Directed Abelian algebras and their application to stochastic models

With each directed acyclic graph (this includes some D-dimensional lattices) one can associate some Abelian algebras that we call directed Abelian algebras (DAAs). On each site of the graph one attaches a generator of the algebra. These algebras depend on several parameters and are semisimple. Using any DAA, one can define a family of Hamiltonians which give the continuous time evolution of a stochastic process. The calculation of the spectra and ground-state wave functions (stationary state probability distributions) is an easy algebraic exercise. If one considers D-dimensional lattices and chooses Hamiltonians linear in the generators, in finite-size scaling the Hamiltonian spectrum is gapless with a critical dynamic exponent z=D. One possible application of the DAA is to sandpile models. In the paper we present this application, considering one- and two-dimensional lattices. In the one-dimensional case, when the DAA conserves the number of particles, the avalanches belong to the random walker universality class (critical exponent sigma(tau)=3/2). We study the local density of particles inside large avalanches, showing a depletion of particles at the source of the avalanche and an enrichment at its end. In two dimensions we did extensive Monte-Carlo simulations and found sigma(tau)=1.780 +/- 0.005.

Rates of cultural change and patterns of cultural accumulation in stochastic models of social transmission.

Cultural variation in a population is affected by the rate of occurrence of cultural innovations, whether such innovations are preferred or eschewed, how they are transmitted between individuals in the population, and the size of the population. An innovation, such as a modification in an attribute of a handaxe, may be lost or may become a property of all handaxes, which we call "fixation of the innovation." Alternatively, several innovations may attain appreciable frequencies, in which case properties of the frequency distribution-for example, of handaxe measurements-is important. Here we apply the Moran model from the stochastic theory of population genetics to study the evolution of cultural innovations. We obtain the probability that an initially rare innovation becomes fixed, and the expected time this takes. When variation in cultural traits is due to recurrent innovation, copy error, and sampling from generation to generation, we describe properties of this variation, such as the level of heterogeneity expected in the population. For all of these, we determine the effect of the mode of social transmission: conformist, where there is a tendency for each naïve newborn to copy the most popular variant; pro-novelty bias, where the newborn prefers a specific variant if it exists among those it samples; one-to-many transmission, where the variant one individual carries is copied by all newborns while that individual remains alive. We compare our findings with those predicted by prevailing theories for rates of cultural change and the distribution of cultural variation.

Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

Stochastic models and numerical algorithms for a class of regulatory gene networks.

Regulatory gene networks contain generic modules, like those involving feedback loops, which are essential for the regulation of many biological functions (Guido et al. in Nature 439:856-860, 2006). We consider a class of self-regulated genes which are the building blocks of many regulatory gene networks, and study the steady-state distribution of the associated Gillespie algorithm by providing efficient numerical algorithms. We also study a regulatory gene network of interest in gene therapy, using mean-field models with time delays. Convergence of the related time-nonhomogeneous Markov chain is established for a class of linear catalytic networks with feedback loops.

Using time and stochastic models for software reliability forecasting and analysis

Tämä työ luo katsauksen ajallisiin ja stokastisiin ohjelmien luotettavuus malleihin sekä tutkii muutamia malleja käytännössä. Työn teoriaosuus sisältää ohjelmien luotettavuuden kuvauksessa ja arvioinnissa käytetyt keskeiset määritelmät ja metriikan sekä varsinaiset mallien kuvaukset. Työssä esitellään kaksi ohjelmien luotettavuusryhmää. Ensimmäinen ryhmä ovat riskiin perustuvat mallit. Toinen ryhmä käsittää virheiden ”kylvöön” ja merkitsevyyteen perustuvat mallit. Työn empiirinen osa sisältää kokeiden kuvaukset ja tulokset. Kokeet suoritettiin käyttämällä kolmea ensimmäiseen ryhmään kuuluvaa mallia: Jelinski-Moranda mallia, ensimmäistä geometrista mallia sekä yksinkertaista eksponenttimallia. Kokeiden tarkoituksena oli tutkia, kuinka syötetyn datan distribuutio vaikuttaa mallien toimivuuteen sekä kuinka herkkiä mallit ovat syötetyn datan määrän muutoksille. Jelinski-Moranda malli osoittautui herkimmäksi distribuutiolle konvergaatio-ongelmien vuoksi, ensimmäinen geometrinen malli herkimmäksi datan määrän muutoksille.

Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin con- volution of functions de ned on (0;1), and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-di usion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.

MCMC Analysis for Optimization of Stochastic Models

In any decision making under uncertainties, the goal is mostly to minimize the expected cost. The minimization of cost under uncertainties is usually done by optimization. For simple models, the optimization can easily be done using deterministic methods.However, many models practically contain some complex and varying parameters that can not easily be taken into account using usual deterministic methods of optimization. Thus, it is very important to look for other methods that can be used to get insight into such models. MCMC method is one of the practical methods that can be used for optimization of stochastic models under uncertainty. This method is based on simulation that provides a general methodology which can be applied in nonlinear and non-Gaussian state models. MCMC method is very important for practical applications because it is a uni ed estimation procedure which simultaneously estimates both parameters and state variables. MCMC computes the distribution of the state variables and parameters of the given data measurements. MCMC method is faster in terms of computing time when compared to other optimization methods. This thesis discusses the use of Markov chain Monte Carlo (MCMC) methods for optimization of Stochastic models under uncertainties .The thesis begins with a short discussion about Bayesian Inference, MCMC and Stochastic optimization methods. Then an example is given of how MCMC can be applied for maximizing production at a minimum cost in a chemical reaction process. It is observed that this method performs better in optimizing the given cost function with a very high certainty.

Analysis of some Stochastic models in inventories and Queues

The thesis entitled Analysis of Some Stochastic Models in Inventories and Queues. This thesis is devoted to the study of some stochastic models in Inventories and Queues which are physically realizable, though complex. It contains a detailed analysis of the basic stochastic processes underlying these models. In this thesis, (s,S) inventory systems with nonidentically distributed interarrival demand times and random lead times, state dependent demands, varying ordering levels and perishable commodities with exponential life times have been studied. The queueing system of the type Ek/Ga,b/l with server vacations, service systems with single and batch services, queueing system with phase type arrival and service processes and finite capacity M/G/l queue when server going for vacation after serving a random number of customers are also analysed. The analogy between the queueing systems and inventory systems could be exploited in solving certain models. In vacation models, one important result is the stochastic decomposition property of the system size or waiting time. One can think of extending this to the transient case. In inventory theory, one can extend the present study to the case of multi-item, multi-echelon problems. The study of perishable inventory problem when the commodities have a general life time distribution would be a quite interesting problem. The analogy between the queueing systems and inventory systems could be exploited in solving certain models.

Stochastic models and dynamic measures for the characterization of bistable circuits

During the last few years, a great deal of interest has risen concerning the applications of stochastic methods to several biochemical and biological phenomena. Phenomena like gene expression, cellular memory, bet-hedging strategy in bacterial growth and many others, cannot be described by continuous stochastic models due to their intrinsic discreteness and randomness. In this thesis I have used the Chemical Master Equation (CME) technique to modelize some feedback cycles and analyzing their properties, including experimental data. In the first part of this work, the effect of stochastic stability is discussed on a toy model of the genetic switch that triggers the cellular division, which malfunctioning is known to be one of the hallmarks of cancer. The second system I have worked on is the so-called futile cycle, a closed cycle of two enzymatic reactions that adds and removes a chemical compound, called phosphate group, to a specific substrate. I have thus investigated how adding noise to the enzyme (that is usually in the order of few hundred molecules) modifies the probability of observing a specific number of phosphorylated substrate molecules, and confirmed theoretical predictions with numerical simulations. In the third part the results of the study of a chain of multiple phosphorylation-dephosphorylation cycles will be presented. We will discuss an approximation method for the exact solution in the bidimensional case and the relationship that this method has with the thermodynamic properties of the system, which is an open system far from equilibrium.In the last section the agreement between the theoretical prediction of the total protein quantity in a mouse cells population and the observed quantity will be shown, measured via fluorescence microscopy.

Stochastic Models Based on Molecular Hybridization Theory for Short Oligonucleotide Microarrays

High density oligonucleotide expression arrays are a widely used tool for the measurement of gene expression on a large scale. Affymetrix GeneChip arrays appear to dominate this market. These arrays use short oligonucleotides to probe for genes in an RNA sample. Due to optical noise, non-specific hybridization, probe-specific effects, and measurement error, ad-hoc measures of expression, that summarize probe intensities, can lead to imprecise and inaccurate results. Various researchers have demonstrated that expression measures based on simple statistical models can provide great improvements over the ad-hoc procedure offered by Affymetrix. Recently, physical models based on molecular hybridization theory, have been proposed as useful tools for prediction of, for example, non-specific hybridization. These physical models show great potential in terms of improving existing expression measures. In this paper we demonstrate that the system producing the measured intensities is too complex to be fully described with these relatively simple physical models and we propose empirically motivated stochastic models that compliment the above mentioned molecular hybridization theory to provide a comprehensive description of the data. We discuss how the proposed model can be used to obtain improved measures of expression useful for the data analysts.

Comparison of particle dispersion obtained with simple stochastic models and les in pipe flow

A hybrid Eulerian-Lagrangian approach is employed to simulate heavy particle dispersion in turbulent pipe flow. The mean flow is provided by the Eulerian simulations developed by mean of JetCode, whereas the fluid fluctuations seen by particles are prescribed by a stochastic differential equation based on normalized Langevin. The statistics of particle velocity are compared to LES data which contain detailed statistics of velocity for particles with diameter equal to 20.4 µm. The model is in good agreement with the LES data for axial mean velocity whereas rms of axial and radial velocities should be adjusted.