Stochastic dominance and absolute risk aversion

In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing concave utility functions with at least as much global risk aversion would rank the two distributions in the same way. Furthermore, this threshold level is sharp in the sense that, for any lower level of global risk aversion, we can find two utility functions in this class yielding opposite preference relations for the two distributions.

Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

In this paper, a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for viscosity solutions of semi-linear stochastic partial differential equations with a Neumann boundary condition is given.

Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle

In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left-hand limited obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem.

Improving the risk concept: a revision of Arrow-Pratt theory in the context of controlled dynamic stochastic environments

In the literature on risk, one generally assume that uncertainty is uniformly distributed over the entire working horizon, when the absolute risk-aversion index is negative and constant. From this perspective, the risk is totally exogenous, and thus independent of endogenous risks. The classic procedure is "myopic" with regard to potential changes in the future behavior of the agent due to inherent random fluctuations of the system. The agent's attitude to risk is rigid. Although often criticized, the most widely used hypothesis for the analysis of economic behavior is risk-neutrality. This borderline case must be envisaged with prudence in a dynamic stochastic context. The traditional measures of risk-aversion are generally too weak for making comparisons between risky situations, given the dynamic �complexity of the environment. This can be highlighted in concrete problems in finance and insurance, context for which the Arrow-Pratt measures (in the small) give ambiguous.

Locations and Relocations:Modelling, Determinants, and Interrelations

Empirical studies on industrial location do not typically distinguish between new and relocated establishments. This paper addresses this shortcoming using data on the frequency of these events in municipalities of the same economic-administrative region. This enables us to test not only for differences in their determinants but also for interrelations between start-ups and relocations. Estimates from count regression models for cross-section and panel data show that, although partial effects differ, common patterns arise in “institutional” and “neoclassical” explanatory factors. Also, start-ups and relocations are positive but asymmetrically related. JEL classification: C25, R30, R10. Keywords: cities, count data models, industrial location

Improving the effort concept: a revision of the traditional approach in the context of controlled Dynamic Stochastic Environments

The objective of this paper is to re-evaluate the attitude to effort of a risk-averse decision-maker in an evolving environment. In the classic analysis, the space of efforts is generally discretized. More realistic, this new approach emploies a continuum of effort levels. The presence of multiple possible efforts and performance levels provides a better basis for explaining real economic phenomena. The traditional approach (see, Laffont, J. J. & Tirole, J., 1993, Salanie, B., 1997, Laffont, J.J. and Martimort, D, 2002, among others) does not take into account the potential effect of the system dynamics on the agent's behavior to effort over time. In the context of a Principal-agent relationship, not only the incentives of the Principal can determine the private agent to allocate a good effort, but also the evolution of the dynamic system. The incentives can be ineffective when the environment does not incite the agent to invest a good effort. This explains why, some effici

Individual-based modelling of bacterial cultures to study the lag ohase

Els bacteris són la forma dominant de vida del planeta: poden sobreviure en medis molt adversos, i en alguns casos poden generar substàncies que quan les ingerim ens són tòxiques. La seva presència en els aliments fa que la microbiologia predictiva sigui un camp imprescindible en la microbiologia dels aliments per garantir la seguretat alimentària. Un cultiu bacterià pot passar per quatre fases de creixement: latència, exponencial, estacionària i de mort. En aquest treball s’ha avançat en la comprensió dels fenòmens intrínsecs a la fase de latència, que és de gran interès en l’àmbit de la microbiologia predictiva. Aquest estudi, realitzat al llarg de quatre anys, s’ha abordat des de la metodologia Individual-based Modelling (IbM) amb el simulador INDISIM (INDividual DIScrete SIMulation), que ha estat millorat per poder fer-ho. INDISIM ha permès estudiar dues causes de la fase de latència de forma separada, i abordar l’estudi del comportament del cultiu des d’una perspectiva mesoscòpica. S’ha vist que la fase de latència ha de ser estudiada com un procés dinàmic, i no definida per un paràmetre. L’estudi de l’evolució de variables com la distribució de propietats individuals entre la població (per exemple, la distribució de masses) o la velocitat de creixement, han permès distingir dues etapes en la fase de latència, inicial i de transició, i aprofundir en la comprensió del que passa a nivell cel•lular. S’han observat experimentalment amb citometria de flux diversos resultats previstos per les simulacions. La coincidència entre simulacions i experiments no és trivial ni casual: el sistema estudiat és un sistema complex, i per tant la coincidència del comportament al llarg del temps de diversos paràmetres interrelacionats és un aval a la metodologia emprada en les simulacions. Es pot afirmar, doncs, que s’ha verificat experimentalment la bondat de la metodologia INDISIM.

A class of stochastic games with infinitely many interacting agents related to Glauber dynamics on random graphs

We introduce and study a class of infinite-horizon nonzero-sum non-cooperative stochastic games with infinitely many interacting agents using ideas of statistical mechanics. First we show, in the general case of asymmetric interactions, the existence of a strategy that allows any player to eliminate losses after a finite random time. In the special case of symmetric interactions, we also prove that, as time goes to infinity, the game converges to a Nash equilibrium. Moreover, assuming that all agents adopt the same strategy, using arguments related to those leading to perfect simulation algorithms, spatial mixing and ergodicity are proved. In turn, ergodicity allows us to prove “fixation”, i.e. that players will adopt a constant strategy after a finite time. The resulting dynamics is related to zerotemperature Glauber dynamics on random graphs of possibly infinite volume.

Strong solutions for stochastic porous media equations with jumps

We prove global well-posedness in the strong sense for stochastic generalized porous media equations driven by locally square integrable martingales with stationary independent increments.

Urban image classification with semisupervised multiscale cluster kernels

This paper presents a semisupervised support vector machine (SVM) that integrates the information of both labeled and unlabeled pixels efficiently. Method's performance is illustrated in the relevant problem of very high resolution image classification of urban areas. The SVM is trained with the linear combination of two kernels: a base kernel working only with labeled examples is deformed by a likelihood kernel encoding similarities between labeled and unlabeled examples. Results obtained on very high resolution (VHR) multispectral and hyperspectral images show the relevance of the method in the context of urban image classification. Also, its simplicity and the few parameters involved make the method versatile and workable by unexperienced users.

Genetic diversity and differentiation processes in the ploidy series of Olea europaea L.: a multiscale approach from subspecies to insular populations.

Geographical isolation and polyploidization are central concepts in plant evolution. The hierarchical organization of archipelagos in this study provides a framework for testing the evolutionary consequences for polyploid taxa and populations occurring in isolation. Using amplified fragment length polymorphism and simple sequence repeat markers, we determined the genetic diversity and differentiation patterns at three levels of geographical isolation in Olea europaea: mainland-archipelagos, islands within an archipelago, and populations within an island. At the subspecies scale, the hexaploid ssp. maroccana (southwest Morocco) exhibited higher genetic diversity than the insular counterparts. In contrast, the tetraploid ssp. cerasiformis (Madeira) displayed values similar to those obtained for the diploid ssp. guanchica (Canary Islands). Geographical isolation was associated with a high genetic differentiation at this scale. In the Canarian archipelago, the stepping-stone model of differentiation suggested in a previous study was partially supported. Within the western lineage, an east-to-west differentiation pattern was confirmed. Conversely, the easternmost populations were more related to the mainland ssp. europaea than to the western guanchica lineage. Genetic diversity across the Canarian archipelago was significantly correlated with the date of the last volcanic activity in the area/island where each population occurs. At the island scale, this pattern was not confirmed in older islands (Tenerife and Madeira), where populations were genetically homogeneous. In contrast, founder effects resulted in low genetic diversity and marked genetic differentiation among populations of the youngest island, La Palma.

Analog Modelling of N-S anticlines of the External Sierras (Jaca basin, Southern Pyrenees)

Report for the scientific sojourn carried out at the Uppsala Universitet, Sweden, from April to July the 2007. Two series of analogue models are used to explore ductile-frictional contrasts of the basal décollement in the development of oblique and transverse structures simultaneously to thin-skinned shortening. These models simulate the evolution of the Central External Sierras (Southern Pyrenees, Spain), which constitute the frontal emerging part of the southernmost Pyrenean thrust sheet. They are characterized by the presence of transverse N-S to NW-SE anticlines, which are perpendicular to the Pyrenean structural trend and developed in the hangingwall of the Santo Domingo thrust system, detaching on an unevenly distributed Triassic materials (evaporitic-dolomitic interfingerings). Model setup performs a décollement made by three patches of silicone neighbouring pure brittle sand. Model series A test the thickness ratio between overburden and décollement. Model series B test the width of frictional detachment areas. Model results show how deformation reaches further in areas detached on ductile layer whereas frictional décollement areas assimilate the strain by means of an additional uplift. This replicates the structural style of Central External Sierras: higher structural relief of N-S anticlines with regard to orogen-parallel structures, absence of a representative ductile décollement in the core, tilting towards the orogen and foreland-side closure not thrusted by the frontal emerging South-Pyrenean thrust.