This paper extends the real interest differential (RID) model of Frankel (1979) by introducing Markov regime switches for three exchange rates over the years 1973 2000. Evidence of a non-linear relationship between exchange rates and underlying fundamentals is provided. One of the regimes represents exactly the RID case. Decisive fundamentals in determining regimes turn out to be mainly interes...

We present an analysis of delay encountered in successfully accessing the Random Access Channel (RACH) of Universal Mobile Telecommunication System (UMTS) Radio Interface by User Equipments (UE) that want to initiate data transfer. The process of random channel access is described and the MS state modeled as a DTMC in order to derive the delay. We evaluate the variation of the channel access de...

We aim at studying approximate null-controllability properties of a particular class of piecewise linear Markov processes (Markovian switch systems). The criteria are given in terms of algebraic invariance and are easily computable. We propose several necessary conditions and a sufficient one. The hierarchy between these conditions is studied via suitable counterexamples. Equivalence criteria a...

We will present two new and simple theorems that show that when we compose permutation generators with independent keys, then the “quality” of CCA security increases. These theorems (Theorems 2 and 5 of this paper) are written in terms of H-coefficients (which are nothing else, up to some normalization factors, than transition probabilities). Then we will use these theorems on the classical ana...

We use the generalized entropy four-current of the Müller-Israel-Stewart (MIS) theories of relativistic dissipative fluids to obtain information about fluctuations around equilibrium states. This allows one to compute the non-classical coefficients of the entropy 4-flux in terms of the equilibrium distribution functions. The Green-Kubo formulae are used to compute the standard transport coeffic...

The theory of monotonicity and duality is developed for general one-dimensional Feller processes, extending the approach from [11]. Moreover it is shown that local monotonicity conditions (conditions on the Lévy kernel) are sufficient to prove the well-posedness of the corresponding Markov semigroup and process, including unbounded coefficients and processes on the half-line.

Here we derive and solve the Kolmogorov backward equations of the two-type branching process necessary for evaluating the generating functions whose coefficients yield transition probabilities. See [Bailey, 1990] for an exposition on this solution technique. Our two-type branching process is represent by a vector (X1(t), X2(t)) that denotes the numbers of particles of two types at time t. Recal...

We analyze the effect of model instability on long-term investors using a time-varying VAR(1) model that we estimate using Bayesian Markov Chain Monte Carlo techniques for state-space specifications. Our model is able to handle time-varying intercepts, time-varying slopes, time-varying volatility, time-varying correlation, the leverage effect and fat tails. We calculate the optimal portfolios o...

We consider a one-dimensional jumping Markov process {Xx t }t≥0, solving a Poisson-driven stochastic differential equation. We prove that the law of Xx t admits a smooth density for t > 0, under some regularity and non-degeneracy assumptions on the coefficients of the S.D.E. To our knowledge, our result is the first one including the important case of a non-constant rate of jump. The main diffi...