The LQ control problem for Markovian jumps linear systems with horizon defined by stopping times

This paper deals with a stochastic optimal control problem involving discrete-time jump Markov linear systems. The jumps or changes between the system operation modes evolve according to an underlying Markov chain. In the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (TN), or the occurrence of a crucial failure event (τΔ), after which the system is brought to a halt for maintenance. In addition, an intermediary mixed case for which T represents the minimum between TN and τΔ is also considered. These stopping times coincide with some of the jump times of the Markov state and the information available allows the reconfiguration of the control action at each jump time, in the form of a linear feedback gain. The solution for the linear quadratic problem with complete Markov state observation is presented. The solution is given in terms of recursions of a set of algebraic Riccati equations (ARE) or a coupled set of algebraic Riccati equation (CARE).

Linear quadratic Gaussian control of discrete-time Markov jump linear systems with horizon defined by stopping times

The linear quadratic Gaussian control of discrete-time Markov jump linear systems is addressed in this paper, first for state feedback, and also for dynamic output feedback using state estimation. in the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (T N), or the occurrence of a crucial failure event (τ δ), after which the system paralyzed. From the constructive method used here a separation principle holds, and the solutions are given in terms of a Kalman filter and a state feedback sequence of controls. The control gains are obtained by recursions from a set of algebraic Riccati equations for the former case or by a coupled set of algebraic Riccati equation for the latter case. Copyright © 2005 IFAC.

Optimal Martingales and American Option Pricing

Pricing American options is an interesting research topic since there is no analytical solution to value these derivatives. Different numerical methods have been proposed in the literature with some, if not all, either limited to a specific payoff or not applicable to multidimensional cases. Applications of Monte Carlo methods to price American options is a relatively new area that started with Longstaff and Schwartz (2001). Since then, few variations of that methodology have been proposed. The general conclusion is that Monte Carlo estimators tend to underestimate the true option price. The present paper follows Glasserman and Yu (2004b) and proposes a novel Monte Carlo approach, based on designing "optimal martingales" to determine stopping times. We show that our martingale approach can also be used to compute the dual as described in Rogers (2002).

Ensaios em Finanças

Esta tese é composta de três artigos sobre finanças. O primeiro tem o título "Nonparametric Option Pricing with Generalized Entropic Estimators " e estuda um método de apreçamento de derivativos em mercados incompletos. Este método está relacionado com membros da família de funções de Cressie-Read em que cada membro fornece uma medida neutra ao risco. Vários testes são feitos. Os resultados destes testes sugerem um modo de definir um intervalo robusto para preços de opções. Os outros dois artigos são sobre anúncios agendados em diferentes situações. O segundo se chama "Watching the News: Optimal Stopping Time and Scheduled Announcements" e estuda problemas de tempo de parada ótimo na presença de saltos numa data fixa em modelos de difusão com salto. Fornece resultados sobre a otimalidade do tempo de parada um pouco antes do anúncio. O artigo aplica os resultados ao tempo de exercício de Opções Americanas e ao tempo ótimo de venda de um ativo. Finalmente o terceiro artigo estuda um problema de carteira ótima na presença de custo fixo quando os preços podem saltar numa data fixa. Seu título é "Dynamic Portfolio Selection with Transactions Costs and Scheduled Announcement" e o resultado mais interessante é que o comportamento do investidor é consistente com estudos empíricos sobre volume de transações em momentos próximos de anúncios.

Asymptotic Change-Point Analysis of the Dependencies in Time Series

In recent papers, Wied and his coauthors have introduced change-point procedures to detect and estimate structural breaks in the correlation between time series. To prove the asymptotic distribution of the test statistic and stopping time as well as the change-point estimation rate, they use an extended functional Delta method and assume nearly constant expectations and variances of the time series. In this thesis, we allow asymptotically infinitely many structural breaks in the means and variances of the time series. For this setting, we present test statistics and stopping times which are used to determine whether or not the correlation between two time series is and stays constant, respectively. Additionally, we consider estimates for change-points in the correlations. The employed nonparametric statistics depend on the means and variances. These (nuisance) parameters are replaced by estimates in the course of this thesis. We avoid assuming a fixed form of these estimates but rather we use "blackbox" estimates, i.e. we derive results under assumptions that these estimates fulfill. These results are supplement with examples. This thesis is organized in seven sections. In Section 1, we motivate the issue and present the mathematical model. In Section 2, we consider a posteriori and sequential testing procedures, and investigate convergence rates for change-point estimation, always assuming that the means and the variances of the time series are known. In the following sections, the assumptions of known means and variances are relaxed. In Section 3, we present the assumptions for the mean and variance estimates that we will use for the mean in Section 4, for the variance in Section 5, and for both parameters in Section 6. Finally, in Section 7, a simulation study illustrates the finite sample behaviors of some testing procedures and estimates.

The average mixing matrix signature

Laplacian-based descriptors, such as the Heat Kernel Signature and the Wave Kernel Signature, allow one to embed the vertices of a graph onto a vectorial space, and have been successfully used to find the optimal matching between a pair of input graphs. While the HKS uses a heat di↵usion process to probe the local structure of a graph, the WKS attempts to do the same through wave propagation. In this paper, we propose an alternative structural descriptor that is based on continuoustime quantum walks. More specifically, we characterise the structure of a graph using its average mixing matrix. The average mixing matrix is a doubly-stochastic matrix that encodes the time-averaged behaviour of a continuous-time quantum walk on the graph. We propose to use the rows of the average mixing matrix for increasing stopping times to develop a novel signature, the Average Mixing Matrix Signature (AMMS). We perform an extensive range of experiments and we show that the proposed signature is robust under structural perturbations of the original graphs and it outperforms both the HKS and WKS when used as a node descriptor in a graph matching task.

From Full stopping to transparency in a holographic model of heavy ion collisions

We numerically simulate planar shock wave collisions in anti-de Sitter space as a model for heavy ion collisions of large nuclei. We uncover a crossover between two different dynamical regimes as a function of the collision energy. At low energies the shocks first stop and then explode in a manner approximately described by hydrodynamics, in close similarity with the Landau model. At high energies the receding fragments move outwards at the speed of light, with a region of negative energy density and negative longitudinal pressure trailing behind them. The rapidity distribution of the energy density at late times around midrapidity is not approximately boost invariant but Gaussian, albeit with a width that increases with the collision energy.

Analysis Of The Fluorescence Of Body Fluids On Different Surfaces And Times.

The use of screening techniques, such as an alternative light source (ALS), is important for finding biological evidence at a crime scene. The objective of this study was to evaluate whether biological fluid (blood, semen, saliva, and urine) deposited on different surfaces changes as a function of the age of the sample. Stains were illuminated with a Megamaxx™ ALS System and photographed with a Canon EOS Utility™ camera. Adobe Photoshop™ was utilized to prepare photographs for analysis, and then ImageJ™ was used to record the brightness values of pixels in the images. Data were submitted to analysis of variance using a generalized linear mixed model with two fixed effects (surface and fluid). Time was treated as a random effect (through repeated measures) with a first-order autoregressive covariance structure. Means of significant effects were compared by the Tukey test. The fluorescence of the analyzed biological material varied depending on the age of the sample. Fluorescence was lower when the samples were moist. Fluorescence remained constant when the sample was dry, up to the maximum period analyzed (60 days), independent of the substrate on which the fluid was deposited, showing the novelty of this study. Therefore, the forensic expert can detect biological fluids at the crime scene using an ALS even several days after a crime has occurred.

Análise do desempenho muscular do quadríceps e dos isquiotibiais em função da série temporal e da amplitude de movimento de atletas amadoras de futsal feminino = : Analysis of muscle performance of the quadriceps and hamstrings as a function of the times series and range of motion of amateurfemale futsal athletes

Universidade Estadual de Campinas . Faculdade de Educação Física

Influence of separate and mixed experimental designs on reaction times to two simple visual stimuli

Testing contexts have been shown to critically influence experimental results in psychophysical studies. One of these contexts that show important modulation of the behavioral effects of different stimulatory conditions is the separate (blocked) or mixed presentation of these stimulatory conditions. The study presents evidence that the apparent discriminabilities of two target stimuli can change according to which of these two testing contexts is used. A cross inside a ring and a vertical line inside a ring were presented as go stimuli in a go/no-go reaction time task. In one experiment, each of these stimuli was presented to a different group of volunteers and in another experiment they were presented to the same group of volunteers, randomly mixed in the blocks of trials. Similar reaction times were obtained for the two stimuli in the first experiment, and different reaction times (faster for the cross) in the second experiment. The latter result indicates that the two stimuli have different discriminabilities from the no-go stimulus; the cross having greater discriminability. This difference is however masked, presumably by the adoption of specific compensatory attentional sets, in a separate testing context.

Dating minerals by ID-TIMS geochronology at times of in situ analysis: selected case studies from the CPGeo-IGc-USP laboratory

Since 1964, the Center for Geochronological Research - CPGeo, one of the interdepartmental centers of the Instituto de Geociências (IG) of São Paulo University, has developed studies related to several geological processes associated with different rock types. Thermal Ionization Mass Spectrometry Isotopic Dilution (ID-TIMS) has been the technique widely used in the CPGeo U-Pb Laboratory. It provides reliable and accurate results in age determination of superposed events. However, the open-system behavior such as Pb-loss, the inheritance problem and metamictization processes allow and impel us to a much richer understanding of the power and limitations of U-Pb geochronology and thermochronology. In this article, we present the current methodology used at the CPGeo-IGc-USP U-Pb laboratory, the improvements on ID-TIMS method, and report high-precision U-Pb data from zircon, monazite, epidote, titanite, baddeleyite and rutile from different rock types of several domains of the Brazilian south-southeast area, Argentina and Uruguay.

Exceptional times for the dynamical discrete web

The dynamical discrete web (DyDW), introduced in the recent work of Howitt and Warren, is a system of coalescing simple symmetric one-dimensional random walks which evolve in an extra continuous dynamical time parameter tau. The evolution is by independent updating of the underlying Bernoulli variables indexed by discrete space-time that define the discrete web at any fixed tau. In this paper, we study the existence of exceptional (random) values of tau where the paths of the web do not behave like usual random walks and the Hausdorff dimension of the set of such exceptional tau. Our results are motivated by those about exceptional times for dynamical percolation in high dimension by Haggstrom, Peres and Steif, and in dimension two by Schramm and Steif. The exceptional behavior of the walks in the DyDW is rather different from the situation for the dynamical random walks of Benjamini, Haggstrom, Peres and Steif. For example, we prove that the walk from the origin S(0)(tau) violates the law of the iterated logarithm (LIL) on a set of tau of Hausdorff dimension one. We also discuss how these and other results should extend to the dynamical Brownian web, the natural scaling limit of the DyDW. (C) 2009 Elsevier B.V. All rights reserved.

Industrial apiculture in the Jordan valley during Biblical times with Anatolian honeybees

Although texts and wall paintings suggest that bees were kept in the Ancient Near East for the production of precious wax and honey, archaeological evidence for beekeeping has never been found. The Biblical term ""honey"" commonly was interpreted as the sweet product of fruits, such as dates and figs. The recent discovery of unfired clay cylinders similar to traditional hives still used in the Near East at the site of Tel Rehov in the Jordan valley in northern Israel suggests that a large-scale apiary was located inside the town, dating to the 10th-early 9th centuries B.C.E. This paper reports the discovery of remains of honeybee workers, drones, pupae, and larvae inside these hives. The exceptional preservation of these remains provides unequivocal identification of the clay cylinders as the most ancient beehives yet found. Morphometric analyses indicate that these bees differ from the local subspecies Apis mellifera syriaca and from all subspecies other than A. m. anatoliaca, which presently resides in parts of Turkey. This finding suggests either that the Western honeybee subspecies distribution has undergone rapid change during the last 3,000 years or that the ancient inhabitants of Tel Rehov imported bees superior to the local bees in terms of their milder temper and improved honey yield.

ADAPTABILITY AND STABILITY OF SOYBEAN GENOTYPES UNDER DIFFERENT TIMES OF SOWING

This study aimed to evaluate the average behavior, the genotype x environment (GxE), adaptability and stability of seven soybean cultivars at three sowing dates in Uberlandia-MG. The tests were conducted at Capim Branco Farm, belonging to the Federal University of Uberlandia. Sowing was held on october 29 (1st season), november 24 (2nd season) and december 17 (3rd season) 2007. The experimental design was a randomized, seven genotypes (UFUS Xavante, UFUS Riqueza, UFUS Guarani, UFUS Milionaria, Msoy 8001, Msoy 8411 and Msoy 8914) with three replications in each of three sowing dates. Means were compared by Tukey test at 5% probability. Analysis of adaptability and phenotypic stability of genotypes was performed using the Eberhart and Russell (1966), Lin and Binns (1988) modified by Carneiro (1998) and centroid (NASCIMENTO et al., 2009). For grain yield, the cultivar UFUS Xavante was classified as specific adaptability to environment and high stability. The other cultivars were classified as being of general adaptability. For oil content, the cultivars Msoy 8914 and UFUS Xavante behaved as high stability and was classified as having high adaptability. For the character content of protein, all cultivars behaved as wide adaptability and low stability.

Two times three little pigs: Dysfluency, cognitive complexity and autism

This paper presents an analysis of dysfluencies in two oral tellings of a familiar children's story by a young boy with autism. Thurber & Tager-Flusberg (1993) postulate a lower degree of cognitive and communicative investment to explain a lower frequency of non-grammatical pauses observed in elicited narratives of children with autism in comparison to typically developing and intellectually disabled controls. we also found a very low frequency of non-grammatical pauses in our data, but indications of high engagement and cognitive and communicative investment. We point to a wider range of disfluencies as indicators of cognitive load, and show that the kind and location of dysfluencies produced may reveal which aspects of the narrative task are creating the greatest cognitive demand: here, mental state ascription, perspectivization, and adherence to story schema. This paper thus generates analytical options and hypotheses that can be explored further in a larger population of children with autism and typically developing controls.