Quatérnios, um ensaio sobre a regularidade e hiperperiodicidade de funções quaterniônicas, e o Teorema de Cauchy

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

MA160exam00

Exam questions and solutions in LaTex. Diagrams for the questions are all together in the support.zip file, as .eps files

MA160exam01

Exam questions and solutions in LaTex. Diagrams for the questions are all together in the support.zip file, as .eps files

MA160exam01pdf

Exam questions and solutions in PDF

MA160exam00pdf

Exam questions and solutions in PDF

Perspex machine IX: transreal analysis

We introduce transreal analysis as a generalisation of real analysis. We find that the generalisation of the real exponential and logarithmic functions is well defined for all transreal numbers. Hence, we derive well defined values of all transreal powers of all non-negative transreal numbers. In particular, we find a well defined value for zero to the power of zero. We also note that the computation of products via the transreal logarithm is identical to the transreal product, as expected. We then generalise all of the common, real, trigonometric functions to transreal functions and show that transreal (sin x)/x is well defined everywhere. This raises the possibility that transreal analysis is total, in other words, that every function and every limit is everywhere well defined. If so, transreal analysis should be an adequate mathematical basis for analysing the perspex machine - a theoretical, super-Turing machine that operates on a total geometry. We go on to dispel all of the standard counter "proofs" that purport to show that division by zero is impossible. This is done simply by carrying the proof through in transreal arithmetic or transreal analysis. We find that either the supposed counter proof has no content or else that it supports the contention that division by zero is possible. The supposed counter proofs rely on extending the standard systems in arbitrary and inconsistent ways and then showing, tautologously, that the chosen extensions are not consistent. This shows only that the chosen extensions are inconsistent and does not bear on the question of whether division by zero is logically possible. By contrast, transreal arithmetic is total and consistent so it defeats any possible "straw man" argument. Finally, we show how to arrange that a function has finite or else unmeasurable (nullity) values, but no infinite values. This arithmetical arrangement might prove useful in mathematical physics because it outlaws naked singularities in all equations.

Uso de modelos lineales y no lineales para el estudio de la curva de lactancia en búfalos Murrah y sus cruces en sistemas de cría extensiva en el estado de São Paulo

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

The Poisson-exponential lifetime distribution

In this paper we proposed a new two-parameters lifetime distribution with increasing failure rate. The new distribution arises on a latent complementary risk problem base. The properties of the proposed distribution are discussed, including a formal proof of its probability density function and explicit algebraic formulae for its reliability and failure rate functions, quantiles and moments, including the mean and variance. A simple EM-type algorithm for iteratively computing maximum likelihood estimates is presented. The Fisher information matrix is derived analytically in order to obtaining the asymptotic covariance matrix. The methodology is illustrated on a real data set. © 2010 Elsevier B.V. All rights reserved.

Os modelos de crescimento populacional de Malthus e Verhulst: uma motivação para o ensino de logaritmos e exponenciais

Pós-graduação em Matemática em Rede Nacional - IBILCE

Matemática e música

Esta dissertação propõe atividades a fim de estabelecer uma aproximação entre a matemática e a música, aproveitando a estreita relação existente entre esses dois assuntos. Aplica-se a história da matemática como ferramenta para o entendimento de conceitos matemáticos e musicais, bem como a evolução da música. Além disso, utiliza-se a resolução de problemas para estabelecer a relação entre a matemática e a música através das funções exponencial e logarítmica e a sequência numérica chamada progressão geométrica (P.G.) Ações efetivas, como questionários relativos ao assunto a ser estudado, debates com o intuito de perceber o nível de conhecimento dos alunos sobre a música e uma atividade prática, a construção de um xilofone de garrafas, envolvendo os conhecimentos adquiridos, auxiliaram para a obtenção do resultado final deste trabalho. Apresenta-se também a análise das atividades que embasaram a proposta desse trabalho quando aplicadas em uma turma de segundo ano do Colégio Sinodal Alfredo Simon, localizada na cidade de Pelotas no estado do Rio Grande do Sul.

Snakes with Ellipse-Reproducing Property

We present a new class of continuously defined parametric snakes using a special kind of exponential splines as basis functions. We have enforced our bases to have the shortestpossible support subject to some design constraints to maximize efficiency. While the resulting snakes are versatile enough to provide a good approximation of any closed curve in the plane, their most important feature is the fact that they admit ellipses within their span. Thus, they can perfectly generate circular and elliptical shapes. These features are appropriate to delineate cross sections of cylindrical-like conduits and to outline blob-like objects. We address the implementation details and illustrate the capabilities of our snake with synthetic and real data.

Snakes With an Ellipse-Reproducing Property

We present a new class of continuously defined parametric snakes using a special kind of exponential splines as basis functions. We have enforced our bases to have the shortest possible support subject to some design constraints to maximize efficiency. While the resulting snakes are versatile enough to provide a good approximation of any closed curve in the plane, their most important feature is the fact that they admit ellipses within their span. Thus, they can perfectly generate circular and elliptical shapes. These features are appropriate to delineate cross sections of cylindrical-like conduits and to outline bloblike objects. We address the implementation details and illustrate the capabilities of our snake with synthetic and real data.

Integrated sustainable irrigation planning with multiobjective Fuzzy optimization approach

Multiobjective fuzzy methodology is applied to a case study of Khadakwasla complex irrigation project located near Pune city of Maharashtra State, India. Three objectives, namely, maximization of net benefits, crop production and labour employment are considered. Effect of reuse of wastewater on the planning scenario is also studied. Three membership functions, namely, nonlinear, hyperbolic and exponential are analyzed for multiobjective fuzzy optimization. In the present study, objective functions are considered as fuzzy in nature whereas inflows are considered as dependable. It is concluded that exponential and hyperbolic membership functions provided similar cropping pattern for most of the situations whereas nonlinear membership functions provided different cropping pattern. However, in all the three cases, irrigation intensities are more than the existing irrigation intensity.