Diffusion processes have been used to model a variety of continuous-time phenomena in Finance, Engineering, and the Natural Sciences. However, parametric inference has long been complicated by an intractable likelihood function, the solution of a partial differential equation. For many multivariate models, the most effective inference approach involves a large amount of missing data for which the typical Gibbs sampler can be arbitrarily slow. On the other hand, a recent method of joint parameter and missing data proposals can lead to a radical improvement, but their acceptance rate scales exponentially with the number of observations. We consider here a method of dividing the inference process into separate data batches, each small enough to benefit from joint proposals. A conditional independence argument allows batch-wise missing data to be sequentially integrated out. Although in practice the integration is only approximate, the Batch posterior and the exact parameter posterior can often have similar performance under a Frequency evaluation, for which the true parameter value is fixed. We present an example using Heston’s stochastic volatility model for financial assets, but much of the methodology extends to Hidden Markov and other State-Space models. / Statistics

In this thesis, a new method based on characteristic functions is proposed to estimate the jump component in a finite-activity Levy process, which includes the jump frequency and the jump size distribution. Properties of the estimators are investigated, which show that this method does not require high frequency data. The implementation of the method is discussed, and examples are provided. We also perform a comparison which shows that our method has advantages over an existing threshold method. Finally, two applications are included: one is the classification of the increments of the model, and the other is the testing for a change of jump frequency.

Las redes sociales virtuales como Facebook y Twitter están muy difundidas en nuestras vidas cotidianas y generan un montón de datos de intercambios. Planteamos un modelo estocástico para Twitter que nos permite estudiar la dinámica de la red y el comportamiento de los usuarios sobre su saturación. Para estudiar este modelo estocástico se utiliza la herramienta estadística de cópulas que analiza la dependencia de variables aleatorias. Este trabajo de tesis proponemos una generalización del estimador por núcleos de cópulas para serie de tiempos presentado por Fermanian y Scaillet en 2002. Dicha generalización se extiende a procesos estocásticos de difusión. A partir de éste estimador, se puede analizar la probabilidad de saturación de un usuario de Twitter y otras medidas vinculadas con esta saturación. / Virtual social networks like Facebook and Twitter are very spread in daily life. Using it generates an incredible amount of exchange information. In this work we propose an stochastic model for Twitter that allows the study of network dynamics and users behavior specially concern with saturation. To study this model we use a statistical tool named as copulas that analices dependence between random variables. In this thesis we propose a generalization of the non-parametric copula estimator presented by Fermanian and Scaillet in 2002. This generalization reaches continuos process as diffusion. From this estimator we can analize profile saturation probability and other measures related with saturation.

In this thesis, we suggest using nano-relays in a network using molecular com- munication in free space to improve the performance of the system in terms of delay. An approximation method for jump diffusion processes, which is based on Markov chains, is used to model molecular propagation in such scenarios. The model is validated through comparing analytic results with simulation results. The results illustrate the advantage of using nano-relays over diffusion in terms of delay. The proposed model is then used to inves- tigate the effect of different parameters, such as filaments’ length and the number of filaments attached to each nano-relay, on the delay performance of the communication technique. We used transient solution of the model in the first set of results. How- ever, stationary solution of the model can generate useful results, too. In the second set of results, the model is extended for an unbounded scenario. Con- sidering the propagation as a one-sided skip free process and using matrix analytic methods, we find the final distribution for the position of informa- tion molecules. It will be shown that it is possible to keep molecules in a desired region. The effect of different parameters on the final distribution for the position of information molecules is investigated, too. This analysis can be useful in drug delivery applications. / February 2016

>Magister Scientiae - MSc / We discuss efficient Monte Carlo methods for pricing of electricity derivatives. Electricity derivatives are risk management tools used in deregulated electricity markets. In the past,research in electricity derivatives has been dedicated in the modelling of the behaviour of electricity spot prices. Some researchers have used the geometric Brownian motion and the Black Scholes formula to offer a closed-form solution. Electricity spot prices however have unique characteristics such as mean-reverting, non-storability and spikes that render the use of geometric Brownian motion inadequate. Geometric Brownian motion assumes that changes of the underlying asset are continuous and electricity spikes are far from being continuous. Recently there is a greater consensus on the use of Mean-Reverting Jump-Diffusion (MRJD) process to describe the evolution of electricity spot prices. In this thesis,we use Mean-Reverting Jump-Diffusion process to model the evolution of electricity spot prices. Since there is no closed-form technique to price these derivatives when the underlying electricity spot price is assumed to follow MRJD, we use Monte Carlo methods to value electricity forward contracts. We present variance reduction techniques that improve the accuracy of the Monte Carlo Method for pricing electricity derivatives.

Doctor of Philosophy / Department of Biological & Agricultural Engineering / Donghai Wang / Sweet sorghum accumulates high concentrations of fermentable sugars in the stem, produces significant amount of starch in the grain (panicle) and has shown to be a promising energy feedstock. Sweet sorghum has a short growing season so adding it to the sugar cane system would be good. The overall goal of this dissertation is to enhance the attractiveness of biofuel production from sweet sorghum to fully utilize fermentable sugars in the juice, starch in the panicle and structural carbohydrates in the stalk for high efficiency and low-cost ethanol production. Sweet sorghum juice was incorporated into the dry-grind process which increased ethanol yield by 28% increase of ethanol yield compared to the conventional ethanol method and decreased enzymatic hydrolysis time by 30 minutes. A very high gravity fermentation technique was applied using sweet sorghum juice and sorghum grain yielded 20.25% (v/v) of ethanol and 96% fermentation efficiency. Response surface methodology was applied in order to optimize diffusion conditions and to explore effects of diffusion time, diffusion temperature, and ratio of sweet sorghum biomass to grain on starch-to-sugar efficiency and total sugar recovery from sweet sorghum. Starch hydrolysis efficiency and sugar recovery efficiency of 96 and 98.5% were achieved, respectively, at an optimized diffusion condition of 115 minutes, 95 °C, and 22% grain loading. Extraction kinetics based on the optimized diffusion parameters were developed to describe the mass transfer of sugars in sweet sorghum biomass during the diffusion process. Ethanol obtained from fermented extracted sugars treated with granular starch hydrolyzing enzyme and those with traditional enzymes were comparable (14.5 – 14.6% v/v). Ethanol efficiencies also ranged from 88.92 –92.02%.

The signature of the path provides a top down description of a path in terms of its eects as a control. It is a group-like element in the tensor algebra and is an essential object in rough path theory. When the path is random, the linear independence of the signatures of different paths leads one to expect, and it has been proved in simple cases, that the expected signature would capture the complete law of this random variable. It becomes of great interest to be able to compute examples of expected signatures. In this thesis, we aim to compute the expected signature of various stochastic process solved by a PDE approach. We consider the case for an Ito diffusion process up to a fixed time, and the case for the Brownian motion up to the first exit time from a domain. We manage to derive the PDE of the expected signature for both cases, and find that this PDE system could be solved recursively. Some specific examples are included herein as well, e.g. Ornstein-Uhlenbeck (OU) processes, Brownian motion and Levy area coupled with Brownian motion.

Doctor of Philosophy / Department of Biological & Agricultural Engineering / Donghai Wang / Sweet sorghum accumulates high concentrations of fermentable sugars in the stem, produces significant amount of starch in the grain (panicle) and has shown to be a promising energy feedstock. Sweet sorghum has a short growing season so adding it to the sugar cane system would be good. The overall goal of this dissertation is to enhance the attractiveness of biofuel production from sweet sorghum to fully utilize fermentable sugars in the juice, starch in the panicle and structural carbohydrates in the stalk for high efficiency and low-cost ethanol production. Sweet sorghum juice was incorporated into the dry-grind process which achieved 28% increase of ethanol yield compared to the conventional ethanol method and decreased enzymatic hydrolysis time by 30 minutes. A very high gravity fermentation technique was applied using sweet sorghum juice and sorghum grain yielded 20.25% (v/v) of ethanol and 96% fermentation efficiency. Response surface methodology was applied in order to optimize diffusion conditions and to explore effects of diffusion time, diffusion temperature, and ratio of sweet sorghum biomass to grain on starch-to-sugar efficiency and total sugar recovery from sweet sorghum. Starch hydrolysis efficiency and sugar recovery efficiency of 96 and 98.5% were achieved, respectively, at an optimized diffusion condition of 115 minutes, 95 °C, and 22% grain loading. Extraction kinetics based on the optimized diffusion parameters were developed to describe the mass transfer of sugars in sweet sorghum biomass during the diffusion process. Ethanol obtained from fermented extracted sugars treated with granular starch hydrolyzing enzyme and those with traditional enzymes were comparable (14.5 – 14.6% v/v). Ethanol efficiencies also ranged from 88.92 –92.02%.

Submitted by Maria Cristina (library@lncc.br) on 2015-04-07T14:58:47Z No. of bitstreams: 1 thesis_Simone.pdf: 2489801 bytes, checksum: 45b3a3851811effbf5253248b65db6f0 (MD5) / Approved for entry into archive by Maria Cristina (library@lncc.br) on 2015-04-07T14:59:03Z (GMT) No. of bitstreams: 1 thesis_Simone.pdf: 2489801 bytes, checksum: 45b3a3851811effbf5253248b65db6f0 (MD5) / Made available in DSpace on 2015-04-07T14:59:14Z (GMT). No. of bitstreams: 1 thesis_Simone.pdf: 2489801 bytes, checksum: 45b3a3851811effbf5253248b65db6f0 (MD5) Previous issue date: 2012-03-28 / Biological invasion is a worldwide phenomenon, which can impact on native species, big social and economic losses beyond the reduction of global biodiversity. Recent research indicates that modeling of this problem must integrate natural and social sciences like economy. In this work is proposed a new model for the invasion process, where the invasive species retains temporarily a fraction of the total population in the conquered territory, to establish a self-sustaining population. In this case, the Fick_slaw (classical di_usion), does not represent this problem, since there is a new phenomenon involved in the process which can not be characterized simply by manipulating the diversivity parameters. Thus, it is evaluated that a new model explicitly includes processes for the temporary retention by including a term of fourth order. The problem considered here describes the dynamic population of forward propagating waves that represent the invasion of the exotic species, and is mathematically modeled by transport equations solved numerically using finite element method and the case where the economic efects of invasion were incorporated is solved using control techniques. / Invasão biológica é um fenômeno mundial, que pode causar impactos nas espécies nativas, grandes perdas econômicas e sociais além da diminuição da biodiversidade global. Recentes pesquisas indicam que a modelagem deste tipo de problema deve integrar ciências naturais e sociais como a economia. Neste trabalho, é proposto um novo modelo do processo de invasão, considerando que a espécie invasora mantém temporariamente uma fração da população total no território conquistado, além de estabelecer uma população autossustentável. Neste caso, a distribuição espacial desta espécie não pode ser representada apenas pela lei de Fick (difusão clássica), uma vez que há um fenômeno novo envolvido no processo que não pode ser caracterizado simplesmente manipulando os parâmetros de difusividade. Assim, avalia-se um novo modelo que inclui explicitamente os processos de retenção temporária através da inclusão de um termo de quarta ordem. O problema populacional dinâmico considerado descreve a propagação de frente de ondas que representam a invasão da espécie invasora, e um modelado matematicamente por equações de transporte resolvida numericamente utilizando métodos de elementos finitos e para o caso em que os efeitos econômicos da invasão foram considerados incorpora-se ainda técnicas de controle.

<p>Syftet med detta examensarbete är att studera kommunikationskanaler för att kunna värva fler medlemmar till en nystartad förening.</p><p>Frågeställning - Hur kan Västerås Capoeira värva fler medlemmar, med fokus på en äldre målgrupp?</p><p>Avgränsning - Studiet är att studera kommunikationskanaler och att avgränsa sig genom att fokusera på Rogers fyra huvudsakliga element för spridningsprocess av innovation.</p><p>Metod - Den huvudsakliga uppgiften har utförts genom intervjuer och observationer på plats hos Västerås Capoeira.</p><p>Teoretisk ram - Består av kommunikationskanaler som behandlar Rogers fyra element, vilka är innovation, kommunikationskanaler, tid och socialt system. Studien ska ge förståelse för den teoretiska grunden där Västerås Capoeira har en positiv och fungerande kulturarena.</p><p>Empiri - Empiriska studien bygger på intervjuer och observationer på Västerås Capoeira lokaler i samlingslokalen Växhuset.</p><p>Slutsats - Västerås Capoeira är en ny förening som har sin verksamhet inom Växhuset. Eftersom Capoeira är en sport som har en bred målgrupp vill vi kunna hjälpa föreningen med att hitta medlemmar i alla åldrar, från båda könen och från olika kulturer. Föreningen kommer att få lärdomar om olika spridningsprocesser så att de kan marknadsföra sig med hjälp av andra kommunikationssätt.</p><p>Nyckelord - Verksamhetskultur, kommunikationskanal, kommunikation, spridningsprocess, marknadsföring.</p>