1,720,961 research outputs found
Limit theorems for prices of options written on semi-Markov processes
Full text linkWe consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in which intertrade times follow the Mittag-Leffler distribution, under appropriate scaling, we prove that these option prices converge to the price of an option written on geometric Brownian motion time-changed with the inverse stable subordinator. For geometric Brownian motion time changed with an inverse subordinator, in the more general case when the subordinator’s Laplace exponent is a special Bernstein function, we derive a time-fractional generalization of the equation of Black and Scholes
On semi-Markov processes and their Kolmogorov's integro-differential equations
No full textSemi-Markov processes are a generalization of Markov processes since the exponential distribution of time intervals is replaced with an arbitrary distribution. This paper provides an integro-differential form of the Kolmogorov's backward equations for a large class of homogeneous semi-Markov processes, having the form of an abstract Volterra integro-differential equation. An equivalent evolutionary (differential) form of the equations is also provided. Fractional equations in the time variable are a particular case of our analysis. Weak limits of semi-Markov processes are also considered and their corresponding integro-differential Kolmogorov's equations are identified
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Stochastic model for subsurface water flow in Swiss catchments
No full textUnderstanding water movement in catchments subsurface is crucial for numerous applications such as pollutant contamination, nutrient loss, water resource management and ecosystem functioning. Among the variables of particular interest, the transit times of water particles and their statistical distribution are a desirable output. Nevertheless, past approaches assume explicitly the form of the transit time distribution (TTD) to provide information on water age in catchments. In this study we adopt a different approach by making assumptions on the movement of water particles in the subsurface instead of assumptions on the transit time distribution. Hence we propose a model based on a random velocity process with rests, where a water particle alternatively moves with a constant velocity or it is trapped (with zero velocity) until it reaches the outlet of the catchment. We assume that the moving times are i.i.d. (independent and identically distributed) random variables with exponential distribution, while waiting times, i.e., times in which the water particle is trapped in subsurface cavities, are assumed to be i.i.d. random variables with Mittag-Leffler distribution of order α, which is heavy tailed. At the catchment outlet, which is assumed here to be at a distance from the inlet equal to the catchment median flow path length L, the first passage time (or transit time) of the water particles is measured. We applied the model to 22 Swiss catchments simulating, for each catchment, the movement of millions of water particles thus obtaining the corresponding empirical TTD. We search for the threshold age (τ⋆) that closely approximates the portion of the empirical TTD younger than τ⋆, that is the young water fraction (Fyw). We use the complex modulus of the empirical characteristic function of the TTD: this quantity represents, in our model, the amplitude ratio of seasonal isotope cycles in stream water and precipitation. Our results reveal that τ⋆ is comprised between 46 and 76 days, exactly in the range 2-3 months previously identified. Additionally, given the amplitude ratio of isotopic concentrations, we estimate the only parameter of the model, that is the α parameter of the Mittag-Leffler distribution, for each Swiss catchment using suitable catchments properties. In conclusion, our study reveals that random velocity processes with rests are stochastic transport processes useful for modeling water movement in heterogeneous catchments, with a limited number of assumptions
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
- …
