On Ponzi schemes in infinite horizon collateralized economies with default penalties

Araujo, Páscoa and Torres-Martínez (2002) showed that, without imposing any debt constraint, Ponzi schemes are ruled out in infinite horizon economies with limited commitment when collateral is the only mechanism that partially secures loans. Páscoa and Seghir (2009) presented two examples in which they argued that Ponzi schemes may reappear if, additionally to the seizure of the collateral, there are sufficiently harsh default penalties assessed (directly in terms of utility) against the defaulters. Moreover, they claimed that if default penalties are moderate then Ponzi schemes are ruled out and existence of a competitive equilibrium is restored. This paper questions the validity of the claims made in Páscoa and Seghir (2009). First, we show that it is not true that harsh default penalties lead to Ponzi schemes in the examples they have proposed. A competitive equilibrium with no trade can be supported due to unduly pessimistic expectations on asset deliveries. We subsequently refine the equilibrium concept in the spirit of Dubey, Geanakoplos and Shubik (2005) in order to rule out spurious inactivity on asset markets due to irrational expectations. Our second contribution is to provide a specific example of an economy with moderate default penalties in which Ponzi schemes reappear when overpessimistic beliefs on asset deliveries are ruled out. Our finding shows that, contrary to what is claimed by Páscoa and Seghir (2009), moderate default penalties do not always prevent agents to run a Ponzi scheme.

Duality with time-changed Lévy processes

In this paper we study the pricing problem of derivatives written in terms of a two dimensional time{changed L¶evy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put{call duality. It includes as a particular case, the relation known as put{call symmetry. Necessary and su±cient conditions for put{call symmetry to hold are shown, in terms of the triplet of local charac- teristic of the Time{changed L¶evy process. In this way we extend the results obtained in Fajardo and Mordecki (2004) to the case of time{changed Lévy processes.

Remoção de ruídos sísmicos utilizando transformada de wavelet 1D e 2D com software em desenvolvimento

In the Hydrocarbon exploration activities, the great enigma is the location of the deposits. Great efforts are undertaken in an attempt to better identify them, locate them and at the same time, enhance cost-effectiveness relationship of extraction of oil. Seismic methods are the most widely used because they are indirect, i.e., probing the subsurface layers without invading them. Seismogram is the representation of the Earth s interior and its structures through a conveniently disposed arrangement of the data obtained by seismic reflection. A major problem in this representation is the intensity and variety of present noise in the seismogram, as the surface bearing noise that contaminates the relevant signals, and may mask the desired information, brought by waves scattered in deeper regions of the geological layers. It was developed a tool to suppress these noises based on wavelet transform 1D and 2D. The Java language program makes the separation of seismic images considering the directions (horizontal, vertical, mixed or local) and bands of wavelengths that form these images, using the Daubechies Wavelets, Auto-resolution and Tensor Product of wavelet bases. Besides, it was developed the option in a single image, using the tensor product of two-dimensional wavelets or one-wavelet tensor product by identities. In the latter case, we have the wavelet decomposition in a two dimensional signal in a single direction. This decomposition has allowed to lengthen a certain direction the two-dimensional Wavelets, correcting the effects of scales by applying Auto-resolutions. In other words, it has been improved the treatment of a seismic image using 1D wavelet and 2D wavelet at different stages of Auto-resolution. It was also implemented improvements in the display of images associated with breakdowns in each Auto-resolution, facilitating the choices of images with the signals of interest for image reconstruction without noise. The program was tested with real data and the results were good

Análise e projeto de superfícies seletivas de frequência com elementos pré-fractais para aplicações em comunicações indoor

In this thesis, a frequency selective surface (FSS) consists of a two-dimensional periodic structure mounted on a dielectric substrate, which is capable of selecting signals in one or more frequency bands of interest. In search of better performance, more compact dimensions, low cost manufacturing, among other characteristics, these periodic structures have been continually optimized over time. Due to its spectral characteristics, which are similar to band-stop or band-pass filters, the FSSs have been studied and used in several applications for more than four decades. The design of an FSS with a periodic structure composed by pre-fractal elements facilitates the tuning of these spatial filters and the adjustment of its electromagnetic parameters, enabling a compact design which generally has a stable frequency response and superior performance relative to its euclidean counterpart. The unique properties of geometric fractals have shown to be useful, mainly in the production of antennas and frequency selective surfaces, enabling innovative solutions and commercial applications in microwave range. In recent applications, the FSSs modify the indoor propagation environments (emerging concept called wireless building ). In this context, the use of pre-fractal elements has also shown promising results, allowing a more effective filtering of more than one frequency band with a single-layer structure. This thesis approaches the design of FSSs using pre-fractal elements based on Vicsek, Peano and teragons geometries, which act as band-stop spatial filters. The transmission properties of the periodic surfaces are analyzed to design compact and efficient devices with stable frequency responses, applicable to microwave frequency range and suitable for use in indoor communications. The results are discussed in terms of the electromagnetic effect resulting from the variation of parameters such as: fractal iteration number (or fractal level), scale factor, fractal dimension and periodicity of FSS, according the pre-fractal element applied on the surface. The analysis of the fractal dimension s influence on the resonant properties of a FSS is a new contribution in relation to researches about microwave devices that use fractal geometry. Due to its own characteristics and the geometric shape of the Peano pre-fractal elements, the reconfiguration possibility of these structures is also investigated and discussed. This thesis also approaches, the construction of efficient selective filters with new configurations of teragons pre-fractal patches, proposed to control the WLAN coverage in indoor environments by rejecting the signals in the bands of 2.4~2.5 GHz (IEEE 802.11 b) and 5.0~6.0 GHz (IEEE 802.11a). The FSSs are initially analyzed through simulations performed by commercial software s: Ansoft DesignerTM and HFSSTM. The fractal design methodology is validated by experimental characterization of the built prototypes, using alternatively, different measurement setups, with commercial horn antennas and microstrip monopoles fabricated for low cost measurements

A combination of implicit and adaptative upwind tools for the numerical solution of incompressible free surface flows

This paper is concerned with the numerical solutions of time dependent two-dimensional incompressible flows. By using the primitive variables of velocity and pressure, the Navier-Stokes and mass conservation equations are solved by a semi-implicit finite difference projection method. A new bounded higher order upwind convection scheme is employed to deal with the non-linear (advective) terms. The procedure is an adaptation of the GENSMAC (J. Comput. Phys. 1994; 110: 171-186) methodology for calculating confined and free surface fluid flows at both low and high Reynolds numbers. The calculations were performed by using the 2D version of the Freeflow simulation system (J. Comp. Visual. Science 2000; 2:199-210). In order to demonstrate the capabilities of the numerical method, various test cases are presented. These are the fully developed flow in a channel, the flow over a backward facing step, the die-swell problem, the broken dam flow, and an impinging jet onto a flat plate. The numerical results compare favourably with the experimental data and the analytical solutions. Copyright (c) 2006 John Wiley & Sons, Ltd.

Exact solution for a fermion in the background of a scalar inversely linear potential

The problem of a fermion subject to a general scalar potential in a two-dimensional world is mapped into a Sturm-Liouville problem for nonzero eigenenergies. The searching for possible bounded solutions is done in the circumstance of power-law potentials. The normalizable zero-eigenmode solutions are also searched. For the specific case of an inversely linear potential, which gives rise to an effective Kratzer potential, exact bounded solutions are found in closed form. The behaviour of the upper and lower components of the Dirac spinor is discussed in detail and some unusual results are revealed. (C) 2004 Elsevier B.V. All rights reserved.

Bounded solutions of fermions in the background of mixed vector-scalar inversely linear potentials

The problem of a fermion subject to a general mixing of vector and scalar potentials in a two-dimensional world is mapped into a Sturm-Liouville problem. Isolated bounded solutions are also searched. For the specific case of an inversely linear potential, which gives rise to an effective Kratzer potential in the Sturm-Liouville problem, exact bounded solutions are found in closed form. The case of a pure scalar potential with their isolated zero-energy solutions, already analyzed in a previous work, is obtained as a particular case. The behavior of the upper and lower components of the Dirac spinor is discussed in detail and some unusual results are revealed. The nonrelativistic limit of our results adds a new support to the conclusion that even-parity solutions to the nonrelativistic one-dimensional hydrogen atom do not exist. (c) 2004 Elsevier B.V. All rights reserved.

Effects of a mixed vector-scalar screened coulomb potential for spinless particles

The problem of a spinless particle subject to a general mixing of vector and scalar screened Coulomb potentials in a two-dimensional world is analyzed and its bounded solutions are found. Some unusual results, including the existence of a bona fide solitary zero-eigenmode solution, are revealed for the Klein-Gordon equation. The cases of pure vector and scalar potentials, already analyzed in previous works, are obtained as particular cases.

Unified treatment of mixed vector-scalar screened Coulomb potentials for fermions

The problem of a fermion subject to a general mixing of vector and scalar screened Coulomb potentials in a two-dimensional world is analyzed and quantization conditions are found.

Confinement of neutral fermions by a pseudoscalar double-step potential in 1+1 dimensions

The problem of confinement of neutral fermions in two-dimensional space-time is approached with a pseudoscalar double-step potential in the Dirac equation. Bound-state solutions are obtained when the coupling is of sufficient intensity. The confinement is made plausible by arguments based on effective mass and anomalous magnetic interaction. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Bounded solutions of fermions in the background of mixed vector-scalar Poeschl-Teller-like potentials

The problem of a fermion subject to a convenient mixing of vector and scalar potentials in a two-dimensional space-time is mapped into a Sturm-Liouville problem. For a specific case which gives rise to an exactly solvable effective modified Poschl-Teller potential in the Sturm-Liouville problem, bound-state solutions are found. The behaviour of the upper and lower components of the Dirac spinor is discussed in detail and some unusual results are revealed. The Dirac delta potential as a limit of the modified Poschl-Teller potential is also discussed. The problem is also shown to be mapped into that of massless fermions subject to classical topological scalar and pseudoscalar potentials. Copyright (C) EPLA, 2007.

Two field BPS solutions for generalized Lorentz breaking models

In this work we present nonlinear models in two-dimensional space-time of two interacting scalar fields in the Lorentz and CPT violating scenarios. We discuss the soliton solutions for these models as well as the question of stability for them. This is done by generalizing a model recently published by Barreto and collaborators and also by getting new solutions for the model introduced by them.

Bound states by a pseudoscalar Coulomb potential in one-plus-one dimensions

The Dirac equation is solved for a pseudoscalar Coulomb potential in a two-dimensional world. An infinite sequence of bounded solutions are obtained. These results are in sharp contrast with those ones obtained in 3 + 1 dimensions where no bound-state solutions are found. Next the general two-dimensional problem for pseudoscalar power-law potentials is addressed consenting us to conclude that a nonsingular potential leads to bounded solutions. The behaviour of the upper and lower components of the Dirac spinor for a confining linear potential nonconserving- as well as conserving-parity, even if the potential is unbounded from below, is discussed in some detail. (C) 2003 Elsevier B.V. All rights reserved.

Bounded solutions of neutral fermions with a screened Coulomb potential

The intrinsically relativistic problem of a fermion subject to a pseudoscalar screened Coulomb plus a uniform background potential in two-dimensional space-time is mapped into a Sturm-Liouville. This mapping gives rise to an effective Morse-like potential and exact bounded solutions are found. It is shown that the uniform background potential determinates the number of bound-state solutions. The behaviour of the eigenenergies as well as of the upper and lower components of the Dirac spinor corresponding to bounded solutions is discussed in detail and some unusual results are revealed. An apparent paradox concerning the uncertainty principle is solved by recurring to the concepts of effective mass and effective Compton wavelength. (c) 2005 Elsevier B.V. All rights reserved.

A fermion in a scalar inversely linear potential

The problem of a fermion subject to a a scalar inversely linear potential in a two-dimensional world is mapped into a Sturm-Liouville problem for nonzero eigenenergies. This mapping gives rise to an effective Kratzer potential and exact bounded solutions are found in closed form. The normalizable zero-eigenmode solution is also found. A few unusual results are revealed.