Anticipating linear stochastic differential equations driven by a Lévy process

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformations on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].

Robust Estimates of the Negative Binomial Model

We consider robust parametric procedures for univariate discrete distributions, focusing on the negative binomial model. The procedures are based on three steps: ?First, a very robust, but possibly inefficient, estimate of the model parameters is computed. ?Second, this initial model is used to identify outliers, which are then removed from the sample. ?Third, a corrected maximum likelihood estimator is computed with the remaining observations. The final estimate inherits the breakdown point (bdp) of the initial one and its efficiency can be significantly higher. Analogous procedures were proposed in [1], [2], [5] for the continuous case. A comparison of the asymptotic bias of various estimates under point contamination points out the minimum Neyman's chi-squared disparity estimate as a good choice for the initial step. Various minimum disparity estimators were explored by Lindsay [4], who showed that the minimum Neyman's chi-squared estimate has a 50% bdp under point contamination; in addition, it is asymptotically fully efficient at the model. However, the finite sample efficiency of this estimate under the uncontaminated negative binomial model is usually much lower than 100% and the bias can be strong. We show that its performance can then be greatly improved using the three step procedure outlined above. In addition, we compare the final estimate with the procedure described in

INCLUDING RISK IN ECONOMIC FEASIBILITY ANALYSIS:A STOCHASTIC SIMULATION MODEL FOR BLUEBERRY INVESTMENT DECISIONS IN CHILE

ABSTRACT The traditional method of net present value (NPV) to analyze the economic profitability of an investment (based on a deterministic approach) does not adequately represent the implicit risk associated with different but correlated input variables. Using a stochastic simulation approach for evaluating the profitability of blueberry (Vaccinium corymbosum L.) production in Chile, the objective of this study is to illustrate the complexity of including risk in economic feasibility analysis when the project is subject to several but correlated risks. The results of the simulation analysis suggest that the non-inclusion of the intratemporal correlation between input variables underestimate the risk associated with investment decisions. The methodological contribution of this study illustrates the complexity of the interrelationships between uncertain variables and their impact on the convenience of carrying out this type of business in Chile. The steps for the analysis of economic viability were: First, adjusted probability distributions for stochastic input variables (SIV) were simulated and validated. Second, the random values of SIV were used to calculate random values of variables such as production, revenues, costs, depreciation, taxes and net cash flows. Third, the complete stochastic model was simulated with 10,000 iterations using random values for SIV. This result gave information to estimate the probability distributions of the stochastic output variables (SOV) such as the net present value, internal rate of return, value at risk, average cost of production, contribution margin and return on capital. Fourth, the complete stochastic model simulation results were used to analyze alternative scenarios and provide the results to decision makers in the form of probabilities, probability distributions, and for the SOV probabilistic forecasts. The main conclusion shown that this project is a profitable alternative investment in fruit trees in Chile.

Reliable computation of robust response tori on the verge of breakdown

We prove the existence and local uniqueness of invariant tori on the verge of breakdown for two systems: the quasi-periodically driven logistic map and the quasi-periodically forced standard map. These systems exemplify two scenarios: the Heagy-Hammel route for the creation of strange non- chaotic attractors and the nonsmooth bifurcation of saddle invariant tori. Our proofs are computer- assisted and are based on a tailored version of the Newton-Kantorovich theorem. The proofs cannot be performed using classical perturbation theory because the two scenarios are very far from the perturbative regime, and fundamental hypotheses such as reducibility or hyperbolicity either do not hold or are very close to failing. Our proofs are based on a reliable computation of the invariant tori and a careful study of their dynamical properties, leading to the rigorous validation of the numerical results with our novel computational techniques.

Asymmetric stochastic switching driven by intrinsic molecular noise

Low-copy-number molecules are involved in many functions in cells. The intrinsic fluctuations of these numbers can enable stochastic switching between multiple steady states, inducing phenotypic variability. Herein we present a theoretical and computational study based on Master Equations and Fokker-Planck and Langevin descriptions of stochastic switching for a genetic circuit of autoactivation. We show that in this circuit the intrinsic fluctuations arising from low-copy numbers, which are inherently state-dependent, drive asymmetric switching. These theoretical results are consistent with experimental data that have been reported for the bistable system of the gallactose signaling network in yeast. Our study unravels that intrinsic fluctuations, while not required to describe bistability, are fundamental to understand stochastic switching and the dynamical relative stability of multiple states.

Monotonic continuous-time random walks with drift and stochastic reset events

In this paper we consider a stochastic process that may experience random reset events which suddenly bring the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonic continuous-time random walks with a constant drift: The process increases between the reset events, either by the effect of the random jumps, or by the action of the deterministic drift. As a result of all these combined factors interesting properties emerge, like the existence (for any drift strength) of a stationary transition probability density function, or the faculty of the model to reproduce power-law-like behavior. General formulas for two extreme statistics, the survival probability, and the mean exit time, are also derived. To corroborate in an independent way the results of the paper, Monte Carlo methods were used. These numerical estimations are in full agreement with the analytical predictions.

Spontaneous cell polarization: Feedback control of Cdc42 GTPase breaks cellular symmetry.

Spontaneous polarization without spatial cues, or symmetry breaking, is a fundamental problem of spatial organization in biological systems. This question has been extensively studied using yeast models, which revealed the central role of the small GTPase switch Cdc42. Active Cdc42-GTP forms a coherent patch at the cell cortex, thought to result from amplification of a small initial stochastic inhomogeneity through positive feedback mechanisms, which induces cell polarization. Here, I review and discuss the mechanisms of Cdc42 activity self-amplification and dynamic turnover. A robust Cdc42 patch is formed through the combined effects of Cdc42 activity promoting its own activation and active Cdc42-GTP displaying reduced membrane detachment and lateral diffusion compared to inactive Cdc42-GDP. I argue the role of the actin cytoskeleton in symmetry breaking is not primarily to transport Cdc42 to the active site. Finally, negative feedback and competition mechanisms serve to control the number of polarization sites.

On the robust measurement of inflectional diversity

Lexical diversity measures are notoriously sensitive to variations of sample size and recent approaches to this issue typically involve the computation of the average variety of lexical units in random subsamples of fixed size. This methodology has been further extended to measures of inflectional diversity such as the average number of wordforms per lexeme, also known as the mean size of paradigm (MSP) index. In this contribution we argue that, while random sampling can indeed be used to increase the robustness of inflectional diversity measures, using a fixed subsample size is only justified under the hypothesis that the corpora that we compare have the same degree of lexematic diversity. In the more general case where they may have differing degrees of lexematic diversity, a more sophisticated strategy can and should be adopted. A novel approach to the measurement of inflectional diversity is proposed, aiming to cope not only with variations of sample size, but also with variations of lexematic diversity. The robustness of this new method is empirically assessed and the results show that while there is still room for improvement, the proposed methodology considerably attenuates the impact of lexematic diversity discrepancies on the measurement of inflectional diversity.

Networks of noisy oscillators with correlated degree and frequency dispersion

We investigate how correlations between the diversity of the connectivity of networks and the dynamics at their nodes affect the macroscopic behavior. In particular, we study the synchronization transition of coupled stochastic phase oscillators that represent the node dynamics. Crucially in our work, the variability in the number of connections of the nodes is correlated with the width of the frequency distribution of the oscillators. By numerical simulations on Erdös-Rényi networks, where the frequencies of the oscillators are Gaussian distributed, we make the counterintuitive observation that an increase in the strength of the correlation is accompanied by an increase in the critical coupling strength for the onset of synchronization. We further observe that the critical coupling can solely depend on the average number of connections or even completely lose its dependence on the network connectivity. Only beyond this state, a weighted mean-field approximation breaks down. If noise is present, the correlations have to be stronger to yield similar observations.

The octagon, the hendecagon and the approximation of pi: the geometric design of the clypeus in the enclosure of Imperial cult in Tarraco

The ancient temple dedicated to the Roman Emperor Augustus on the hilltop of Tarraco (today’s Tarragona), was the main element of the sacred precinct of the Imperial cult. It was a two hectare square, bordered by a portico with an attic decorated with a sequence of clypeus (i.e. monumental shields) made with marble plates from the Luni-Carrara’s quarries. This contribution presents the results of the analysis of a three-dimensional photogrammetric survey of one of these clipeus, partially restored and exhibited at the National Archaeological Museum of Tarragona. The perimeter ring was bounded by a sequence of meanders inscribed in a polygon of 11 sides, a hendecagon. Moreover, a closer geometric analysis suggests that the relationship between the outer meander rim and the oval pearl ring that delimited the divinity of Jupiter Ammon can be accurately determined by the diagonals of an octagon inscribed in the perimeter of the clypeus. This double evidence suggests a combined layout, in the same design, of an octagon and a hendecagon. Hypothetically, this could be achieved by combining the octagon with the approximation to Pi used in antiquity: 22/7 of the circle’s diameter. This method allows the drawing of a hendecagon with a clearly higher precision than with other ancient methods. Even the modelling of the motifs that separate the different decorative stripes corroborates the geometric scheme that we propose.