Stochastic uncoupled dynamics and Nash equilibrium

In this paper we consider dynamic processes, in repeated games, that are subject to the natural informational restriction of uncoupledness. We study the almost sure convergence to Nash equilibria, and present a number of possibility and impossibility results. Basically, we show that if in addition to random moves some recall is introduced, then successful search procedures that are uncoupled can be devised. In particular, to get almost sure convergence to pure Nash equilibria when these exist, it su±ces to recall the last two periods of play.

Recursive contracts

We obtain a recursive formulation for a general class of contractingproblems involving incentive constraints. Under these constraints,the corresponding maximization (sup) problems fails to have arecursive solution. Our approach consists of studying the Lagrangian.We show that, under standard assumptions, the solution to theLagrangian is characterized by a recursive saddle point (infsup)functional equation, analogous to Bellman's equation. Our approachapplies to a large class of contractual problems. As examples, westudy the optimal policy in a model with intertemporal participationconstraints (which arise in models of default) and intertemporalcompetitive constraints (which arise in Ramsey equilibria).

Finite horizon bargaining and the consistent field

This paper explores the relationships between noncooperative bargaining games and the consistent value for non-transferable utility (NTU) cooperative games. A dynamic approach to the consistent value for NTU games is introduced: the consistent vector field. The main contribution of the paper is to show that the consistent field is intimately related to the concept of subgame perfection for finite horizon noncooperative bargaining games, as the horizon goes to infinity and the cost of delay goes to zero. The solutions of the dynamic system associated to the consistent field characterize the subgame perfect equilibrium payoffs of the noncooperative bargaining games. We show that for transferable utility, hyperplane and pure bargaining games, the dynamics of the consistent fields converge globally to the unique consistent value. However, in the general NTU case, the dynamics of the consistent field can be complex. An example is constructed where the consistent field has cyclic solutions; moreover, the finite horizon subgame perfect equilibria do not approach the consistent value.

Revenue management under general discrete choice model of consumer behavior

Customer choice behavior, such as 'buy-up' and 'buy-down', is an importantphe-nomenon in a wide range of industries. Yet there are few models ormethodologies available to exploit this phenomenon within yield managementsystems. We make some progress on filling this void. Specifically, wedevelop a model of yield management in which the buyers' behavior ismodeled explicitly using a multi-nomial logit model of demand. Thecontrol problem is to decide which subset of fare classes to offer ateach point in time. The set of open fare classes then affects the purchaseprobabilities for each class. We formulate a dynamic program todetermine the optimal control policy and show that it reduces to a dynamicnested allocation policy. Thus, the optimal choice-based policy caneasily be implemented in reservation systems that use nested allocationcontrols. We also develop an estimation procedure for our model based onthe expectation-maximization (EM) method that jointly estimates arrivalrates and choice model parameters when no-purchase outcomes areunobservable. Numerical results show that this combined optimization-estimation approach may significantly improve revenue performancerelative to traditional leg-based models that do not account for choicebehavior.

Implications of dynamic trading for insurance markets

We study the interaction between insurance and capital markets within singlebut general framework.We show that capital markets greatly enhance the risksharing capacity of insurance markets and the scope of risks that areinsurable because efficiency does not depend on the number of agents atrisk, nor on risks being independent, nor on the preferences and endowmentsof agents at risk being the same. We show that agents share risks by buyingfull coverage for their individual risks and provide insurance capitalthrough stock markets.We show that aggregate risk enters private insuranceas positive loading on insurance prices and despite that agents will buyfull coverage. The loading is determined by the risk premium of investorsin the stock market and hence does not depend on the agent s willingnessto pay. Agents provide insurance capital by trading an equally weightedportfolio of insurance company shares and riskless asset. We are able toconstruct agents optimal trading strategies explicitly and for verygeneral preferences.

Equilibrium unemployment insurance

In this paper, we incorporate a positive theory of unemployment insuranceinto a dynamic overlapping generations model with search-matching frictionsand on-the-job learning-by-doing. The model shows that societies populatedby identical rational agents, but differing in the initial distributionof human capital across agents, may choose very different unemploymentinsurance levels in a politico-economic equilibrium. The interactionbetween the political decision about the level of the unemployment insuranceand the optimal search behavior of the unemployed gives rise to aself-reinforcing mechanism whichmay generate multiple steady-stateequilibria. In particular, a European-type steady-state with highunemployment, low employment turnover and high insurance can co-exist withan American-type steady-state with low unemployment, high employment turnoverand low unemployment insurance. A calibrated version of the model featurestwo distinct steady-state equilibria with unemployment levels and durationrates resembling those of the U.S. and Europe, respectively.

Dynamic higher order expectations

In models where privately informed agents interact, agents may need to formhigher order expectations, i.e. expectations of other agents' expectations. This paper develops a tractable framework for solving and analyzing linear dynamic rational expectationsmodels in which privately informed agents form higher order expectations. The frameworkis used to demonstrate that the well-known problem of the infinite regress of expectationsidentified by Townsend (1983) can be approximated to an arbitrary accuracy with a finitedimensional representation under quite general conditions. The paper is constructive andpresents a fixed point algorithm for finding an accurate solution and provides weak conditions that ensure that a fixed point exists. To help intuition, Singleton's (1987) asset pricingmodel with disparately informed traders is used as a vehicle for the paper.

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

Posada en funcionament d'una oficina de tramitació ràpida (OTRA) de la Direcció General d'Indústria, del Govern de les Illes Balears

La Direcció General d’Indústria té com a principal finalitat el control de les instal•lacions i de diferents activitats de l’àmbit industrial; exerceix aquesta funció mitjançant la tramitació de documentacions tècniques i la inspecció. Com tota Administració Pública, es troba en un entorn molt dinàmic, on només les empreses més competitives poden subsistir i els ciutadans tenen noves necessitats molt diferents de les de fa un temps. Ambdós, empreses i ciutadans, exigeixen serveis de qualitat a un sector públic que no té altra alternativa que caminar en la mateixa direcció. L’objectiu d’aquest treball és planificar una sèrie d’accions estratègiques que permetran la millora dels serveis oferts a fi de complir amb les expectatives de la ciutadania. S’ha realitzat una anàlisi interna i de l’entorn de l’organització, el resultat de la qual ha estat la detecció d’una sèrie de punts de millora. A continuació s’ha definit una pla operatiu de qualitat, emmarcat dins del segon Pla Estratègic de Qualitat del Govern de les Illes Balears, amb tres propostes d’actuació: la separació de funcions, la tramitació ràpida d’expedients i el pla de formació. Les propostes esmentades constitueixen les bases d’una nova unitat orgànica (Oficina de Tramitació Ràpida), el model organitzatiu de la qual queda definit en els diferents apartats del treball. Igualment, s’hi descriu el procés de posada en funcionament dels distints procediments que es vagin adaptant al nou sistema i la planificació dels treballs a dur a terme, que seguiran el cicle de la qualitat de Deming, és a dir, planificar, fer, verificar i actuar.

Equilibrium and nonequilibrium gap-state distribution in amorphous silicon

A general and straightforward analytical expression for the defect-state-energy distribution of a-Si:H is obtained through a statistical-mechanical treatment of the hydrogen occupation for different sites. Broadening of available defect energy levels (defect pool) and their charge state, both in electronic equilibrium and nonequilibrium steady-state situations, are considered. The model gives quantitative results that reproduce different defect phenomena, such as the thermally activated spin density, the gap-state dependence on the Fermi level, and the intensity and temperature dependence of light-induced spin density. An interpretation of the Staebler-Wronski effect is proposed, based on the ''conversion'' of shallow charged centers to neutrals near the middle of the gap as a consequence of hydrogen redistribution.

Percolation and cluster Monte Carlo dynamics for spin models

A general scheme for devising efficient cluster dynamics proposed in a previous paper [Phys. Rev. Lett. 72, 1541 (1994)] is extensively discussed. In particular, the strong connection among equilibrium properties of clusters and dynamic properties as the correlation time for magnetization is emphasized. The general scheme is applied to a number of frustrated spin models and the results discussed.

Static and dynamic structure of liquid metals: Role of the different parts of the interaction potential

The influence of different parts of the interaction potential on the microscopic behavior of simple liquid metals is investigated by molecular dynamics simulation. The role of the soft-core repulsive, short-range attractive, and long-range oscillatory forces on the properties of liquid lithium close to the triple point is analyzed by comparing the results from simulations of identical systems but truncating the potential at different distances. Special attention is paid to dynamic collective properties such as the dynamic structure factors, transverse current correlation functions, and transport coefficients. It is observed that, in general, the effects of the short-range attractive forces are important. On the contrary, the influence of the oscillatory long-range interactions is considerably less, being the most pronounced for the dynamic structure factor at long wavelengths. The results of this work suggest that the influence of the attractive forces becomes less significant when temperature and density increase.

Statistical mechanical theory of an oscillating isolated system: The relaxation to equilibrium

In this Contribution we show that a suitably defined nonequilibrium entropy of an N-body isolated system is not a constant of the motion, in general, and its variation is bounded, the bounds determined by the thermodynamic entropy, i.e., the equilibrium entropy. We define the nonequilibrium entropy as a convex functional of the set of n-particle reduced distribution functions (n ? N) generalizing the Gibbs fine-grained entropy formula. Additionally, as a consequence of our microscopic analysis we find that this nonequilibrium entropy behaves as a free entropic oscillator. In the approach to the equilibrium regime, we find relaxation equations of the Fokker-Planck type, particularly for the one-particle distribution function.

Fluid-rock-strain feedbacks in extensional shear zones

La présence de fluide météorique synchrone à l'activité du détachement (Farmin, 2003 ; Mulch et al., 2007 ; Gébelin et al., 2011), implique que les zones de cisaillement sont des systèmes ouverts avec des cellules de convections à l'échelle crustale et un intense gradient géothermique au sein du détachement (Morrison et Anderson, 1998, Gottardi et al., 2011). De plus, les réactions métamorphiques liées à des infiltrations fluides dans les zones de cisaillement extensionnel peuvent influencer les paramètres rhéologiques du système (White and Knipe, 1978), et impliquer la localisation de la déformation dans la croûte. Dans ce manuscrit, deux zones de cisaillement infiltrées par des fluides météoriques sont étudiées, l'une étant largement quartzitique, et l'autre de nature granitique ; les relations entre déformation, fluides, et roches s'appuient sur des approches structurales, microstructurales, chimiques et isotopiques. L'étude du détachement du Columbia river (WA, USA) met en évidence que la déformation mylonitique se développe en un million d'années. La phase de cisaillement principal s'effectue à 365± 30°C d'après les compositions isotopiques en oxygène du quartz et de la muscovite. Ces minéraux atteignent l'équilibre isotopique lors de leur recristallisation dynamique contemporaine à la déformation. La zone de cisaillement enregistre une baisse de température, remplaçant le mécanisme de glissement par dislocation par celui de dissolution- précipitation dans les derniers stades de l'activité du détachement. La dynamique de circulation fluide bascule d'une circulation pervasive à chenalisée, ce qui engendre localement la rupture des équilibres d'échange isotopiques. La zone de cisaillement de Bitterroot (MT, USA) présente une zone mylonitique de 600m d'épaisseur, progressant des protomylonites aux ultramylonites. L'intensité de la localisation de la déformation se reflète directement sur l'hydratation des feldspaths, réaction métamorphique majeure dite de « rock softening ». Une étude sur roche totale indique des transferts de masse latéraux au sein des mylonites, et d'importantes pertes de volume dans les ultramylonites. La composition isotopique en hydrogène des phyllosilicates met en évidence la présence (1) d'une source magmatique/métamorphique originelle, caractérisée par les granodiorites ayant conservé leur foliation magmatique, jusqu'aux protomylonites, et (2) une source météorique qui tamponne les valeurs des phyllosilicates des fabriques mylonitiques jusqu'aux veines de quartz non-déformées. Les compositions isotopiques en oxygène des minéraux illustrent le tamponnement de la composition du fluide météorique par l'encaissant. Ce phénomène cesse lors du processus de chloritisation de la biotite, puisque les valeurs des chlorites sont extrêmement négatives (-10 per mil). La thermométrie isotopique indique une température d'équilibre isotopique de la granodiorite entre 600-500°C, entre 500-300°C dans les mylonites, et entre 300 et 200°C dans les fabriques cassantes (cataclasites et veines de quartz). Basé sur les résultats issus de ce travail, nous proposons un modèle général d'interactions fluide-roches-déformation dans les zones de détachements infiltrées par des fluides météoriques. Les zones de détachements évoluent rapidement (en quelques millions d'années) au travers de la transition fragile-ductile ; celle-ci étant partiellement contrôlée par l'effet thermique des circulations de fluide météoriques. Les systèmes de détachements sont des lieux où la déformation et les circulations fluides sont couplées ; évoluant rapidement vers une localisation de la déformation, et de ce fait, une exhumation efficace. - The presence of meteoric fluids synchronous with the activity of extensional detachment zones (Famin, 2004; Mulch et al., 2007; Gébelin et al., 2011) implies that extensional systems involve fluid convection at a crustal scale, which results in high geothermal gradients within active detachment zones (Morrison and Anderson, 1998, Gottardi et al., 2011). In addition, the metamorphic reactions related to fluid infiltration in extensional shear zones can influence the rheology of the system (White and Knipe, 1978) and ultimately how strain localizes in the crust. In this thesis, two shear zones that were permeated by meteoric fluids are studied, one quartzite-dominated, and the other of granitic composition; the relations between strain, fluid, and evolving rock composition are addressed using structural, microstructural, and chemical/isotopic measurements. The study of the Columbia River detachment that bounds the Kettle core complex (Washington, USA) demonstrates that the mylonitic fabrics in the 100 m thick quartzite- dominated detachment footwall developed within one million years. The main shearing stage occurred at 365 ± 30°C when oxygen isotopes of quartz and muscovite equilibrated owing to coeval deformation and dynamic recrystallization of these minerals. The detachment shear zone records a decrease in temperature, and dislocation creep during detachment shearing gave way to dissolution-precipitation and fracturing in the later stages of detachment activity. Fluid flow switched from pervasive to channelized, leading to isotopic disequilibrium between different minerals. The Bitterroot shear zone detachment (Montana, USA) developed a 600 m thick mylonite zone, with well-developed transitions from protomylonite to ultramylonite. The localization of deformation relates directly to the intensity of feldspar hydration, a major rock- softening metamorphic reaction. Bulk-rock analyses of the mylonitic series indicate lateral mass transfer in the mylonite (no volume change), and significant volume loss in ultramylonite. The hydrogen isotope composition of phyllosilicates shows (1) the presence of an initial magmatic/metamorphic source characterized by the granodiorite in which a magmatic, and gneissic (protomylonite) foliation developed, and (2) a meteoric source that buffers the values of phyllosilicates in mylonite, ultramylonite, cataclasite, and deformed and undeformed quartz veins. The mineral oxygen isotope compositions were buffered by the host-rock compositions until chloritization of biotite started; the chlorite oxygen isotope values are negative (-10 per mil). Isotope thermometry indicates a temperature of isotopic equilibrium of the granodiorite between 600-500°C, between 500-300°C in the mylonite, and between 300 and 200°C for brittle fabrics (cataclasite and quartz veins). Results from this work suggest a general model for fluid-rock-strain feedbacks in detachment systems that are permeated by meteoric fluids. Phyllosilicates have preserved in their hydrogen isotope values evidence for the interaction between rock and meteoric fluids during mylonite development. Fluid flow generates mass transfer along the tectonic anisotropy, and mylonites do not undergo significant volume change, except locally in ultramylonite zones. Hydration of detachment shear zones attends mechanical grain size reduction and enhances strain softening and localization. Self-exhuming detachment shear zones evolve rapidly (a few million years) through the transition from ductile to brittle, which is partly controlled by the thermal effect of circulating surface fluids. Detachment systems are zones in the crust where strain and fluid flow are coupled; these systems. evolve rapidly toward strain localization and therefore efficient exhumation.

General unknown screening procedure for the characterization of human drug metabolites: application to loratadine phase I metabolism.

This article describes the application of a recently developed general unknown screening (GUS) strategy based on LC coupled to a hybrid linear IT-triple quadrupole mass spectrometer (LC-MS/MS-LIT) for the simultaneous detection and identification of drug metabolites following in vitro incubation with human liver microsomes. The histamine H1 receptor antagonist loratadine was chosen as a model compound to demonstrate the interest of such approach, because of its previously described complex and extensive metabolism. Detection and mass spectral characterization were based on data-dependent acquisition, switching between a survey scan acquired in the ion-trapping Q3 scan mode with dynamic subtraction of background noise, and a dependent scan in the ion-trapping product ion scan mode of automatically selected parent ions. In addition, the MS(3) mode was used in a second step to confirm the structure of a few fragment ions. The sensitivity of the ion-trapping modes combined with the selectivity of the triple quadrupole modes allowed, with only one injection, the detection and identification of 17 phase I metabolites of loratadine. The GUS procedure used in this study may be applicable as a generic technique for the characterization of drug metabolites after in vitro incubation, as well as probably in vivo experiments.