Quasistationarity of continuous-time Markov chains with positive drift

We shall study continuous-time Markov chains on the nonnegative integers which are both irreducible and transient, and which exhibit discernible stationarity before drift to infinity sets in. We will show how this 'quasi' stationary behaviour can be modelled using a limiting conditional distribution: specifically, the limiting state probabilities conditional on not having left 0 for the last time. By way of a dual chain, obtained by killing the original process on last exit from 0, we invoke the theory of quasistationarity for absorbing Markov chains. We prove that the conditioned state probabilities of the original chain are equal to the state probabilities of its dual conditioned on non-absorption, thus allowing us to establish the simultaneous existence and then equivalence, of their limiting conditional distributions. Although a limiting conditional distribution for the dual chain is always a quasistationary distribution in the usual sense, a similar statement is not possible for the original chain.

Further results on the relationship between mu-invariant measures and quasi-stationary distributions for absorbing continuous-time Markov chains

This note considers continuous-time Markov chains whose state space consists of an irreducible class, C, and an absorbing state which is accessible from C. The purpose is to provide results on mu-invariant and mu-subinvariant measures where absorption occurs with probability less than one. In particular, the well-known premise that the mu-invariant measure, m, for the transition rates be finite is replaced by the more natural premise that m be finite with respect to the absorption probabilities. The relationship between mu-invariant measures and quasi-stationary distributions is discussed. (C) 2000 Elsevier Science Ltd. All rights reserved.

New methods for determining quasi-stationary distributions for Markov chains

We shall be concerned with the problem of determining quasi-stationary distributions for Markovian models directly from their transition rates Q. We shall present simple conditions for a mu-invariant measure m for Q to be mu-invariant for the transition function, so that if m is finite, it can be normalized to produce a quasi-stationary distribution. (C) 2000 Elsevier Science Ltd. All rights reserved.

Kinetics of propranolol uptake in muscle, skin, and fat of the isolated perfused rat hindlimb

The tissue distribution kinetics of a highly bound solute, propranolol, was investigated in a heterogeneous organ, the isolated perfused limb, using the impulse-response technique and destructive sampling. The propranolol concentration in muscle, skin, and fat as well as in outflow perfusate was measured up to 30 min after injection. The resulting data were analysed assuming (1) vascular, muscle, skin and fat compartments as well mixed (compartmental model) and (2) using a distributed-in-space model which accounts for the noninstantaneous intravascular mixing and tissue distribution processes but consists only of a vascular and extravascular phase (two-phase model). The compartmental model adequately described propranolol concentration-time data in the three tissue compartments and the outflow concentration-time curve (except of the early mixing phase). In contrast, the two-phase model better described the outflow concentration-time curve but is limited in accounting only for the distribution kinetics in the dominant tissue, the muscle. The two-phase model well described the time course of propranolol concentration in muscle tissue, with parameter estimates similar to those obtained with the compartmental model. The results suggest, first that the uptake kinetics of propranolol into skin and fat cannot be analysed on the basis of outflow data alone and, second that the assumption of well-mixed compartments is a valid approximation from a practical point of view las, e.g., in physiological based pharmacokinetic modelling). The steady-state distribution volumes of skin and fat were only 16 and 4%, respectively, of that of muscle tissue (16.7 ml), with higher partition coefficient in fat (6.36) than in skin (2.64) and muscle (2.79. (C) 2000 Elsevier Science B.V. All rights reserved.

Swapping space for time and unfair tests of ecological models

Testing ecological models for management is an increasingly important part of the maturation of ecology as an applied science. Consequently, we need to work at applying fair tests of models with adequate data. We demonstrate that a recent test of a discrete time, stochastic model was biased towards falsifying the predictions. If the model was a perfect description of reality, the test falsified the predictions 84% of the time. We introduce an alternative testing procedure for stochastic models, and show that it falsifies the predictions only 5% of the time when the model is a perfect description of reality. The example is used as a point of departure to discuss some of the philosophical aspects of model testing.

A method for setting the size of plant conservation target areas

Realistic time frames in which management decisions are made often preclude the completion of the detailed analyses necessary for conservation planning. Under these circumstances, efficient alternatives may assist in approximating the results of more thorough studies that require extensive resources and time. We outline a set of concepts and formulas that may be used in lieu of detailed population viability analyses and habitat modeling exercises to estimate the protected areas required to provide desirable conservation outcomes for a suite of threatened plant species. We used expert judgment of parameters and assessment of a population size that results in a specified quasiextinction risk based on simple dynamic models The area required to support a population of this size is adjusted to take into account deterministic and stochastic human influences, including small-scale disturbance deterministic trends such as habitat loss, and changes in population density through processes such as predation and competition. We set targets for different disturbance regimes and geographic regions. We applied our methods to Banksia cuneata, Boronia keysii, and Parsonsia dorrigoensis, resulting in target areas for conservation of 1102, 733, and 1084 ha, respectively. These results provide guidance on target areas and priorities for conservation strategies.

Indirect certainty equivalents for the firm facing price and production uncertainty

Producer decisionmaking under uncertainty is characterized using indirect objective functions. The characterization is for the class of producers with continuous and nondecreasing preferences over stochastic incomes who face both price and production uncertainty. (C) 2002 Elsevier Science B.V. All rights reserved.

Anisotropic convection model for the earth's mantle

The paper presents a theory for modeling flow in anisotropic, viscous rock. This theory has originally been developed for the simulation of large deformation processes including the folding and kinking of multi-layered visco-elastic rock (Muhlhaus et al. [1,2]). The orientation of slip planes in the context of crystallographic slip is determined by the normal vector - the director - of these surfaces. The model is applied to simulate anisotropic mantle convection. We compare the evolution of flow patterns, Nusselt number and director orientations for isotropic and anisotropic rheologies. In the simulations we utilize two different finite element methodologies: The Lagrangian Integration Point Method Moresi et al [8] and an Eulerian formulation, which we implemented into the finite element based pde solver Fastflo (www.cmis.csiro.au/Fastflo/). The reason for utilizing two different finite element codes was firstly to study the influence of an anisotropic power law rheology which currently is not implemented into the Lagrangian Integration point scheme [8] and secondly to study the numerical performance of Eulerian (Fastflo)- and Lagrangian integration schemes [8]. It turned out that whereas in the Lagrangian method the Nusselt number vs time plot reached only a quasi steady state where the Nusselt number oscillates around a steady state value the Eulerian scheme reaches exact steady states and produces a high degree of alignment (director orientation locally orthogonal to velocity vector almost everywhere in the computational domain). In the simulations emergent anisotropy was strongest in terms of modulus contrast in the up and down-welling plumes. Mechanisms for anisotropic material behavior in the mantle dynamics context are discussed by Christensen [3]. The dominant mineral phases in the mantle generally do not exhibit strong elastic anisotropy but they still may be oriented by the convective flow. Thus viscous anisotropy (the main focus of this paper) may or may not correlate with elastic or seismic anisotropy.

Neighborhood and Efficiency in Manufacturing in Brazilian Regions: A Spatial Markov Chain Analysis

This paper analyzes the geography of regional competitiveness in manufacturing in Brazil. The authors estimate stochastic frontiers to calculate regional efficiency of representative firms in 137 regions in the period 2000-2006, in four sectors defined by technological intensity. The efficiency results are analyzed using Markov Spatial Transition Matrices to provide insights into the transition of regions between efficiency levels, considering their local spatial context. The results indicate that geography plays an important role in manufacturing competitiveness. In particular, regions with more competitive neighbors are more likely to improve their relative efficiency (pull effect) over time, and regions with less competitive neighbors are more likely to lose relative efficiency (drag effect). The authors find that the pull effect is stronger than the drag effect.

Evaluating the efficiency of fractional integration parameter estimators

This article deals with the efficiency of fractional integration parameter estimators. This study was based on Monte Carlo experiments involving simulated stochastic processes with integration orders in the range]-1,1[. The evaluated estimation methods were classified into two groups: heuristics and semiparametric/maximum likelihood (ML). The study revealed that the comparative efficiency of the estimators, measured by the lesser mean squared error, depends on the stationary/non-stationary and persistency/anti-persistency conditions of the series. The ML estimator was shown to be superior for stationary persistent processes; the wavelet spectrum-based estimators were better for non-stationary mean reversible and invertible anti-persistent processes; the weighted periodogram-based estimator was shown to be superior for non-invertible anti-persistent processes.

Price dispersion and price indexes

The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

Optimal reserve management and sovereign debt

Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign`s willingness-to-pay incentive problems, reserve accumulation may reduce sustainable debt levels. In addition, assuming constant debt levels does not allow addressing one of the puzzles behind using reserves as a means to avoid the negative effects of crisis: why do not sovereign countries reduce their sovereign debt instead? To study the joint decision of holding sovereign debt and reserves, we construct a stochastic dynamic equilibrium model calibrated to a sample of emerging markets. We obtain that the reserve accumulation does not play a quantitatively important role in this model. In fact, we find the optimal policy is not to hold reserves at all. This finding is robust to considering interest rate shocks, sudden stops, contingent reserves and reserve dependent output costs. (c) 2008 Elsevier B.V. All rights reserved.

Fragmentation of a Neotropical migratory fish population by a century-old dam

Loss of connectivity in impounded rivers is among the impacts imposed by dams, and mitigation measures such as fish passages might not accomplish their purpose of reestablishing an efficient bi-directional gene flow in the fish populations affected. As a consequence, fish populations remain fragmented, and a new interpopulational structure may develop, with increased risk of reduced genetic diversity and stochastic extinction. In order to evaluate the effects of the Gavio Peixoto Dam, which was constructed almost a century ago on the Jacar,-Gua double dagger u River in the Upper Parana River basin, Brazil, a comparative morphometric study was undertaken on the populations of the Neotropical migratory characid fish Salminus hilarii living up- and downstream of this dam. Population dynamics, spatial segregation, and habitat use by different age classes were monitored for 2 years. We found that segregation caused by the dam and long periods with no efficient connection by fish passages have led to fragmentation and interpopulational structuring of S. hilarii, as revealed by canonical variable analysis of morphometric features. The fish populations occupying the up- and downstream sections have succeeded in performing short-distance reproductive migrations in the main river and tributaries, have found suitable habitats for completing their life cycle, and have been able to maintain distinct small-sized populations so far.

Characterization of the rat exploratory behavior in the elevated plus-maze with Markov chains

The elevated plus-maze is an animal model of anxiety used to study the effect of different drugs on the behavior of the animal It consists of a plus-shaped maze with two open and two closed arms elevated 50 cm from the floor The standard measures used to characterize exploratory behavior in the elevated plus-maze are the time spent and the number of entries in the open arms In this work we use Markov chains to characterize the exploratory behavior of the rat in the elevated plus-maze under three different conditions normal and under the effects of anxiogenic and anxiolytic drugs The spatial structure of the elevated plus-maze is divided into squares which are associated with states of a Markov chain By counting the frequencies of transitions between states during 5-min sessions in the elevated plus-maze we constructed stochastic matrices for the three conditions studied The stochastic matrices show specific patterns which correspond to the observed behaviors of the rat under the three different conditions For the control group the stochastic matrix shows a clear preference for places in the closed arms This preference is enhanced for the anxiogenic group For the anxiolytic group the stochastic matrix shows a pattern similar to a random walk Our results suggest that Markov chains can be used together with the standard measures to characterize the rat behavior in the elevated plus-maze (C) 2010 Elsevier B V All rights reserved

Quantum analysis of the nondegenerate optical parametric oscillator with injected signal

In this paper we study the nondegenerate optical parametric oscillator with injected signal, both analytically and numerically. We develop a perturbation approach which allows us to find approximate analytical solutions, starting from the full equations of motion in the positive-P representation. We demonstrate the regimes of validity of our approximations via comparison with the full stochastic results. We find that, with reasonably low levels of injected signal, the system allows for demonstrations of quantum entanglement and the Einstein-Podolsky-Rosen paradox. In contrast to the normal optical parametric oscillator operating below threshold, these features are demonstrated with relatively intense fields.