Reflected diffusions and piecewise diffusion approximations of Levy processes

In the first part of the thesis, the solvability of stochastic differential equations with reflecting boundary conditions is studied. Such equations arise in singular stochastic control problems as a way for determining the optimal strategies. The stochastic differential equations represent homogeneous one-dimensional diffusions while the boundaries are given by c`adl`ag functions. Pathwise solutions are constructed under mild assumptions on the coefficients of the equations. In particular, the solutions are derived as the diffusions’ scale functions composed with appropriately time-changed reflected Brownian motions. Several probabilistic properties are addressed and analysed. In the second part of the thesis, piecewise diffusion approximations of Levy processes are studied. Such approximating processes have been called Itˆo semi-diffusions. While keeping the statistical fit to Levy processes, this class of processes has the analytical tractability of Ito diffusions. At a given time grid, their distribution is the same as the one of the underlying Levy processes. At times outside the grid, they evolve like homogeneous diffusions. The analysis identifies conditions under which Itˆo semi-diffusions can be used as an alternative to Levy processes for modelling financial asset prices. In particular, for a sequence of Itˆo semi-diffusions determined by a given Levy process, conditions for the convergence of their finite-dimensional distributions to the ones of the Levy process are established. Furthermore, for a single Ito semi-diffusion, conditions for the existence of pricing measures are established

Vibroseis encoding

The FM signals, called sweeps, used in the Vibroseis method of seismic exploration show a considerable amount of energy in the sidelobes after correlation detection. These sidelobes represent signal generated noise and if not kept low in amplitude they miggit mask subsequent reflections, thereby reducing the detection capability of the Vibroseis system. The purpose of this research has been to investigate new coded signal design techniques for the use with Vibroseis, in order to achieve sidelobe suppression. Some of the codes examined have already been known to radar and communication theory, whilst some codes are original developments of this research exercise. Binary and quaternary complementary series are found to be especially suitable for a Vibroseis encoding technique. A new and simple algorithm for the generation of quaternary series from known binary complementary sequences is given and the concept of correlation matrices is introduced to complementary series, permitting signal design in the detection window. The encoded Vibroseis input signals were tested on a computer and showed perfect sidelobe suppression a certain distance away from the main compressed pulse, when detected by a matched filter. Field tests with the coded signals were conducted, taking advantage of a computerized Vibroseis field system. The tests showed promising results. However, it became clear that the vibrator control devices will have to be adjusted to the transmission of such sophisti cated signals, in order to allow substantially better results than in the conventional Vibroseis system. A ‘Continuous Vibroseis Transmission System’ is suggested, transmitting energy during the normal listening period. Such a system has been developed witht h help of so-called ‘Mutually-Orthogonal-Complementay Sets of Sequences’ and although not yet practically tested its anticipated advantages and disadvantages are described. Finally, ‘Predistortion’ as a method of Vibroseis signal design is examined. Providing the correct predestortion parameters are chosen, the signal-to-correlation noise ratio an be increased. A spectrum whitening effect observed an addition of selected perdistorted sweeps can be of advantage in a quaternary comlementary coded Viboseis system, permitting an optimal wavelet design in the detection window

North-South Imbalances in the International Trade Regime: Why the WTO Does Not Benefit Developing Countries as Much as it Could

Participation in international trade offers an enormous opportunity for low-income countries to contribute to their economic and social development. However, this development potential is undermined by some of the rules and regulations of the international trade regime. The World Trade Organization (WTO) is the most visible and influential pillar of this regime. It was established in 1995 as the institutionalized successor of the General Agreement on Tariffs and Trade (GATT) after the “Uruguay Round” of multilateral trade negotiations, often referred to as the “Great Bargain.” The developing-country perspective on the “Great Bargain” was that they gained access to developed countries‟ markets in exchange for agreeing to include services and miscellaneous “trade-related aspects” in the WTO‟s agenda. This great bargain, however, did little to remove existing North-South imbalances in the world trading system and even introduced some new ones. Many of these imbalances reflect the reality of asymmetrical power relations in the global, political, and economic arena, which, in turn, lead to global economic governance outcomes that, in some cases, are to the detriment of developing countries. This paper intends to highlight and analyze the asymmetries that characterize the current international trade regime as reflected in WTO agreements. It first argues that one of the key objectives of international trade negotiations (under the auspices of both GATT and WTO), namely to create access to other countries‟ markets, has so far been realized in a rather imbalanced fashion. The second section then explores how different WTO agreements contribute to reducing the “policy space” of developing countries, thereby limiting their ability to pursue national policies that would foster their economic development. The third section, spotlights on assymetries in the governance structure of the WTO to try to explain why international trade negotiations have preserved such imbalanced outcomes. The paper concludes with some final remarks

On the Continuity of the Root Barrier

We show that the barrier function in Root's solution to the Skorokhod embedding problem is continuous and finite at every point where the target measure has no atom and its absolutely continuous part is locally bounded away from zero.Comment: To appear in the Proceedings of the AMS. Keywords: Skorokhod embedding problem; Root's solution; barrier function; continuit

Modeling the growth of fingerprints improves matching for adolescents

We study the effect of growth on the fingerprints of adolescents, based on which we suggest a simple method to adjust for growth when trying to recover a juvenile's fingerprint in a database years later. Based on longitudinal data sets in juveniles' criminal records, we show that growth essentially leads to an isotropic rescaling, so that we can use the strong correlation between growth in stature and limbs to model the growth of fingerprints proportional to stature growth as documented in growth charts. The proposed rescaling leads to a 72% reduction of the distances between corresponding minutiae for the data set analyzed. These findings were corroborated by several verification tests. In an identification test on a database containing 3.25 million right index fingers at the Federal Criminal Police Office of Germany, the identification error rate of 20.8% was reduced to 2.1% by rescaling. The presented method is of striking simplicity and can easily be integrated into existing automated fingerprint identification systems

Identification of the SlmA Active Site Responsible for Blocking Bacterial Cytokinetic Ring Assembly over the Chromosome

Bacterial cells use chromosome-associated division inhibitors to help coordinate the processes of DNA replication and segregation with cytokinesis. SlmA from Escherichia coli, a member of the tetracycline repressor (TetR)–like protein family, is one example of this class of regulator. It blocks the assembly of the bacterial cytokinetic ring by interfering with the polymerization of the tubulin-like FtsZ protein in a manner that is dramatically stimulated upon specific DNA binding. Here we used a combination of molecular genetics and biochemistry to identify the active site of SlmA responsible for disrupting FtsZ polymerization. Interestingly, this site maps to a region of SlmA that in the published DNA–free structure is partially occluded by the DNA-binding domains. In this conformation, the SlmA structure resembles the drug/inducer-bound conformers of other TetR–like proteins, which in the absence of inducer require an inward rotation of their DNA-binding domains to bind successive major grooves on operator DNA. Our results are therefore consistent with a model in which DNA-binding activates SlmA by promoting a rotational movement of the DNA-binding domains that fully exposes the FtsZ-binding sites. SlmA may thus represent a special subclass of TetR–like proteins that have adapted conformational changes normally associated with inducer sensing in order to modulate an interaction with a partner protein. In this case, the adaptation ensures that SlmA only blocks cytokinesis in regions of the cell occupied by the origin-proximal portion of the chromosome where SlmA-binding sites are enriched

High functional diversity is related to high nitrogen availability in a deciduous forest - evidence from a functional trait approach

The current study tested the assumption that floristic and functional diversity patterns are negatively related to soil nitrogen content. We analyzed 20 plots with soil N-contents ranging from 0.63% to 1.06% in a deciduous forest near Munich (Germany). To describe species adaptation strategies to different nitrogen availabilities, we used a plant functional type (PFT) approach. Each identified PFT represents one realized adaptation strategy to the current environment. These were correlated, next to plant species richness and evenness, to soil nitrogen contents. We found that N-efficient species were typical for low soil nitrogen contents, while N-requiring species occur at high N-contents. In contrast to our initial hypotheses, floristic and functional diversity measures (number of PFTs) were positively related to nitrogen content in the soil. Every functional group has its own adaptation to the prevailing environmental conditions; in consequence, these functional groups can co-exist but do not out-compete one another. The increased number of functional groups at high N-contents leads to increased species richness. Hence, for explaining diversity patterns we need to consider species groups representing different adaptations to the current environmental conditions. Such co-existing ecological strategies may even overcome the importance of competition in their effect on biodiversity

A test of speculative arbitrage : is the cross-section of volatility invariant?

We derive testable implications of Kyle and Obizhaeva’s (2016) notion of “bet invariance” for the cross-section of trade-time volatilities. We jointly develop theoretical foundations of “no speculative arbitrage” whose implications incorporate those of bet invariance. Our proposed test circumvents the unobservable nature of “bets.” Utilizing a large sample of U.S. stocks post decimilization, we show that using realized volatilities rather than expected volatilities introduces noise that substantially biases the tests. This leads us to use estimates of normalized volatilities based on running 24 month windows. We find strong support for no speculative arbitrage at a moment in time, but not across time