Orientadores: Nancy Lopes Garcia, Alexsandro Giacomo Grimbert Gallo / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-24T12:54:22Z (GMT). No. of bitstreams: 1 Carvalho_WalterAugustoFonsecade_D.pdf: 1034671 bytes, checksum: 25dd72305f343655bedfde62a785a259 (MD5) Previous issue date: 2014 / Resumo: Esta tese é dedicada ao estudo dos processos de renovação binários obtidos como agregação de estados a partir de processos Markovianos com alfabeto finito. Na primeira parte, utilizamos uma abordagem matricial para obter condições sob as quais o processo agregado pertence a cada uma das seguintes classes: (1) Markoviano de ordem finita, (2) processo de ordem infinita com probabilidades de transição contínuas, (3) processo Gibbsiano. A segunda parte trata da distância d entre processos de renovação binários. Obtivemos condições sob as quais esta distância pode ser atingida entre tais processos / Abstract: This thesis is devoted to the study of binary renewal processes obtained as aggregation of states from Markov processes with finite alphabet. In the rst part, we use a matrix approach to obtain conditions under which the aggregated process belongs to each of the following classes: (1) Markov of finite order, (2) process of infinite order with continuous transition probabilities, (3) Gibbsian process. The second part deals with the distance d between binary renewal processes. We obtain conditions under which this distance can be achieved between these processes / Doutorado / Estatistica / Doutor em Estatística

Wir untersuchen das Verhalten von stochastischen bistabilen und erregbaren Systemen auf der Basis einer Modellierung mit diskreten Zuständen. In Ergänzung zum bekannten Markovschen Zwei-Zustandsmodell bistabiler stochastischer Dynamik stellen wir ein nicht Markovsches Drei-Zustandsmodell für erregbare Systeme vor. Seine relative Einfachheit, verglichen mit stochastischen Modellen erregbarer Dynamik mit kontinuierlichem Phasenraum, ermöglicht eine teilweise analytische Auswertung in verschiedenen Zusammenhängen. Zunächst untersuchen wir den gemeinsamen Einfluß eines periodischen Treibens und Rauschens. Dieser wird entweder mit Hilfe spektraler Größen oder durch Synchronisation des Systems mit dem treibenden Signal charakterisiert. Wir leiten analytische Ausdrücke für die spektrale Leistungsverstärkung und das Signal-zu-Rauschen Verhältnis für periodisch getriebene Renewal-Prozesse her und wenden diese auf das diskrete Modell für erregbare Dynamik an. Stochastische Synchronization des Systems mit dem treibenden Signal wird auf der Basis der Diffusionseigenschaften der Übergangsereignisse zwischen den diskreten Zuständen untersucht. Wir leiten allgemeine Formeln her, um die mittlere Häufigkeit dieser Ereignisse sowie deren effektiven Diffusionskoeffizienten zu berechnen. Über die konkrete Anwendung auf die untersuchten diskreten Modelle hinaus stellen diese Ergebnisse ein neues Werkzeug für die Untersuchung periodischer Renewal-Prozesse dar. Schließlich betrachten wir noch das Verhalten global gekoppelter bistabiler und erregbarer Systeme. Im Gegensatz zu bistabilen System können erregbare Systeme synchronisiert werden und zeigen kohärente Oszillationen. Alle Untersuchungen des nicht Markovschen Drei-Zustandsmodells werden mit dem prototypischen Modell für erregbare Dynamik, dem FitzHugh-Nagumo System, verglichen und zeigen eine gute Übereinstimmung. / We investigate the behavior of stochastic bistable and excitable dynamics based on a discrete state modeling. In addition to the well known Markovian two state model for bistable dynamics we introduce a non Markovian three state model for excitable systems. Its relative simplicity compared to stochastic models of excitable dynamics with continuous phase space allows to obtain analytical results in different contexts. First, we study the joint influence of periodic signals and noise, both based on a characterization in terms of spectral quantities and in terms of synchronization with the periodic driving. We present expressions for the spectral power amplification and signal to noise ratio for renewal processes driven by periodic signals and apply these results to the discrete model for excitable systems. Stochastic synchronization of the system to the driving signal is investigated based on diffusion properties of the transition events between the discrete states. We derive general results for the mean frequency and effective diffusion coefficient which, beyond the application to the discrete models considered in this work, provide a new tool in the study of periodically driven renewal processes. Finally the behavior of globally coupled excitable and bistable units is investigated based on the discrete state description. In contrast to the bistable systems, the excitable system exhibits synchronization and thus coherent oscillations. All investigations of the non Markovian three state model are compared with the prototypical continuous model for excitable dynamics, the FitzHugh-Nagumo system, revealing a good agreement between both models.

Baigiamajame magistro darbe gautos dvejetainių atstatymo procesų sumų konvergavimo į Puasono procesą sąlygos. Remiamasi Grigelionio teorema, nusakančia nepriklausomų taškinių procesų sumų konvergavimo sąlygas. Analizuojami atvejai, kai sumuojamų dvejetainių atstatymo procesų veikimo ir atstatymo periodai yra nepriklausomi ir pasiskirstę pagal tolygųjį, eksponentinį, geometrinį ir Erlango dėsnius. Taip pat nagrinėjamas atvejis, kai veikimo ir atstatymo laikotarpiai turi skirtingus skirstinius. Kiekvienu atveju gautos ir įrodytos būtinos ir pakankamos sąlygos. Remiantis teoriniais rezultatais, procesai yra modeliuojami ir lyginami. Darbo pabaigoje yra suformuluojamos išvados. / In this master thesis conditions for convergence of sums of alternating renewal processes to Poisson process is obtained. Thesis is based on Grigelionis theorem, which defines conditions for convergence of sums of independent counting processes. More specific cases, when alternating renewal processes life and recovery periods are independent and have uniform, exponential, geometric and Erlang distributions, are examined too. Also, case when life and recovery periods have different distributions is examined. Necessary and sufficient conditions are formulated and proven for each case. Processes are modeled and compared according to theoretical results. In the end of thesis conclusions are made.

Le modèle de Poland-Scheraga (PS) est le modèle standard pour étudier la transition de dénaturation de deux brins d’ADN complémentaires et de même longueur. Ce modèle a fait l’objet d’une attention remarquable car il est exactement résoluble dans sa version homogène. Le caractère résoluble est lié au fait que le modèle PS homogène peut être mis en correspondance avec un processus de renouvellement discret. Dans la littérature biophysique une généralisation du modèle, obtenue en considérant des brins non complé- mentaires et de longueurs différentes, a été considérée et le caractère résoluble s’étend à cette généralisation substantielle. Dans cette thèse, nous présentons une analyse mathématique du modèle de Poland- Scheraga généralisé. Nous considérons d’abord le modèle homogène et nous exploitons que les deux brins de la chaîne peuvent être modélisés par un processus de renouvellement en deux dimensions. La distribution K(⋅) de l’emplacement (bidimensionnel) du premier contact entre les deux brins est supposée de la forme K(n+m) = (n+m)−α−2L(n+m) avec α ≥ 0 et L(⋅) à variation lente et correspond à une boucle avec n bases dans le premier brin et m dans le deuxième. Nous étudions la transition de localisation-délocalisation et nous montrons l’existence des transitions à l’intérieur de la phase localisée. Nous présentons ensuite des estimations précises sur les propriétés de chemin du modèle. Ensuite, nous étudions la version désordonnée du modèle en incluant une séquence de variables aléatoires indépendantes identiquement distribuées à deux indices. Nous nous concentrons sur l’influence du désordre sur la transition de dénaturation: nous voulons déterminer si la présence des inhomogénéités modifie les propriétés critiques du système par rapport au cas homogène. Nous prouvons que le désordre est non pertinent si α < 1 et nous montrons que pour α > 1, les points critiques gelés et recuits diffèrent (basant sur les techniques de coarse graining et la méthode des moments fractionnaires), ce qui prouve la présence d’un régime de désordre pertinent. / The Poland-Scheraga (PS) model is the standard basic model to study the denaturation transition of two complementary and equally long strands of DNA. This model has enjoyed a remarkable attention because it is exactly solvable in its homogeneous version. The solvable character is related to the fact that the homogeneous PS model can be mapped to a discrete renewal process. In the bio-physical literature a generalization of the model, allowing different length and non complementarity of the strands, has been considered and the solvable character extends to this substantial generalization. In this thesis we present a generalized version of the PS model that allows mismatches and non complementary strands (in particular, the two strands may be of different lengths). We consider first the homogeneous model and we exploit that this model can be mapped to a bivariate renewal process. The distribution K(⋅) of the location (in two dimensions) of the first contact between the two strands is assumed to be of the form K(n + m) = (n + m)−α−2L(n + m) with α ≥ 0 and L(⋅) slowly varying and corresponds to a loop with n bases in the first strand and m in the second. We study the localization-delocalization transition and we prove the existence of transitions inside the localized regime. We then present precise estimates on the path properties of the model. We then study the disordered version of the model by including a sequence of inde- pendent and identically distributed random variables with two indices. We focus on the influence of disorder on the denaturation transition: we want to determine whether the presence of randomness modifies the critical properties of the system with respect to the homogeneous case. We prove that the disorder is irrelevant if α < 1. We show also that for α > 1, the quenched and annealed critical points differ (basing on coarse graining techniques and fractional moment method), proving the presence of a relevant disorder regime.

<p>This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. As a macroscopic feature, long-range dependence can be mathematically studied using certain scaling limit theorems. </p><p>Using such limit results, two different scaling regimes for Internet traffic models have been identified earlier. In one of these regimes traffic at large scales can be approximated by long-range dependent Gaussian or stable processes, while in the other regime the rescaled traffic fluctuates according to stable ``memoryless'' processes with independent increments. In Paper I a similar limit result is proved for a third scaling scheme, emerging as an intermediate case of the other two. The limit process here turns out to be a non-Gaussian and non-stable process with long-range dependence.</p><p>In Paper II we derive a representation for the latter limit process as a stochastic integral of a deterministic function with respect to a certain compensated Poisson random measure. This representation enables us to study some further properties of the process. In particular, we prove that the process at small scales behaves like a Gaussian process with long-range dependence, while at large scales it is close to a stable process with independent increments. Hence, the process can be regarded as a link between these two processes of completely different nature.</p><p>In Paper III we construct a class of processes locally behaving as Gaussian and globally as stable processes and including the limit process obtained in Paper I. These processes can be chosen to be long-range dependent and are potentially suitable as models in applications with distinct local and global behaviour. They are defined using stochastic integrals with respect to the same compensated Poisson random measure as used in Paper II.</p>

This thesis, consisting of three papers and a summary, studies topics in the theory of stochastic processes related to long-range dependence. Much recent interest in such probabilistic models has its origin in measurements of Internet traffic data, where typical characteristics of long memory have been observed. As a macroscopic feature, long-range dependence can be mathematically studied using certain scaling limit theorems. Using such limit results, two different scaling regimes for Internet traffic models have been identified earlier. In one of these regimes traffic at large scales can be approximated by long-range dependent Gaussian or stable processes, while in the other regime the rescaled traffic fluctuates according to stable ``memoryless'' processes with independent increments. In Paper I a similar limit result is proved for a third scaling scheme, emerging as an intermediate case of the other two. The limit process here turns out to be a non-Gaussian and non-stable process with long-range dependence. In Paper II we derive a representation for the latter limit process as a stochastic integral of a deterministic function with respect to a certain compensated Poisson random measure. This representation enables us to study some further properties of the process. In particular, we prove that the process at small scales behaves like a Gaussian process with long-range dependence, while at large scales it is close to a stable process with independent increments. Hence, the process can be regarded as a link between these two processes of completely different nature. In Paper III we construct a class of processes locally behaving as Gaussian and globally as stable processes and including the limit process obtained in Paper I. These processes can be chosen to be long-range dependent and are potentially suitable as models in applications with distinct local and global behaviour. They are defined using stochastic integrals with respect to the same compensated Poisson random measure as used in Paper II.

Nous y introduisons une nouvelle classe de distributions bivariées de type Marshall-Olkin, la distribution Erlang bivariée. La transformée de Laplace, les moments et les densités conditionnelles y sont obtenus. Les applications potentielles en assurance-vie et en finance sont prises en considération. Les estimateurs du maximum de vraisemblance des paramètres sont calculés par l'algorithme Espérance-Maximisation. Ensuite, notre projet de recherche est consacré à l'étude des processus de risque multivariés, qui peuvent être utiles dans l'étude des problèmes de la ruine des compagnies d'assurance avec des classes dépendantes. Nous appliquons les résultats de la théorie des processus de Markov déterministes par morceaux afin d'obtenir les martingales exponentielles, nécessaires pour établir des bornes supérieures calculables pour la probabilité de ruine, dont les expressions sont intraitables. / In this contribution, we introduce a new class of bivariate distributions of Marshall-Olkin type, called bivariate Erlang distributions. The Laplace transform, product moments and conditional densities are derived. Potential applications of bivariate Erlang distributions in life insurance and finance are considered. Further, our research project is devoted to the study of multivariate risk processes, which may be useful in analyzing ruin problems for insurance companies with a portfolio of dependent classes of business. We apply results from the theory of piecewise deterministic Markov processes in order to derive exponential martingales needed to establish computable upper bounds of the ruin probabilities, as their exact expressions are intractable.

Nous y introduisons une nouvelle classe de distributions bivariées de type Marshall-Olkin, la distribution Erlang bivariée. La transformée de Laplace, les moments et les densités conditionnelles y sont obtenus. Les applications potentielles en assurance-vie et en finance sont prises en considération. Les estimateurs du maximum de vraisemblance des paramètres sont calculés par l'algorithme Espérance-Maximisation. Ensuite, notre projet de recherche est consacré à l'étude des processus de risque multivariés, qui peuvent être utiles dans l'étude des problèmes de la ruine des compagnies d'assurance avec des classes dépendantes. Nous appliquons les résultats de la théorie des processus de Markov déterministes par morceaux afin d'obtenir les martingales exponentielles, nécessaires pour établir des bornes supérieures calculables pour la probabilité de ruine, dont les expressions sont intraitables. / In this contribution, we introduce a new class of bivariate distributions of Marshall-Olkin type, called bivariate Erlang distributions. The Laplace transform, product moments and conditional densities are derived. Potential applications of bivariate Erlang distributions in life insurance and finance are considered. Further, our research project is devoted to the study of multivariate risk processes, which may be useful in analyzing ruin problems for insurance companies with a portfolio of dependent classes of business. We apply results from the theory of piecewise deterministic Markov processes in order to derive exponential martingales needed to establish computable upper bounds of the ruin probabilities, as their exact expressions are intractable.