume. The emission flux of fine silicate particles was estimated as similar to 10(11) s(-1), equivalent to similar to 55 kg d(-1). Sun photometry, aerosol spectrometry, and thermal precipitation were used to determine the overall particle size distribution of the plume (0.01 < d(mu m) < 10). Sun photometry and aerosol spectrometry measurements indicate the presence of a large number of particles (assumed to be aqueous) with d similar to 1 mu m. Aerosol spectrometry measurements further show an increase in particle size as the nighttime approached. The emission flux of particles from Masaya was estimated as similar to 10(17) s(-1), equivalent to similar to 5.5 Mg d(-1) where d < 4 mu m.
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Particle size distributions for soluble and insoluble species in Mt. Etna's summit plumes were measured across an extended size range (10 nm < d < 100 mu m) using a combination of techniques. Automated scanning electron microscopy (QEMSCAN) was used to chemically analyze many thousands of insoluble particles (collected on pumped filters) allowing the relationships between particle size, shape, and composition to be investigated. The size distribution of fine silicate particles (d < 10 mu m) was found to be lognormal, consistent with formation by bursting of gas bubbles at the surface of the magma. The compositions of fine silicate particles were found to vary between magmatic and nearly pure silica; this is consistent with depletion of metal ions by reactions in the acidic environment of the gas plume and vent. Measurements of the size, shape and composition of fine silicate particles may potentially offer insights into preemission, synemission, and postemission processes. The mass flux of fine silicate particles from Mt. Etna released during noneruptive volcanic degassing in 2004 and 2005 was estimated to be similar to 7000 kg d(-1). Analysis of particles in the range 0.1 < d/mu m < 100 by ion chromatography shows that there are persistent differences in the size distributions of sulfate aerosols between the two main summit plumes. Analysis of particles in the range 0.01 mu m < d < 0.1 mu m by scanning transmission electron microscopy (STEM) shows that there are significant levels of nanoparticles in the Mt. Etna plumes although their compositions remain uncertain.
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Cellulose can be obtained from innumerable sources such as cotton, trees, sugar cane bagasse, wood, bacteria, and others. The bacterial cellulose (BC) produced by the Gram-negative acetic-acid bacterium Acetobacter xylinum has several unique properties. This BC is produced as highly hydrated membranes free of lignin and hemicelluloses and has a higher molecular weight and higher crystallinity. Here, the thermal behavior of BC, was compared with those of microcrystalline (MMC) and vegetal cellulose (VC). The kinetic parameters for the thermal decomposition step of the celluloses were determined by the Capela-Ribeiro non-linear isoconversional method. From data for the TG curves in nitrogen atmosphere and at heating rates of 5, 10, and 20 A degrees C/min, the E(alpha) and B(alpha) terms could be determined and consequently the pre-exponential factor A(alpha) as well as the kinetic model g(alpha). The pyrolysis of celluloses followed kinetic model g(alpha) = [-ln(1 - alpha)](1.63) on average, characteristic for Avrami-Erofeev with only small differences in activation energy. The fractional value of n may be related to diffusion-controlled growth, or may arise from the distributions of sizes or shapes of the reactant particles.
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Significantly more individuals and biomass of flying insects were present at the forest edge than in the understory throughout the year, as monitored by flight interception traps, in Central Amazonia. Numbers and biomass of flying insects increased at higher rates at the edge with rainfall, associated with termite swarming behavior and increased Homopteran density. The most abundant insects were Diptera, Coleoptera, Hymenoptera and Isoptera, whose ranked abundances varied with respect to forest edge and understory, as well as with season.
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In this paper, we prove the exponential decay as time goes to infinity of regular solutions of the problem for the Kirchhoff wave equation with nonlocal condition and weak dampingu(tt) - M (\\delU\\(2)(2)) Deltau + integral(0)(t) g(t - s)Deltau(.,s) ds + alphau(t) = 0, in (Q) over cap,where (Q) over cap is a noncylindrical domain of Rn+1 (n greater than or equal to 1) with the lateral boundary (&USigma;) over cap and alpha is a positive constant. (C) 2004 Elsevier Ltd. All rights reserved.