SPATIAL VARIABILITY AND VITALITY OF EPIGEOUS TERMITE MOUNDS IN PASTURES OF MATO GROSSO DO SUL, BRAZIL

Epigeous termite mounds are frequently observed in pasture areas, but the processes regulating their population dynamics are poorly known. This study evaluated epigeous termite mounds in cultivated grasslands used as pastures, assessing their spatial distribution by means of geostatistics and evaluating their vitality. The study was conducted in the Cerrado biome in the municipality of Rio Brilhante, Mato Grosso do Sul, Brazil. In two pasture areas (Pasture 1 and Pasture 2), epigeous mounds (nests) were georeferenced and analyzed for height, circumference and vitality (inhabited or not). The area occupied by the mounds was calculated and termite specimens were collected for taxonomic identification. The spatial distribution pattern of the mounds was analyzed with geostatistical procedures. In both pasture areas, all epigeous mounds were built by the same species, Cornitermes cumulans. The mean number of mounds per hectare was 68 in Pasture 1 and 127 in Pasture 2, representing 0.4 and 1 % of the entire area, respectively. A large majority of the mounds were active (vitality), 91 % in Pasture 1 and 84 % in Pasture 2. A “pure nugget effect” was observed in the semivariograms of height and nest circumference in both pastures reflecting randomized spatial distribution and confirming that the distribution of termite mounds in pastures had a non-standard distribution.

First-passage-time noninteger moments for some diffusion and dichotomous processes

We calculate noninteger moments ¿tq¿ of first passage time to trapping, at both ends of an interval (0,L), for some diffusion and dichotomous processes. We find the critical behavior of ¿tq¿, as a function of q, for free processes. We also show that the addition of a potential can destroy criticality.

SPATIAL CORRELATION BETWEEN PHYSICAL PROPERTIES OF SOIL AND WEEDS IN TWO MANAGEMENT SYSTEMS

The spatial correlation between soil properties and weeds is relevant in agronomic and environmental terms. The analysis of this correlation is crucial for the interpretation of its meaning, for influencing factors such as dispersal mechanisms, seed production and survival, and the range of influence of soil management techniques. This study aimed to evaluate the spatial correlation between the physical properties of soil and weeds in no-tillage (NT) and conventional tillage (CT) systems. The following physical properties of soil and weeds were analyzed: soil bulk density, macroporosity, microporosity, total porosity, aeration capacity of soil matrix, soil water content at field capacity, weed shoot biomass, weed density, Commelina benghalensis density, and Bidens pilosa density. Generally, the ranges of the spatial correlations were higher in NT than in CT. The cross-variograms showed that many variables have a structure of combined spatial variation and can therefore be mapped from one another by co-kriging. This combined variation also allows inferences about the physical and biological meanings of the study variables. Results also showed that soil management systems influence the spatial dependence structure significantly.

First-passage-time statistics for diffusion processes with an external random force

We present exact equations and expressions for the first-passage-time statistics of dynamical systems that are a combination of a diffusion process and a random external force modeled as dichotomous Markov noise. We prove that the mean first passage time for this system does not show any resonantlike behavior.

Free inertial processes driven by Gaussian noise: Probability distributions, anomalous diffusion and fractal behavior

We study the motion of an unbound particle under the influence of a random force modeled as Gaussian colored noise with an arbitrary correlation function. We derive exact equations for the joint and marginal probability density functions and find the associated solutions. We analyze in detail anomalous diffusion behaviors along with the fractal structure of the trajectories of the particle and explore possible connections between dynamical exponents of the variance and the fractal dimension of the trajectories.

Modelling diffusion of innovations in a social network

A simple model of diffusion of innovations in a social network with upgrading costs is introduced. Agents are characterized by a single real variable, their technological level. According to local information, agents decide whether to upgrade their level or not, balancing their possible benefit with the upgrading cost. A critical point where technological avalanches display a power-law behavior is also found. This critical point is characterized by a macroscopic observable that turns out to optimize technological growth in the stationary state. Analytical results supporting our findings are found for the globally coupled case.

Random diffusion and leverage effect in financial markets

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

Self and cross-velocity correlation functions and diffusion coefficients in liquids: a molecular dynamics study of binary mixtures of soft spheres

Molecular dynamics simulation is applied to the study of the diffusion properties in binary liquid mixtures made up of soft-sphere particles with different sizes and masses. Self- and distinct velocity correlation functions and related diffusion coefficients have been calculated. Special attention has been paid to the dynamic cross correlations which have been computed through recently introduced relative mean molecular velocity correlation functions which are independent on the reference frame. The differences between the distinct velocity correlations and diffusion coefficients in different reference frames (mass-fixed, number-fixed, and solvent-fixed) are discussed.

Generalized Langevin equations: Anomalous diffusion and probability distributions

We study the motion of a particle governed by a generalized Langevin equation. We show that, when no fluctuation-dissipation relation holds, the long-time behavior of the particle may be from stationary to superdiffusive, along with subdiffusive and diffusive. When the random force is Gaussian, we derive the exact equations for the joint and marginal probability density functions for the position and velocity of the particle and find their solutions.

Spatial analysis of erythrocyte membrane fluctuations by digital holographic microscopy.

Red blood cell (RBC) membrane fluctuations provide important insights into cell states. We present a spatial analysis of red blood cell membrane fluctuations by using digital holographic microscopy (DHM). This interferometric and dye-free technique, possessing nanometric axial and microsecond temporal sensitivities enables to measure cell membrane fluctuations (CMF) on the whole cell surface. DHM acquisition is combined with a model which allows extracting the membrane fluctuation amplitude, while taking into account cell membrane topology. Uneven distribution of CMF amplitudes over the RBC surface is observed, showing maximal values in a ring corresponding to the highest points on the RBC torus as well as in some scattered areas in the inner region of the RBC. CMF amplitudes of 35.9+/-8.9 nm and 4.7+/-0.5 nm (averaged over the cell surface) were determined for normal and ethanol-fixed RBCs, respectively.

SPATIAL DEPENDENCE OF ELECTRICAL CONDUCTIVITY AND CHEMICAL PROPERTIES OF THE SOIL BY ELECTROMAGNETIC INDUCTION

Brazilian soils have natural high chemical variability; thus, apparent electrical conductivity (ECa) can assist interpretation of crop yield variations. We aimed to select soil chemical properties with the best linear and spatial correlations to explain ECa variation in the soil using a Profiler sensor (EMP-400). The study was carried out in Sidrolândia, MS, Brazil. We analyzed the following variables: electrical conductivity - EC (2, 7, and 15 kHz), organic matter, available K, base saturation, and cation exchange capacity (CEC). Soil ECa was measured with the aid of an all-terrain vehicle, which crossed the entire area in strips spaced at 0.45 m. Soil samples were collected at the 0-20 cm depth with a total of 36 samples within about 70 ha. Classical descriptive analysis was applied to each property via SAS software, and GS+ for spatial dependence analysis. The equipment was able to simultaneously detect ECa at the different frequencies. It was also possible to establish site-specific management zones through analysis of correlation with chemical properties. We observed that CEC was the property that had the best correlation with ECa at 15 kHz.

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.

SPATIAL UNCERTAINTY OF NUTRIENT LOSS BY EROSION IN SUGARCANE HARVESTING SCENARIOS

The assessment of spatial uncertainty in the prediction of nutrient losses by erosion associated with landscape models is an important tool for soil conservation planning. The purpose of this study was to evaluate the spatial and local uncertainty in predicting depletion rates of soil nutrients (P, K, Ca, and Mg) by soil erosion from green and burnt sugarcane harvesting scenarios, using sequential Gaussian simulation (SGS). A regular grid with equidistant intervals of 50 m (626 points) was established in the 200-ha study area, in Tabapuã, São Paulo, Brazil. The rate of soil depletion (SD) was calculated from the relation between the nutrient concentration in the sediments and the chemical properties in the original soil for all grid points. The data were subjected to descriptive statistical and geostatistical analysis. The mean SD rate for all nutrients was higher in the slash-and-burn than the green cane harvest scenario (Student’s t-test, p<0.05). In both scenarios, nutrient loss followed the order: Ca>Mg>K>P. The SD rate was highest in areas with greater slope. Lower uncertainties were associated to the areas with higher SD and steeper slopes. Spatial uncertainties were highest for areas of transition between concave and convex landforms.

Exact temporal evolution for some non-linear diffusion process

Exact solutions to FokkerPlanck equations with nonlinear drift are considered. Applications of these exact solutions for concrete models are studied. We arrive at the conclusion that for certain drifts we obtain divergent moments (and infinite relaxation time) if the diffusion process can be extended without any obstacle to the whole space. But if we introduce a potential barrier that limits the diffusion process, moments converge with a finite relaxation time.