8 research outputs found

    Application of the nonlinear methods in pneumocardiogram signals

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    In this work, the pneumocardiogram signals of nine rats were analysed by scale index, Boltzmann Gibbs entropy and maximum Lyapunov exponents. The scale index method, based on wavelet transform, was proposed for determining the degree of aperiodicity and chaos. It means that the scale index parameter is close to zero when the signal is periodic and has a value between zero and one when the signal is aperiodic. A new entropy calculation method by normalized inner scalogram was suggested very recently. In this work, we also used this method for the first time in an empirical data. We compared the both methods with maximum Lyapunov exponents and observed that using together the scale index and the entropy calculation method by normalized inner scalogram increases the reliability of the pneumocardiogram signal analysis. Thus, the analysis of the pneumocardiogram signals by those methods enables to compare periodical and/or nonlinear aspects for further understanding of dynamics of cardiorespiratory system. © 2020, Springer Nature B.V

    Asset pricing with dynamic programming

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    The study of asset price characteristics of stochastic growth models such as the risk-free interest rate, equity premium, and the Sharpe-ratio has been limited by the lack of global and accurate methods to solve dynamic optimization models. In this paper, a stochastic version of a dynamic programming method with adaptive grid scheme is applied to compute the asset price characteristics of a stochastic growth model. The stochastic growth model is of the type as developed by [Brock and Mirman (1972), Journal of Economic Theory, 4, 479–513 and Brock (1979), Part I: The growth model (pp. 165–190). New York: Academic Press; The economies of information and uncertainty (pp. 165–192). Chicago: University of Chicago Press. (1982). It has become the baseline model in the stochastic dynamic general equilibrium literature. In a first step, in order to test our procedure, it is applied to this basic stochastic growth model for which the optimal consumption and asset prices can analytically be computed. Since, as shown, our method produces only negligible errors, as compared to the analytical solution, in a second step, we apply it to more elaborate stochastic growth models with adjustment costs and habit formation. In the latter model preferences are not time separable and past consumption acts as a constraint on current consumption. This model gives rise to an additional state variable. We here too apply our stochastic version of a dynamic programming method with adaptive grid scheme to compute the above mentioned asset price characteristics. We show that our method is very suitable to be used as solution technique for such models with more complicated decision structure. Copyright Springer Science+Business Media, LLC 2007Stochastic growth models, Asset pricing, Stochastic dynamic programming, Adaptive grid, C60, C61, C63, D90, G12,
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