910 resultados para Discrete time pricing model


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We show how mapping techniques inherent to N2-dimensional discrete phase spaces can be used to treat a wide family of spin systems which exhibits squeezing and entanglement effects. This algebraic framework is then applied to the modified Lipkin-Meshkov-Glick (LMG) model in order to obtain the time evolution of certain special parameters related to the Robertson- Schrödinger (RS) uncertainty principle and some particular proposals of entanglement measure based on collective angular-momentum generators. Our results reinforce the connection between both the squeezing and entanglement effects, as well as allow to investigate the basic role of spin correlations through the discrete representatives of quasiprobability distribution functions. Entropy functionals are also discussed in this context. The main sequence correlations → entanglement → squeezing of quantum effects embraces a new set of insights and interpretations in this framework, which represents an effective gain for future researches in different spin systems. © 2013 World Scientific Publishing Company.

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Background. Characterization of novel rodent models for prostate cancer studies requires evaluation of either spontaneous and carcinogen-induced tumors as well as tumor incidence in different prostatic lobes. We propose a new short-term rodent model of chemically induced prostate carcinogenesis in which prostate cancer progression occurs differentially in the dorsolateral and ventral lobes. Methods. Adult gerbils were treated with MNU alone or associated with testosterone for 3 or 6 months of treatment. Tumor incidence, latency, localization, and immunohistochemistry (AR, PCNA, smooth muscle α-actin, p63, MGMT, and E-cadherin) were studied in both lobes. Results. Comparisons between both lobes revealed that lesions developed first in the DL while the VL presented longer tumor latency. However, after 6 months, there was a dramatic increase in tumor multiplicity in the VL, mainly in MNU-treated groups. Lesions clearly progressed from a premalignant to a malignant phenotype over time and tumor latency was decreased by MNU + testosterone administration. Three-dimensional reconstruction of the prostatic complex showed that the DL developed tumors exclusively in the periurethral area and showed intense AR, PCNA, and MGMT immunostaining. Moreover, VL lesions emerged throughout the entire lobe. MNU-induced lesions presented markers indicative of an aggressive phenotype: lack of basal cells, rupture of the smooth muscle cell layer, loss of E-cadherin, and high MGMT staining. Conclusions. There are distinct pathways involved in tumor progression in gerbil prostate lobes. This animal provides a good model for prostate cancer since it allows the investigation of advanced steps of carcinogenesis with shorter latency periods in both lobes. Copyright © 2013 Wiley Periodicals, Inc.

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A transmission line is characterized by the fact that its parameters are distributed along its length. This fact makes the voltages and currents along the line to behave like waves and these are described by differential equations. In general, the differential equations mentioned are difficult to solve in the time domain, due to the convolution integral, but in the frequency domain these equations become simpler and their solutions are known. The transmission line can be represented by a cascade of π circuits. This model has the advantage of being developed directly in the time domain, but there is a need to apply numerical integration methods. In this work a comparison of the model that considers the fact that the parameters are distributed (Universal Line Model) and the fact that the parameters considered concentrated along the line (π circuit model) using the trapezoidal integration method, and Simpson's rule Runge-Kutta in a single-phase transmission line length of 100 km subjected to an operation power. © 2003-2012 IEEE.

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This work addresses the solution to the problem of robust model predictive control (MPC) of systems with model uncertainty. The case of zone control of multi-variable stable systems with multiple time delays is considered. The usual approach of dealing with this kind of problem is through the inclusion of non-linear cost constraint in the control problem. The control action is then obtained at each sampling time as the solution to a non-linear programming (NLP) problem that for high-order systems can be computationally expensive. Here, the robust MPC problem is formulated as a linear matrix inequality problem that can be solved in real time with a fraction of the computer effort. The proposed approach is compared with the conventional robust MPC and tested through the simulation of a reactor system of the process industry.

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Many recent survival studies propose modeling data with a cure fraction, i.e., data in which part of the population is not susceptible to the event of interest. This event may occur more than once for the same individual (recurrent event). We then have a scenario of recurrent event data in the presence of a cure fraction, which may appear in various areas such as oncology, finance, industries, among others. This paper proposes a multiple time scale survival model to analyze recurrent events using a cure fraction. The objective is analyzing the efficiency of certain interventions so that the studied event will not happen again in terms of covariates and censoring. All estimates were obtained using a sampling-based approach, which allows information to be input beforehand with lower computational effort. Simulations were done based on a clinical scenario in order to observe some frequentist properties of the estimation procedure in the presence of small and moderate sample sizes. An application of a well-known set of real mammary tumor data is provided.

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Objective: The purpose of this study was to investigate the rat skin penetration abilities of two commercially available low-level laser therapy (LLLT) devices during 150 sec of irradiation. Background data: Effective LLLT irradiation typically lasts from 20 sec up to a few minutes, but the LLLT time-profiles for skin penetration of light energy have not yet been investigated. Materials and methods: Sixty-two skin flaps overlaying rat's gastrocnemius muscles were harvested and immediately irradiated with LLLT devices. Irradiation was performed either with a 810 nm, 200mW continuous wave laser, or with a 904 nm, 60mW superpulsed laser, and the amount of penetrating light energy was measured by an optical power meter and registered at seven time points (range, 1-150 sec). Results: With the continuous wave 810nm laser probe in skin contact, the amount of penetrating light energy was stable at similar to 20% (SEM +/- 0.6) of the initial optical output during 150 sec irradiation. However, irradiation with the superpulsed 904 nm, 60mW laser showed a linear increase in penetrating energy from 38% (SEM +/- 1.4) to 58% (SEM +/- 3.5) during 150 sec of exposure. The skin penetration abilities were significantly different (p < 0.01) between the two lasers at all measured time points. Conclusions: LLLT irradiation through rat skin leaves sufficient subdermal light energy to influence pathological processes and tissue repair. The finding that superpulsed 904nm LLLT light energy penetrates 2-3 easier through the rat skin barrier than 810nm continuous wave LLLT, corresponds well with results of LLLT dose analyses in systematic reviews of LLLT in musculoskeletal disorders. This may explain why the differentiation between these laser types has been needed in the clinical dosage recommendations of World Association for Laser Therapy.

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Model predictive control (MPC) applications in the process industry usually deal with process systems that show time delays (dead times) between the system inputs and outputs. Also, in many industrial applications of MPC, integrating outputs resulting from liquid level control or recycle streams need to be considered as controlled outputs. Conventional MPC packages can be applied to time-delay systems but stability of the closed loop system will depend on the tuning parameters of the controller and cannot be guaranteed even in the nominal case. In this work, a state space model based on the analytical step response model is extended to the case of integrating time systems with time delays. This model is applied to the development of two versions of a nominally stable MPC, which is designed to the practical scenario in which one has targets for some of the inputs and/or outputs that may be unreachable and zone control (or interval tracking) for the remaining outputs. The controller is tested through simulation of a multivariable industrial reactor system. (C) 2012 Elsevier Ltd. All rights reserved.

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We report self-similar properties of periodic structures remarkably organized in the two-parameter space for a two-gene system, described by two-dimensional symmetric map. The map consists of difference equations derived from the chemical reactions for gene expression and regulation. We characterize the system by using Lyapunov exponents and isoperiodic diagrams identifying periodic windows, denominated Arnold tongues and shrimp-shaped structures. Period-adding sequences are observed for both periodic windows. We also identify Fibonacci-type series and Golden ratio for Arnold tongues, and period multiple-of-three windows for shrimps. (C) 2012 Elsevier B.V. All rights reserved.

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In the present work we perform an econometric analysis of the Tribal art market. To this aim, we use a unique and original database that includes information on Tribal art market auctions worldwide from 1998 to 2011. In Literature, art prices are modelled through the hedonic regression model, a classic fixed-effect model. The main drawback of the hedonic approach is the large number of parameters, since, in general, art data include many categorical variables. In this work, we propose a multilevel model for the analysis of Tribal art prices that takes into account the influence of time on artwork prices. In fact, it is natural to assume that time exerts an influence over the price dynamics in various ways. Nevertheless, since the set of objects change at every auction date, we do not have repeated measurements of the same items over time. Hence, the dataset does not constitute a proper panel; rather, it has a two-level structure in that items, level-1 units, are grouped in time points, level-2 units. The main theoretical contribution is the extension of classical multilevel models to cope with the case described above. In particular, we introduce a model with time dependent random effects at the second level. We propose a novel specification of the model, derive the maximum likelihood estimators and implement them through the E-M algorithm. We test the finite sample properties of the estimators and the validity of the own-written R-code by means of a simulation study. Finally, we show that the new model improves considerably the fit of the Tribal art data with respect to both the hedonic regression model and the classic multilevel model.

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In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

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Until few years ago, 3D modelling was a topic confined into a professional environment. Nowadays technological innovations, the 3D printer among all, have attracted novice users to this application field. This sudden breakthrough was not supported by adequate software solutions. The 3D editing tools currently available do not assist the non-expert user during the various stages of generation, interaction and manipulation of 3D virtual models. This is mainly due to the current paradigm that is largely supported by two-dimensional input/output devices and strongly affected by obvious geometrical constraints. We have identified three main phases that characterize the creation and management of 3D virtual models. We investigated these directions evaluating and simplifying the classic editing techniques in order to propose more natural and intuitive tools in a pure 3D modelling environment. In particular, we focused on freehand sketch-based modelling to create 3D virtual models, interaction and navigation in a 3D modelling environment and advanced editing tools for free-form deformation and objects composition. To pursuing these goals we wondered how new gesture-based interaction technologies can be successfully employed in a 3D modelling environments, how we could improve the depth perception and the interaction in 3D environments and which operations could be developed to simplify the classical virtual models editing paradigm. Our main aims were to propose a set of solutions with which a common user can realize an idea in a 3D virtual model, drawing in the air just as he would on paper. Moreover, we tried to use gestures and mid-air movements to explore and interact in 3D virtual environment, and we studied simple and effective 3D form transformations. The work was carried out adopting the discrete representation of the models, thanks to its intuitiveness, but especially because it is full of open challenges.