Stochastic discount factor bounds and rare events: a review

We aim to provide a review of the stochastic discount factor bounds usually applied to diagnose asset pricing models. In particular, we mainly discuss the bounds used to analyze the disaster model of Barro (2006). Our attention is focused in this disaster model since the stochastic discount factor bounds that are applied to study the performance of disaster models usually consider the approach of Barro (2006). We first present the entropy bounds that provide a diagnosis of the analyzed disaster model which are the methods of Almeida and Garcia (2012, 2016); Ghosh et al. (2016). Then, we discuss how their results according to the disaster model are related to each other and also present the findings of other methodologies that are similar to these bounds but provide different evidence about the performance of the framework developed by Barro (2006).

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Effect of adding macro and micro minerals in pig feces fed diets with different levels of probiotic

O objetivo deste trabalho foi avaliar dietas contendo diferentes doses (0, 100, 200 e 300 ppm) de probiótico sobre a produção diária de fezes (PDF) e teor de macro e microminerais nas fezes de suínos, nas fases de creche e de crescimento e no período total. A PDF, como porcentagem do peso vivo, somente apresentou diferença estatística (P<0,05) na fase inicial 1. Os teores de macro e microminerais excretados nas fezes não apresentaram diferença (P>0,05) entre tratamentos, a exceção de cálcio e sódio na fase inicial 1 e cálcio, zinco e níquel no período total. A adição de um poliprobiótico às dietas, não afetou a produção de fezes dos suínos nas fases de creche e de crescimento. Entretanto, a presença de microrganismos, adicionados (níveis de 200 e 300 ppm) às dietas reduziu a excreção fecal de cálcio, zinco e níquel.

Stochastic modelling considering ionospheric scintillation effects on GNSS relative and point positioning

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Improving the GNSS positioning stochastic model in the presence of ionospheric scintillation

Ionospheric scintillations are caused by time-varying electron density irregularities in the ionosphere, occurring more often at equatorial and high latitudes. This paper focuses exclusively on experiments undertaken in Europe, at geographic latitudes between similar to 50 degrees N and similar to 80 degrees N, where a network of GPS receivers capable of monitoring Total Electron Content and ionospheric scintillation parameters was deployed. The widely used ionospheric scintillation indices S4 and sigma(phi) represent a practical measure of the intensity of amplitude and phase scintillation affecting GNSS receivers. However, they do not provide sufficient information regarding the actual tracking errors that degrade GNSS receiver performance. Suitable receiver tracking models, sensitive to ionospheric scintillation, allow the computation of the variance of the output error of the receiver PLL (Phase Locked Loop) and DLL (Delay Locked Loop), which expresses the quality of the range measurements used by the receiver to calculate user position. The ability of such models of incorporating phase and amplitude scintillation effects into the variance of these tracking errors underpins our proposed method of applying relative weights to measurements from different satellites. That gives the least squares stochastic model used for position computation a more realistic representation, vis-a-vis the otherwise 'equal weights' model. For pseudorange processing, relative weights were computed, so that a 'scintillation-mitigated' solution could be performed and compared to the (non-mitigated) 'equal weights' solution. An improvement between 17 and 38% in height accuracy was achieved when an epoch by epoch differential solution was computed over baselines ranging from 1 to 750 km. The method was then compared with alternative approaches that can be used to improve the least squares stochastic model such as weighting according to satellite elevation angle and by the inverse of the square of the standard deviation of the code/carrier divergence (sigma CCDiv). The influence of multipath effects on the proposed mitigation approach is also discussed. With the use of high rate scintillation data in addition to the scintillation indices a carrier phase based mitigated solution was also implemented and compared with the conventional solution. During a period of occurrence of high phase scintillation it was observed that problems related to ambiguity resolution can be reduced by the use of the proposed mitigated solution.

Stochastic stability for Markovian jump linear systems associated with a finite number of jump times

This paper deals with a stochastic stability concept for discrete-time Markovian jump linear systems. The random jump parameter is associated to changes between the system operation modes due to failures or repairs, which can be well described by an underlying finite-state Markov chain. In the model studied, a fixed number of failures or repairs is allowed, after which, the system is brought to a halt for maintenance or for replacement. The usual concepts of stochastic stability are related to pure infinite horizon problems, and are not appropriate in this scenario. A new stability concept is introduced, named stochastic tau-stability that is tailored to the present setting. Necessary and sufficient conditions to ensure the stochastic tau-stability are provided, and the almost sure stability concept associated with this class of processes is also addressed. The paper also develops equivalences among second order concepts that parallels the results for infinite horizon problems. (C) 2003 Elsevier B.V. All rights reserved.

Study of liposomes stability containing soy phosphatidyleholine and hydrogenated soy phosphatydylcholine adding or not cholesterol by turbidity method

Study of Liposomes Stability Containing Soy Phosphatidyleholine and Hydrogenated Soy Phosphatydylcholine Adding or Not Cholesterol by Turbidity Method. Liposomes are structures composed by phospholipids as soy phosphatidylcholine (PC) and hydrogenated soy phosphatydylcholine (PCH). Among the methods used to prove liposomes stability, turbidity method is widely used. The objective of this work was to study the liposomes stability containing PC or PCH with and without cholesterol (CHOL) by turbidity method. Liposomes were stored a 30 degrees C during 90 days and periodically absorbance readings at 410 nm were made to verify possible turbidity alterations. Increases in the turbidity with time occurred for PC liposomes. In the presence of CHOL higher turbidity was obtained probably reflecting the increase in the size of liposomes. For PCH liposomes the presence of CHOL did not affect the turbidity suggesting higher physical stability of the structures.

Vibration Attenuation in Rotating Machines Using Smart Spring Mechanism

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Effects of adding a spray-dried polyclonal antibody preparation on ruminal fermentation patterns and digestibility of cows fed high concentrate diets

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Effects of adding polyclonal antibody preparations on ruminal fermentation patterns and digestibility of cows fed different energy sources

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Stochastic dynamics in exotic and native blowflies: an analysis combining laboratory experiments and a two-patch metapopulation model

In this study we explored the stochastic population dynamics of three exotic blowfly species, Chrysomya albiceps, Chrysomya megacephala and Chrysomya putoria, and two native species, Cochliomyia macellaria and Lucilia eximia, by combining a density-dependent growth model with a two-patch metapopulation model. Stochastic fecundity, survival and migration were investigated by permitting random variations between predetermined demographic boundary values based on experimental data. Lucilia eximia and Chrysomya albiceps were the species most susceptible to the risk of local extinction. Cochliomyia macellaria, C. megacephala and C. putoria exhibited lower risks of extinction when compared to the other species. The simultaneous analysis of stochastic fecundity and survival revealed an increase in the extinction risk for all species. When stochastic fecundity, survival and migration were simulated together, the coupled populations were synchronized in the five species. These results are discussed, emphasizing biological invasion and interspecific interaction dynamics.

Stochastic dynamics of Musca domestica (Diptera: Muscidae) and Chrysomya putoria (Diptera: Calliphoridae)

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Stochastic variational approach applied to 2, 3 and 4 alpha particles

A stochastic variational method is applied to calculate the binding energies and root-mean-square radii of 2, 3 and 4 alpha particles using an S-wave Ali-Bodmer potential. The results agree with other calculations. We discuss the application of the present method to study the universality in weakly-bound three and four-body systems in the context of ultracold atomic traps.

Stochastic Skellam model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Crossover between the extended and localized regimes in stochastic partially self-avoiding walks in one-dimensional disordered systems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)