First-passage times for non-Markovian processes: Correlated impacts on a free process

We develop a method to obtain first-passage-time statistics for non-Markovian processes driven by dichotomous fluctuations. The fluctuations themselves need not be Markovian. We calculate analytic first-passage-time distributions and mean first-passage times for exponential, rectangular, and long-tail temporal distributions of the fluctuations.

First-passage times for non-Markovian processes: Correlated impacts on bound processes

Our previously developed stochastic trajectory analysis technique has been applied to the calculation of first-passage time statistics of bound processes. Explicit results are obtained for linearly bound processes driven by dichotomous fluctuations having exponential and rectangular temporal distributions.

Induced quantum metric fluctuations and the validity of semiclassical gravity

We propose a criterion for the validity of semiclassical gravity (SCG) which is based on the stability of the solutions of SCG with respect to quantum metric fluctuations. We pay special attention to the two-point quantum correlation functions for the metric perturbations, which contain both intrinsic and induced fluctuations. These fluctuations can be described by the Einstein-Langevin equation obtained in the framework of stochastic gravity. Specifically, the Einstein-Langevin equation yields stochastic correlation functions for the metric perturbations which agree, to leading order in the large N limit, with the quantum correlation functions of the theory of gravity interacting with N matter fields. The homogeneous solutions of the Einstein-Langevin equation are equivalent to the solutions of the perturbed semiclassical equation, which describe the evolution of the expectation value of the quantum metric perturbations. The information on the intrinsic fluctuations, which are connected to the initial fluctuations of the metric perturbations, can also be retrieved entirely from the homogeneous solutions. However, the induced metric fluctuations proportional to the noise kernel can only be obtained from the Einstein-Langevin equation (the inhomogeneous term). These equations exhibit runaway solutions with exponential instabilities. A detailed discussion about different methods to deal with these instabilities is given. We illustrate our criterion by showing explicitly that flat space is stable and a description based on SCG is a valid approximation in that case.

USE OF SCALED SEMIVARIOGRAMS IN THE PLANNING SAMPLE OF SOIL CHEMICAL PROPERTIES IN SOUTHERN AMAZONAS, BRAZIL

The lack of information concerning the variability of soil properties has been a major concern of researchers in the Amazon region. Thus, the aim of this study was to evaluate the spatial variability of soil chemical properties and determine minimal sampling density to characterize the variability of these properties in five environments located in the south of the State of Amazonas, Brazil. The five environments were archaeological dark earth (ADE), forest, pasture land, agroforestry operation, and sugarcane crop. Regular 70 × 70 m mesh grids were set up in these areas, with 64 sample points spaced at 10 m distance. Soil samples were collected at the 0.0-0.1 m depth. The chemical properties of pH in water, OM, P, K, Ca, Mg, H+Al, SB, CEC, and V were determined at these points. Data were analyzed by descriptive and geostatistical analyses. A large part of the data analyzed showed spatial dependence. Chemical properties were best fitted to the spherical model in almost all the environments evaluated, except for the sugarcane field with a better fit to the exponential model. ADE and sugarcane areas had greater heterogeneity of soil chemical properties, showing a greater range and higher sampling density; however, forest and agroforestry areas had less variability of chemical properties.

Percolation transition and the onset of nonexponential relaxation in fully frustrated models

We numerically study the dynamical properties of fully frustrated models in two and three dimensions. The results obtained support the hypothesis that the percolation transition of the Kasteleyn-Fortuin clusters corresponds to the onset of stretched exponential autocorrelation functions in systems without disorder. This dynamical behavior may be due to the large scale effects of frustration, present below the percolation threshold. Moreover, these results are consistent with the picture suggested by Campbell et al. [J. Phys. C 20, L47 (1987)] in the space of configurations.

Precursor phenomena in frustrated systems

To understand the origin of the dynamical transition, between high-temperature exponential relaxation and low-temperature nonexponential relaxation, that occurs well above the static transition in glassy systems, a frustrated spin model, with and without disorder, is considered. The model has two phase transitions, the lower being a standard spin glass transition (in the presence of disorder) or fully frustrated Ising (in the absence of disorder), and the higher being a Potts transition. Monte Carlo results clarify that in the model with (or without) disorder the precursor phenomena are related to the Griffiths (or Potts) transition. The Griffiths transition is a vanishing transition which occurs above the Potts transition and is present only when disorder is present, while the Potts transition which signals the effect due to frustration is always present. These results suggest that precursor phenomena in frustrated systems are due either to disorder and/or to frustration, giving a consistent interpretation also for the limiting cases of Ising spin glass and of Ising fully frustrated model, where also the Potts transition is vanishing. This interpretation could play a relevant role in glassy systems beyond the spin systems case.

Extreme times for volatility processes

Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Evidence of a critical time in constrained Kinetic Ising models

We study the relaxational dynamics of the one-spin facilitated Ising model introduced by Fredrickson and Andersen. We show the existence of a critical time which separates an initial regime in which the relaxation is exponentially fast and aging is absent from a regime in which relaxation becomes slow and aging effects are present. The presence of this fast exponential process and its associated critical time is in agreement with some recent experimental results on fragile glasses.

SPATIAL VARIABILITY OF SOIL PROPERTIES IN AN AGRARIAN REFORM SETTLEMENT

ABSTRACT The study of soil chemical and physical properties variability is important for suitable management practices. The aim of this study was to evaluate the spatial variability of soil properties in the Malhada do Meio settlement to subsidize soil use planning. The settlement is located in Chapadinha, MA, Brazil, and has an area of 630.86 ha. The vegetation is seasonal submontane deciduous forest and steppe savanna. The geology is formed of sandstones and siltstones of theItapecuru Formation and by colluvial and alluvial deposits. The relief consists of hills with rounded and flat tops with an average altitude of 67 m, and frequently covered over by ferruginous duricrusts. A total of 183 georeferenced soil samples were collected at the depth of 0.00-0.20 m inPlintossolos, Neossolo andGleissolo. The following chemical variables were analyzed: pH(CaCl2), H+Al, Al, SB, V, CEC, P, K, OM, Ca, Mg, SiO2, Al2O3, and Fe2O3; along with particle size variables: clay, silt, and sand. Descriptive statistical and geostatistical analyses were carried out. The coefficient of variation (CV) was high for most of the variables, with the exception of pH with a low CV, and of sand with a medium CV. The models fitted to the experimental semivariograms of these variables were the exponential and the spherical. The range values were from 999 m to 3,690 m. For the variables pH(CaCl2), SB, and clay, there are three specific areas for land use planning. The central part of the area (zone III), where thePlintossolos Pétricos and Neossolos Flúvicos occur, is the most suitable for crops due to higher macronutrient content, organic matter and pH. Zones I and II are indicated for environmental preservation.

Circadian and wake-dependent effects on the pupil light reflex in response to narrow-bandwidth light pulses.

PURPOSE: Nonvisual light-dependent functions in humans are conveyed mainly by intrinsically photosensitive retinal ganglion cells, which express melanopsin as photopigment. We aimed to identify the effects of circadian phase and sleepiness across 24 hours on various aspects of the pupil response to light stimulation. METHODS: We tested 10 healthy adults hourly in two 12-hour sessions covering a 24-hour period. Pupil responses to narrow bandwidth red (635 ± 18 nm) and blue (463 ± 24 nm) light (duration of 1 and 30 seconds) at equal photon fluxes were recorded, and correlated with salivary melatonin concentrations at the same circadian phases and to subjective sleepiness ratings. The magnitude of pupil constriction was determined from minimal pupil size. The post-stimulus pupil response was assessed from the pupil size at 6 seconds following light offset, the area within the redilation curve, and the exponential rate of redilation. RESULTS: Among the measured parameters, the pupil size 6 seconds after light offset correlated with melatonin concentrations (P < 0.05) and showed a significant modulation over 24 hours with maximal values after the nocturnal peak of melatonin secretion. In contrast, the post-stimulus pupil response following red light stimulation correlated with subjective sleepiness (P < 0.05) without significant changes over 24 hours. CONCLUSIONS: The post-stimulus pupil response to blue light as a marker of intrinsic melanopsin activity demonstrated a circadian modulation. In contrast, the effect of sleepiness was more apparent in the cone contribution to the pupil response. Thus, pupillary responsiveness to light is under influence of the endogenous circadian clock and subjective sleepiness.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

High-throughput SELEX SAGE method for quantitative modeling of transcription-factor binding sites.

The ability to determine the location and relative strength of all transcription-factor binding sites in a genome is important both for a comprehensive understanding of gene regulation and for effective promoter engineering in biotechnological applications. Here we present a bioinformatically driven experimental method to accurately define the DNA-binding sequence specificity of transcription factors. A generalized profile was used as a predictive quantitative model for binding sites, and its parameters were estimated from in vitro-selected ligands using standard hidden Markov model training algorithms. Computer simulations showed that several thousand low- to medium-affinity sequences are required to generate a profile of desired accuracy. To produce data on this scale, we applied high-throughput genomics methods to the biochemical problem addressed here. A method combining systematic evolution of ligands by exponential enrichment (SELEX) and serial analysis of gene expression (SAGE) protocols was coupled to an automated quality-controlled sequence extraction procedure based on Phred quality scores. This allowed the sequencing of a database of more than 10,000 potential DNA ligands for the CTF/NFI transcription factor. The resulting binding-site model defines the sequence specificity of this protein with a high degree of accuracy not achieved earlier and thereby makes it possible to identify previously unknown regulatory sequences in genomic DNA. A covariance analysis of the selected sites revealed non-independent base preferences at different nucleotide positions, providing insight into the binding mechanism.

Closing the gap between T-cell life span estimates from stable isotope-labeling studies in mice and humans.

Quantitative knowledge of the turnover of different leukocyte populations is a key to our understanding of immune function in health and disease. Much progress has been made thanks to the introduction of stable isotope labeling, the state-of-the-art technique for in vivo quantification of cellular life spans. Yet, even leukocyte life span estimates on the basis of stable isotope labeling can vary up to 10-fold among laboratories. We investigated whether these differences could be the result of variances in the length of the labeling period among studies. To this end, we performed deuterated water-labeling experiments in mice, in which only the length of label administration was varied. The resulting life span estimates were indeed dependent on the length of the labeling period when the data were analyzed using a commonly used single-exponential model. We show that multiexponential models provide the necessary tool to obtain life span estimates that are independent of the length of the labeling period. Use of a multiexponential model enabled us to reduce the gap between human T-cell life span estimates from 2 previously published labeling studies. This provides an important step toward unambiguous understanding of leukocyte turnover in health and disease.

On the relationship between connections and the asymptotic properties of predictive distributions

In a recent paper, Komaki studied the second-order asymptotic properties of predictive distributions, using the Kullback-Leibler divergence as a loss function. He showed that estimative distributions with asymptotically efficient estimators can be improved by predictive distributions that do not belong to the model. The model is assumed to be a multidimensional curved exponential family. In this paper we generalize the result assuming as a loss function any f divergence. A relationship arises between alpha connections and optimal predictive distributions. In particular, using an alpha divergence to measure the goodness of a predictive distribution, the optimal shift of the estimate distribution is related to alpha-covariant derivatives. The expression that we obtain for the asymptotic risk is also useful to study the higher-order asymptotic properties of an estimator, in the mentioned class of loss functions.