Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Colombeau's theory and shock wave solutions for systems of PDEs

In this article we study the existence of shock wave solutions for systems of partial differential equations of hydrodynamics with viscosity in one space dimension in the context of Colombeau's theory of generalized functions. This study uses the equality in the strict sense and the association of generalized functions (that is the weak equality). The shock wave solutions are given in terms of generalized functions that have the classical Heaviside step function as macroscopic aspect. This means that solutions are sought in the form of sequences of regularizations to the Heaviside function that have to satisfy part of the equations in the strict sense and part of the equations in the sense of association.

Non-linear analysis of reinforced concrete plates by the boundary element method and continuum damage mechanics

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

Solutions for a class of integro-differential equations with time periodic coefficients

In this work, a series solution is found for the integro-differential equation y″ (t) = -(ω2 c + ω2 f sin2 ωpt)y(t) + ωf (sin ωpt) z′ (0) + ω2 fωp sin ωpt ∫t 0 (cos ωps) y(s)ds, which describes the charged particle motion for certain configurations of oscillating magnetic fields. As an interesting feature, the terms of the solution are related to distinct sequences of prime numbers.

Socio-eco-efficiency of integrated and non-integrated systems of crop, forestry and livestock in the Ipameri city, at brazilian Cerrado

Pós-graduação em Ciências Ambientais - Sorocaba

Non linear application of an in-house finite elements software

Questa tesi si pone come obiettivo l'analisi delle componenti di sollecitazione statica di un serbatoio, in acciaio API 5L X52, sottoposto a carichi di flessione e pressione interna attraverso il programma agli elementi finiti PLCd4, sviluppato presso l'International Center for Numerical Methods in Engineering (CIMNE - Barcelona). Questo tipo di analisi rientra nel progetto europeo ULCF, il cui traguardo è lo studio della fatica a bassissimo numero di cicli per strutture in acciaio. Prima di osservare la struttura completa del serbatoio è stato studiato il comportamento del materiale per implementare all'interno del programma una nuova tipologia di curva che rappresentasse al meglio l'andamento delle tensioni interne. Attraverso il lavoro di preparazione alla tesi è stato inserito all'interno del programma un algoritmo per la distribuzione delle pressioni superficiali sui corpi 3D, successivamente utilizzato per l'analisi della pressione interna nel serbatoio. Sono state effettuate analisi FEM del serbatoio in diverse configurazioni di carico ove si è cercato di modellare al meglio la struttura portante relativa al caso reale di "full scale test". Dal punto di vista analitico i risultati ottenuti sono soddisfacenti in quanto rispecchiano un corretto comportamento del serbatoio in condizioni di pressioni molto elevate e confermano la bontà del programma nell'analisi computazionale.

Non-linear Control of an Autonomous Ground Vehicle

In this paper, in order to select a speed controller for a specific non-linear autonomous ground vehicle, proportional-integral-derivative (PID), Fuzzy, and linear quadratic regulator (LQR) controllers were designed. Here, in order to carry out the tuning of the above controllers, a multicomputer genetic algorithm (MGA) was designed. Then, the results of the MGA were used to parameterize the PID, Fuzzy and LQR controllers and to test them under laboratory conditions. Finally, a comparative analysis of the performance of the three controllers was conducted.

UWB Monocycle Generator based on the non-linear effects of an SOA-integrated structure

In this letter, we propose and experimentally demonstrate a novel and single structure to generate ultra-wideband (UWB) pulses by means of the cross-phase modulation present in a semiconductor optical amplifier unified structure. The key components of this system is an integrated Mach-Zehnder interferometer with two semiconductor optical amplifiers and an optical processing unit. The fusion of these two components permits the generation and customization of UWB monocycle pulses. The polarity of the output pulses is easily modified through the single selection of a specific input port. Moreover, the capacity of transmitting several data sequences is demonstrated and the potentiality to adapt the system to different modulation formats is analyzed.

A non-linear analysis of lying a floating pipeline on the seabed

In this article, a model for the determination of displacements, deformations and tensions of a submarine pipeline during the construction is presented. The process is carried out from an initial floating situation to the final laying position on the seabed. The existence of currents and small waves are also considered. Firstly, this technique, usually applied to polyethylene pipelines, is described in this paper as well as some real world examples, as well as the variables that can be modified to control the behavior of the structure. A detailed description of the actions in this process is considered, specially the ones related to marine environment, as Archimedes force, current and sea waves. The behavior of the pipeline is modeled with a non linear elasto dynamic model where geometric non linearities are taken into account. A 3-D beam model, without cross section deformation effects, is developed. Special care is taken in the numerical analysis, developed within an updated lagrangian formulation framework, with the sea bed contact, the follower forces due to the external water pressures and the dynamic actions. Finally, some subroutines are implemented into ANSYS to simulate the two dimensional case, where the whole construction process is achieved. With this software, a sensibility analysis of the bending moments, axial forces and stresses obtained with different values of the control variables in order to optimize the construction steps. These control variables are, the axial load in the pipe, the inundated inner length and the distance of the control barge from the coast.

Automatic solutions of partial differential equations.

Vita.

A theory of the non-linear influence of normal stress on fatigue under combined stresses,

Contract no. DA-19-020-ORD-3520."