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  • 101.
    Görgens, Maik
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Analys och sannolikhetsteori.
    Thulin, Måns
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Statistiska institutionen. Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Bias-correction of the maximum likelihood estimator for the α-Brownian bridge2014Inngår i: Statistics and Probability Letters, ISSN 0167-7152, E-ISSN 1879-2103, Vol. 93, s. 78-86Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The bias of the maximum likelihood estimator of the parameter α in the α-Brownian bridge is derived. A bias-correction which improves the estimator substantially is proposed. The corrected estimator and Bayesian estimators are compared in a simulation study.

  • 102.
    Hammarström, Harald
    et al.
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Språkvetenskapliga fakulteten, Institutionen för lingvistik och filologi.
    Rönchen, Philipp
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Språkvetenskapliga fakulteten, Institutionen för lingvistik och filologi.
    Elgh, Erik
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Språkvetenskapliga fakulteten, Institutionen för lingvistik och filologi.
    Wiklund, Tilo
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik. Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Språkvetenskapliga fakulteten, Institutionen för lingvistik och filologi.
    On computational historical linguistics in the 21st century2019Inngår i: Theoretical Linguistics, ISSN 0301-4428, E-ISSN 1613-4060, Vol. 45, nr 3-4, s. 233-245Artikkel i tidsskrift (Annet vitenskapelig)
  • 103.
    Hansler, Perry
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Optimization of live energy market trading with temporally flexible water pumps2017Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
  • 104.
    Hao, Rui
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Option Pricing Model with Investor Sentiment2017Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
  • 105.
    Haro, Alex
    et al.
    Univ Barcelona, Dept Matemat & Informat, Gran Via 585, E-08007 Barcelona, Spain.
    Luque, Alejandro
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    A-posteriori KAM theory with optimal estimates for partially integrable systems2019Inngår i: Journal of Differential Equations, ISSN 0022-0396, E-ISSN 1090-2732, Vol. 266, nr 2-3, s. 1605-1674Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In this paper we present a-posteriori KAM results for existence of d-dimensional isotropic invariant tori for n-DOF Hamiltonian systems with additional n - d independent first integrals in involution. We carry out a covariant formulation that does not require the use of action-angle variables nor symplectic reduction techniques. The main advantage is that we overcome the curse of dimensionality avoiding the practical shortcomings produced by the use of reduced coordinates, which may cause difficulties and underperformance when quantifying the hypotheses of the KAM theorem in such reduced coordinates. The results include ordinary and (generalized) iso-energetic KAM theorems. The approach is suitable to perform numerical computations and computer assisted proofs.

  • 106.
    Hedström, Pierre
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Screaming in to the void: Homophily in social networks2019Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 107.
    Helgesson, Petter
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik. Nucl Res & Consultancy Grp NRG, Petten, Netherlands.
    Sjöstrand, Henrik
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik.
    Arjan, J. Koning
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik. Nucl Res & Consultancy Grp NRG, Petten, Netherlands.
    Rydén, Jesper
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Rochman, Dimitri
    PSI, Villigen, Switzerland.
    Alhassan, Erwin
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik.
    Pomp, Stephan
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik.
    Combining Total Monte Carlo and Unified Monte Carlo: Bayesian nuclear data uncertainty quantification from auto-generated experimental covariances2017Inngår i: Progress in nuclear energy (New series), ISSN 0149-1970, E-ISSN 1878-4224, Vol. 96, s. 76-96Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The Total Monte Carlo methodology (TMC) for nuclear data (ND) uncertainty propagation has been subject to some critique because the nuclear reaction parameters are sampled from distributions which have not been rigorously determined from experimental data. In this study, it is thoroughly explained how TMC and Unified Monte Carlo-B (UMC-B) are combined to include experimental data in TMC. Random ND files are weighted with likelihood function values computed by comparing the ND files to experimental data, using experimental covariance matrices generated from information in the experimental database EXFOR and a set of simple rules. A proof that such weights give a consistent implementation of Bayes' theorem is provided. The impact of the weights is mainly studied for a set of integral systems/applications, e.g., a set of shielding fuel assemblies which shall prevent aging of the pressure vessels of the Swedish nuclear reactors Ringhals 3 and 4.

    In this implementation, the impact from the weighting is small for many of the applications. In some cases, this can be explained by the fact that the distributions used as priors are too narrow to be valid as such. Another possible explanation is that the integral systems are highly sensitive to resonance parameters, which effectively are not treated in this work. In other cases, only a very small number of files get significantly large weights, i.e., the region of interest is poorly resolved. This convergence issue can be due to the parameter distributions used as priors or model defects, for example.

    Further, some parameters used in the rules for the EXFOR interpretation have been varied. The observed impact from varying one parameter at a time is not very strong. This can partially be due to the general insensitivity to the weights seen for many applications, and there can be strong interaction effects. The automatic treatment of outliers has a quite large impact, however.

    To approach more justified ND uncertainties, the rules for the EXFOR interpretation shall be further discussed and developed, in particular the rules for rejecting outliers, and random ND files that are intended to describe prior distributions shall be generated. Further, model defects need to be treated.

  • 108.
    Helgesson, Petter
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik.
    Sjöstrand, Henrik
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik.
    J. Koning, Arjan
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik. IAEA.
    Rydén, Jesper
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Rochman, Dimitri
    Paul Scherrer Institute PSI, Villigen, Switzerland.
    Alhassan, Erwin
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik.
    Pomp, Stephan
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Fysiska sektionen, Institutionen för fysik och astronomi, Tillämpad kärnfysik.
    Sampling of systematic errors to estimate likelihood weights in nuclear data uncertainty propagation2016Inngår i: Nuclear Instruments and Methods in Physics Research Section A: Accelerators, Spectrometers, Detectors and Associated Equipment, ISSN 0168-9002, E-ISSN 1872-9576, Vol. 807, s. 137-149Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In methodologies for nuclear data (ND) uncertainty assessment and propagation based on random sampling, likelihood weights can be used to infer experimental information into the distributions for the ND. As the included number of correlated experimental points grows large, the computational time for the matrix inversion involved in obtaining the likelihood can become a practical problem. There are also other problems related to the conventional computation of the likelihood, e.g., the assumption that all experimental uncertainties are Gaussian. In this study, a way to estimate the likelihood which avoids matrix inversion is investigated; instead, the experimental correlations are included by sampling of systematic errors. It is shown that the model underlying the sampling methodology (using univariate normal distributions for random and systematic errors) implies a multivariate Gaussian for the experimental points (i.e., the conventional model). It is also shown that the likelihood estimates obtained through sampling of systematic errors approach the likelihood obtained with matrix inversion as the sample size for the systematic errors grows large. In studied practical cases, it is seen that the estimates for the likelihood weights converge impractically slowly with the sample size, compared to matrix inversion. The computational time is estimated to be greater than for matrix inversion in cases with more experimental points, too. Hence, the sampling of systematic errors has little potential to compete with matrix inversion in cases where the latter is applicable. Nevertheless, the underlying model and the likelihood estimates can be easier to intuitively interpret than the conventional model and the likelihood function involving the inverted covariance matrix. Therefore, this work can both have pedagogical value and be used to help motivating the conventional assumption of a multivariate Gaussian for experimental data. The sampling of systematic errors could also be used in cases where the experimental uncertainties are not Gaussian, and for other purposes than to compute the likelihood, e.g., to produce random experimental data sets for a more direct use in ND evaluation.

  • 109.
    Herbert-Read, James
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Collective Behaviour: Leadership and Learning in Flocks2015Inngår i: Current Biology, ISSN 0960-9822, E-ISSN 1879-0445, Vol. 25, nr 23, s. R1127-R1129Artikkel i tidsskrift (Annet vitenskapelig)
    Abstract [en]

    A new study has decoded which birds become leaders in homing pigeon flocks, finding an unexpected benefit of leadership: faster birds emerge as leaders, and these leaders learn more about their environment than their followers.

  • 110.
    Herbert-Read, James E.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik. Stockholm Univ, Dept Zool, SE-10691 Stockholm, Sweden.
    Understanding how animal groups achieve coordinated movement2016Inngår i: ACTA CRYSTALLOGRAPHICA SECTION F-STRUCTURAL BIOLOGY COMMUNICATIONS, ISSN 2053-230X, Vol. 72, s. 2971-2983Artikkel, forskningsoversikt (Fagfellevurdert)
    Abstract [en]

    Moving animal groups display remarkable feats of coordination. This coordination is largely achieved when individuals adjust their movement in response to their neighbours' movements and positions. Recent advancements in automated tracking technologies, including computer vision and GPS, now allow researchers to gather large amounts of data on the movements and positions of individuals in groups. Furthermore, analytical techniques from fields such as statistical physics now allow us to identify the precise interaction rules used by animals on the move. These interaction rules differ not only between species, but also between individuals in the same group. These differences have wide-ranging implications, affecting how groups make collective decisions and driving the evolution of collective motion. Here, I describe how trajectory data can be used to infer how animals interact in moving groups. I give examples of the similarities and differences in the spatial and directional organisations of animal groups between species, and discuss the rules that animals use to achieve this organisation. I then explore how groups of the same species can exhibit different structures, and ask whether this results from individuals adapting their interaction rules. I then examine how the interaction rules between individuals in the same groups can also differ, and discuss how this can affect ecological and evolutionary processes. Finally, I suggest areas of future research.

  • 111.
    Herbert-Read, James E.
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Buhl, Jerome
    Univ Sydney, Sch Biol Sci, Sydney, NSW 2006, Australia.;Univ Sydney, Charles Perkins Ctr, Sydney, NSW 2006, Australia.;Univ Adelaide, Sch Agr, Adelaide, SA 5005, Australia..
    Hu, Feng
    Chongqing Normal Univ, Coll Phys & Elect Engn, Chongqing 400047, Peoples R China..
    Ward, Ashley J. W.
    Univ Sydney, Sch Biol Sci, Sydney, NSW 2006, Australia..
    Sumpter, David J. T.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Initiation and spread of escape waves within animal groups2015Inngår i: ROYAL SOCIETY OPEN SCIENCE, ISSN 2054-5703, Vol. 2, nr 4, artikkel-id 140355Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The exceptional reactivity of animal collectives to predatory attacks is thought to be owing to rapid, but local, transfer of information between group members. These groups turn together in unison and produce escape waves. However, it is not clear how escape waves are created from local interactions, nor is it understood how these patterns are shaped by natural selection. By startling schools of fish with a simulated attack in an experimental arena, we demonstrate that changes in the direction and speed by a small percentage of individuals that detect the danger initiate an escape wave. This escape wave consists of a densely packed band of individuals that causes other school members to change direction. In the majority of cases, this wave passes through the entire group. We use a simulation model to demonstrate that this mechanism can, through local interactions alone, produce arbitrarily large escape waves. In the model, when we set the group density to that seen in real fish schools, we find that the risk to the members at the edge of the group is roughly equal to the risk of those within the group. Our experiments and modelling results provide a plausible explanation for how escape waves propagate in nature without centralized control.

  • 112.
    Herbert-Read, James E.
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik. Stockholm Univ, Dept Zool, S-10691 Stockholm, Sweden..
    Romanczuk, Pawel
    Leibniz Inst Freshwater Ecol & Inland Fisheries, Muggelseedamm 310, Berlin, Germany.;Humboldt Univ, Fac Life Sci, D-10115 Berlin, Germany.;Princeton Univ, Dept Ecol & Evolutionary Biol, Princeton, NJ 08544 USA..
    Krause, Stefan
    Lubeck Univ Appl Sci, Dept Elect Engn & Comp Sci, D-23562 Lubeck, Germany..
    Strömbom, Daniel
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik. Lafayette Coll, Dept Biol, Easton, PA 18042 USA..
    Couillaud, Pierre
    Univ Paris 06, Dept Licence Sci & Technol, F-75005 Paris, France..
    Domenici, Paolo
    CNR, IAMC, I-09170 Torregrande, Oristano, Italy..
    Kurvers, Ralf H. J. M.
    Leibniz Inst Freshwater Ecol & Inland Fisheries, Muggelseedamm 310, Berlin, Germany.;Max Planck Inst Human Dev, Ctr Adapt Rational, D-14195 Berlin, Germany..
    Marras, Stefano
    CNR, IAMC, I-09170 Torregrande, Oristano, Italy..
    Steffensen, John F.
    Univ Copenhagen, Marine Biol Sect, DK-3000 Helsingor, Denmark..
    Wilson, Alexander D. M.
    Univ Sydney, Sch Life & Environm Sci, Sydney, NSW, Australia.;Deakin Univ, Sch Life & Environm Sci, Waurn Ponds, Vic 3216, Australia..
    Krause, Jens
    Leibniz Inst Freshwater Ecol & Inland Fisheries, Muggelseedamm 310, Berlin, Germany.;Humboldt Univ, Fac Life Sci, D-10115 Berlin, Germany..
    Proto-cooperation: group hunting sailfish improve hunting success by alternating attacks on grouping prey2016Inngår i: Proceedings of the Royal Society of London. Biological Sciences, ISSN 0962-8452, E-ISSN 1471-2954, Vol. 283, nr 1842, artikkel-id 20161671Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    We present evidence of a novel form of group hunting. Individual sailfish (Istiophorus platypterus) alternate attacks with other group members on their schooling prey (Sardinella aurita). While only 24% of attacks result in prey capture, multiple prey are injured in 95% of attacks, resulting in an increase of injured fish in the school with the number of attacks. How quickly prey are captured is positively correlated with the level of injury of the school, suggesting that hunters can benefit from other conspecifics' attacks on the prey. To explore this, we built a mathematical model capturing the dynamics of the hunt. We show that group hunting provides major efficiency gains (prey caught per unit time) for individuals in groups of up to 70 members. We also demonstrate that a free riding strategy, where some individuals wait until the prey are sufficiently injured before attacking, is only beneficial if the cost of attacking is high, and only then when waiting times are short. Our findings provide evidence that cooperative benefits can be realized through the facilitative effects of individuals' hunting actions without spatial coordination of attacks. Such 'proto-cooperation' may be the pre-cursor to more complex group-hunting strategies.

  • 113.
    Herbert-Read, James E.
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen. Stockholm University, Department of Zoology.
    Rosén, Emil
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Szorkovszky, Alex
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Ioannou, Christos C.
    University of Bristol, School of Biological Science.
    Rogell, Björn
    Stockholm University, Department of Zoology.
    Perna, Andrea
    Roehampton University, Department of Life Sciences.
    Ramnarine, Indar W.
    The University of the West Indies, Department of Life Science.
    Kotrschal, Alexander
    Stockholm University, Department of Zoology.
    Kolm, Niclas
    Stockholm University, Department of Zoology.
    Krause, Jens
    Humboldt-University zu Berlin, Albrecht Daniel Thaer-Institut, Faculty of Life Science; Leibniz-Institute of Freshwater Ecology and Inland Fisheries, Department of Biology and Ecology of Fishes.
    Sumpter, David J. T.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    How predation shapes the social interaction rules of shoaling fish2017Inngår i: Proceedings of the Royal Society of London. Biological Sciences, ISSN 0962-8452, E-ISSN 1471-2954, Vol. 284, nr 1861, artikkel-id 20171126Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Predation is thought to shape the macroscopic properties of animal groups, making moving groups more cohesive and coordinated. Precisely how predation has shaped individuals' fine-scale social interactions in natural populations, however, is unknown. Using high-resolution tracking data of shoaling fish (Poecilia reticulata) from populations differing in natural predation pressure, we show how predation adapts individuals' social interaction rules. Fish originating from high predation environments formed larger, more cohesive, but not more polarized groups than fish from low predation environments. Using a new approach to detect the discrete points in time when individuals decide to update their movements based on the available social cues, we determine how these collective properties emerge from individuals' microscopic social interactions. We first confirm predictions that predation shapes the attraction-repulsion dynamic of these fish, reducing the critical distance at which neighbours move apart, or come back together. While we find strong evidence that fish align with their near neighbours, we do not find that predation shapes the strength or likelihood of these alignment tendencies. We also find that predation sharpens individuals' acceleration and deceleration responses, implying key perceptual and energetic differences associated with how individuals move in different predation regimes. Our results reveal how predation can shape the social interactions of individuals in groups, ultimately driving differences in groups' collective behaviour.

  • 114.
    Herbert-Read, James E.
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik. Stockholm Univ, Dept Zool, S-10691 Stockholm, Sweden.
    Ward, A. J. W.
    Univ Sydney, Sch Life & Environm Sci, Sydney, NSW 2006, Australia.
    Sumpter, David J. T.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Mann, R. P.
    Univ Leeds, Sch Math, Dept Stat, Leeds LS2 9JT, W Yorkshire, England.
    Escape path complexity and its context dependency in Pacific blue-eyes (Pseudomugil signifer)2017Inngår i: Journal of Experimental Biology, ISSN 0022-0949, E-ISSN 1477-9145, Vol. 220, nr 11, s. 2076-2081Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The escape paths prey animals take following a predatory attack appear to be highly unpredictable - a property that has been described as 'protean behaviour'. Here, we present a method of quantifying the escape paths of individual animals using a path complexity approach. When individual fish (Pseudomugil signifer) were attacked, we found that a fish's movement path rapidly increased in complexity following the attack. This path complexity remained elevated (indicating a more unpredictable path) for a sustained period (at least 10 s) after the attack. The complexity of the path was context dependent: paths were more complex when attacks were made closer to the fish, suggesting that these responses are tailored to the perceived level of threat. We separated out the components of speed and turning rate changes to determine which of these components contributed to the overall increase in path complexity following an attack. We found that both speed and turning rate measures contributed similarly to an individual's path complexity in absolute terms. Overall, our work highlights the context-dependent escape responses that animals use to avoid predators, and also provides a method for quantifying the escape paths of animals.

  • 115.
    Herfurth, Hugues
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Gaussian Process Regression In Computational Finance2020Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
  • 116.
    Herrgård, Max
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Synchronization in the Lorenz system2016Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 117.
    Hjerpe, Daniel
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    The destruction of life in a self replicating system2018Independent thesis Advanced level (professional degree), 20 poäng / 30 hpOppgave
    Abstract [en]

    This thesis explores the question of why life can not be revived when death occurs due to lack of resources. For example, why can't something as simple as E.coli be revived after its death? The hypothesis is that death is not defined by the end of metabolism itself, but rather a continued metabolism which in turn destructs the entity itself. Consequently, a virus should not be capable of ”dying” due to its lack of metabolism.

    To study self replication, a recent mathematical model utilising Gillespie's algorithm and differential equations has been explored. Using this model, real systems such as the Formose reaction can be modeled. Furthermore, an analytical analysis has been carried out in order to study what impact a side reaction will have on a self replicating system's total growth rate. The result of the analysis states that the growth rate of a self replicating system peaks when all the reactions have the same reaction rate, and declines as the reaction rate of a side reaction increases.

    In conclusion, a self replicating system that either contains a side reaction or is coupled with another self replicating system can suffer an irreversible death. The reason for this is the metabolism that occurs when the resources have been depleted. At this point, other reactions not belonging to the main metabolism can destroy the self replication. This argument strengthens the hypothesis that a virus does not die in the same way as a living cell, as it does not have a metabolism of its own. 

  • 118.
    Isdory, Augustino
    et al.
    Univ Dar Es Salaam, Dept Math, Dar Es Salaam, Tanzania..
    Mureithi, Eunice W.
    Univ Dar Es Salaam, Dept Math, Dar Es Salaam, Tanzania..
    Sumpter, David J. T.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    The Impact of Human Mobility on HIV Transmission in Kenya2015Inngår i: PLoS ONE, ISSN 1932-6203, E-ISSN 1932-6203, Vol. 10, nr 11, artikkel-id e0142805Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Disease spreads as a result of people moving and coming in contact with each other. Thus the mobility patterns of individuals are crucial in understanding disease dynamics. Here we study the impact of human mobility on HIV transmission in different parts of Kenya. We build an SIR metapopulation model that incorporates the different regions within the country. We parameterise the model using census data, HIV data and mobile phone data adopted to track human mobility. We found that movement between different regions appears to have a relatively small overall effect on the total increase in HIV cases in Kenya. However, the most important consequence of movement patterns was transmission of the disease from high infection to low prevalence areas. Mobility slightly increases HIV incidence rates in regions with initially low HIV prevalences and slightly decreases incidences in regions with initially high HIV prevalence. We discuss how regional HIV models could be used in public-health planning. This paper is a first attempt to model spread of HIV using mobile phone data, and we also discuss limitations to the approach.

  • 119.
    Jansson, Erik
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Statistical analysis of trends in climate indicators by means of counts2016Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 120.
    Jederström, Mikael
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Numerisk analysmetod för oddskvot i en stratifierad modell2015Independent thesis Advanced level (degree of Master (One Year)), 20 poäng / 30 hpOppgave
  • 121.
    Joldes, Mioara
    et al.
    LAAS CNRS, 7 Ave Colonel Roche, F-31077 Toulouse, France..
    Muller, Jean-Michel
    ENS Lyon, LIP Lab, 46 Allee Italie, F-69364 Lyon 07, France..
    Popescu, Valentina
    ENS Lyon, LIP Lab, 46 Allee Italie, F-69364 Lyon 07, France..
    Tucker, Warwick
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    CAMPARY: Cuda Multiple Precision Arithmetic Library and Applications2016Inngår i: Mathematical Software, ICMS 2016 / [ed] Greuel, GM; Koch, T; Paule, P; Sommese, A, 2016, s. 232-240Konferansepaper (Fagfellevurdert)
    Abstract [en]

    Many scientific computing applications demand massive numerical computations on parallel architectures such as Graphics Processing Units (GPUs). Usually, either floating-point single or double precision arithmetic is used. Higher precision is generally not available in hardware, and software extended precision libraries are much slower and rarely supported on GPUs. We develop CAMPARY: a multipleprecision arithmetic library, using the CUDA programming language for the NVidia GPU platform. In our approach, the precision is extended by representing real numbers as the unevaluated sum of several standard machine precision floating-point numbers. We make use of error-free transforms algorithms, which are based only on native precision operations, but keep track of all rounding errors that occur when performing a sequence of additions and multiplications. This offers the simplicity of using hardware highly optimized floating-point operations, while also allowing for rigorously proven rounding error bounds. This also allows for easy implementation of an interval arithmetic. Currently, all basic multiple-precision arithmetic operations are supported. Our target applications are in chaotic dynamical systems or automatic control.

  • 122.
    Jonsson, Fredrik
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Statistical studies of the Beta Gumbel distribution2014Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 123. Jonsson, Fredrik
    et al.
    Rydén, Jesper
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Statistical studies of the Beta Gumbel distribution: estimation of extreme levels of precipitation2017Inngår i: Statistica Applicata, Vol. 29, s. 5-27Artikkel i tidsskrift (Fagfellevurdert)
  • 124.
    Kaponen, Martina
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Prediction of survival time of prostate cancer patients using Cox regression2018Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 125.
    Karlsson, Torgny
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Statistical modelling of gene expression data: With applications to ribonucleic-acid-sequencing data of Escherichia Coli2016Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
  • 126.
    Kotrschal, Alexander
    et al.
    Stockholm Univ, Dept Zool, SE-10691 Stockholm, Sweden.
    Szorkovszky, Alexander
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen.
    Romenskyy, Maksym
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen.
    Perna, Andrea
    Department of Life Sciences, University of Roehampton, London, United Kingdom.
    Buechel, Severine D.
    Stockholm Univ, Dept Zool, SE-10691 Stockholm, Sweden.
    Zeng, Hong-Li
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen.
    Pelckmans, Kristiaan
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen.
    Sumpter, David J. T.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Kolm, Niclas
    Stockholm Univ, Dept Zool, SE-10691 Stockholm, Sweden.
    Brain size does not impact shoaling dynamics in unfamiliar groups of guppies (Poecilia reticulata)2018Inngår i: Behavioural Processes, ISSN 0376-6357, E-ISSN 1872-8308, Vol. 147, s. 13-20Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Collective movement is achieved when individuals adopt local rules to interact with their neighbours. How the brain processes information about neighbours' positions and movements may affect how individuals interact in groups. As brain size can determine such information processing it should impact collective animal movement. Here we investigate whether brain size affects the structure and organisation of newly forming fish shoals by quantifying the collective movement of guppies (Poecilia reticulata) from large- and small-brained selection lines, with known differences in learning and memory. We used automated tracking software to determine shoaling behaviour of single-sex groups of eight or two fish and found no evidence that brain size affected the speed, group size, or spatial and directional organisation of fish shoals. Our results suggest that brain size does not play an important role in how fish interact with each other in these types of moving groups of unfamiliar individuals. Based on these results, we propose that shoal dynamics are likely to be governed by relatively basic cognitive processes that do not differ in these brain size selected lines of guppies.

  • 127.
    Kurvers, Ralf H. J. M.
    et al.
    Max Planck Inst Human Dev, Ctr Adapt Rat, Lentzeallee 94, D-14195 Berlin, Germany.;Leibniz Inst Freshwater Ecol & Inland Fisheries, Dept Biol & Ecol Fishes, Mueggelseedamm 310, D-12587 Berlin, Germany.;Lubeck Univ Appl Sci, Dept Elect Engn & Comp Sci, D-23562 Lubeck, Germany..
    Krause, Stefan
    Lubeck Univ Appl Sci, Dept Elect Engn & Comp Sci, D-23562 Lubeck, Germany..
    Viblanc, Paul E.
    Leibniz Inst Freshwater Ecol & Inland Fisheries, Dept Biol & Ecol Fishes, Mueggelseedamm 310, D-12587 Berlin, Germany.;Humboldt Univ, Fac Life Sci, Albrecht Daniel Thaer Inst, Invalidenstr 42, D-10115 Berlin, Germany..
    Herbert-Read, James E.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik. Stockholm Univ, Dept Zool, S-10691 Stockholm, Sweden.
    Zaslansky, Paul
    Charite, Julius Wolff Inst, Fohrer Str 15, D-13353 Berlin, Germany..
    Domenici, Paolo
    CNR, IAMC, I-09170 Torregrande, Oristano, Italy..
    Marras, Stefano
    CNR, IAMC, I-09170 Torregrande, Oristano, Italy..
    Steffensen, John F.
    Univ Copenhagen, Dept Biol, Marine Biol Sect, Strandpromenaden 5, DK-3000 Helsingor, Denmark..
    Svendsen, Morten B. S.
    Univ Copenhagen, Dept Biol, Marine Biol Sect, Strandpromenaden 5, DK-3000 Helsingor, Denmark..
    Wilson, Alexander D. M.
    Univ Sydney, Sch Life & Environm Sci, Heydon Laurence Bldg A08, Sydney, NSW 2006, Australia..
    Couillaud, Pierre
    Univ Paris 06, Dept Master Sci Univers Environm Ecol, 4 Pl Jussieu, F-75005 Paris, France..
    Boswell, Kevin M.
    Florida Int Univ, Dept Biol Sci, 3000 NE 151st St, N Miami, FL 33181 USA..
    Krause, Jens
    Humboldt Univ, Fac Life Sci, Albrecht Daniel Thaer Inst, Invalidenstr 42, D-10115 Berlin, Germany..
    The Evolution of Lateralization in Group Hunting Sailfish2017Inngår i: Current Biology, ISSN 0960-9822, E-ISSN 1879-0445, Vol. 27, nr 4, s. 521-526Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Lateralization is widespread throughout the animal kingdom [1-7] and can increase task efficiency via shortening reaction times and saving on neural tissue [8-16]. However, lateralization might be costly because it increases predictability [17-21]. In predator-prey interactions, for example, predators might increase capture success because of specialization in a lateralized attack, but at the cost of increased predictability to their prey, constraining the evolution of lateralization. One unexplored mechanism for evading such costs is group hunting: this would allow individual-level specialization, while still allowing for group-level unpredictability. We investigated this mechanism in group hunting sailfish, Istiophorus platypterus, attacking schooling sardines, Sardinella aurita. During these attacks, sailfish alternate in attacking the prey using their elongated bills to slash or tap the prey [22-24]. This rapid bill movement is either leftward or rightward. Using behavioral observations of identifiable individual sailfish hunting in groups, we provide evidence for individual-level attack lateralization in sailfish. More strongly lateralized individuals had a higher capture success. Further evidence of lateralization comes from morphological analyses of sailfish bills that show strong evidence of one-sided micro-teeth abrasions. Finally, we show that attacks by single sailfish are indeed highly predictable, but predictability rapidly declines with increasing group size because of a lack of population-level lateralization. Our results present a novel benefit of group hunting: by alternating attacks, individual-level attack lateralization can evolve, without the negative consequences of individual-level predictability. More generally, our results suggest that group hunting in predators might provide more suitable conditions for the evolution of strategy diversity compared to solitary life.

  • 128.
    Laestadius, André
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Benedicks, Michael
    Nonexistence of a Hohenberg-Kohn variational principle in total current-density-functional theory2015Inngår i: Physical Review A. Atomic, Molecular, and Optical Physics, ISSN 1050-2947, E-ISSN 1094-1622, Vol. 91, nr 3, artikkel-id 032508Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    For a many-electron system, whether the particle density rho(r) and the total current density j(r) are sufficent to determine the one-body potential V (r) and vector potential A(r) is still an open question. For the one-electron case, a Hohenberg-Kohn theorem exists formulated with the total current density. Here we show that the generalized Hohenberg-Kohn energy functional epsilon(V0,A0)(rho,j) = <psi(rho,j), H(V-0,A(0))psi(rho,j)> can be minimal for densities that are not the ground-state densities of the fixed potentials V-0 and A(0). Furthermore, for an arbitrary number of electrons and under the assumption that a Hohenberg-Kohn theorem exists formulated with. and j, we discuss the possibility of a variational principle in total current-density-functional theory such as that of Hohenberg-Kohn.

  • 129.
    Landström, Julia
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    The Hawkes process – a self-exciting Poisson shot noise model2019Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
  • 130.
    Larsson, Rolf
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    How close is a fractional process to a random walk with drift?2015Inngår i: Journal of Time Series Econometrics, ISSN 1941-1928, E-ISSN 1941-1928, Vol. 7, nr 2, s. 217-234Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In this paper, we investigate how close a fractional process can be to a random walk with drift in terms of the sample path. Given the innovation sequence, we calculate the distance to the closest random walk with drift in the sum of squares sense. We also derive the expected distance between the processes under the assumption of white noise normal innovations. A local approximation formula for this distance is given in terms of the sample size, showing that it increases with the sample size more rapidly than the square of the number of observations. Two empirical examples illustrate the results.

  • 131.
    Larsson, Rolf
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Kang, Jian
    University of Neuchatel.
    What is the link between temperature and Carbon Dioxide levels? A Granger Causality analysis based on ice core data.2014Inngår i: Journal of theoretical and applied climatology, ISSN 0177-798X, Vol. 116, s. 537-548Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    We use statistical methods to analyze whetherthere exists long-term causality between temperature andcarbon dioxide concentration. The analysis is based on athe Vostok Ice Core data from 400,000 to 6,000 yearsago, extended by the EPICA Dome C data which go backto 800,000 years ago. At first, to make the data equidis-tant, we reconstruct it by linear interpolation. Then, usingan approximation of a piecewise exponential function, weadjust for a deterministic trend. Finally, we employ theGranger causality test. We are able to strongly reject thenull hypothesis that carbon dioxide concentration does notGranger cause temperature as well as the reverse hypothe-sis that temperature does not Granger cause carbon dioxide concentration.

  • 132.
    Larsson, Rolf
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Lyhagen, Johan
    Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Westerlund, Joakim
    Likelihood Ratio Tests for a Unit Root in Panels with Random Effects2017Inngår i: Statistics (Berlin), ISSN 0233-1888, E-ISSN 1029-4910, Vol. 51, nr 3, s. 627-654Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Because of the fixed heterogeneity of their models, most panel unit root tests impose restrictions on the rate at which the number of time periods, T, and the number of  rosssection units, N, go to infinity. A common example of such a restriction is N/T → 0, which in practice means that T >> N, a condition that is not always met. In the current paper the heterogeneity is given a parsimonious random effects specification, which is used as a basis for developing a new likelihood ratio test for a unit root. The asymptotic analysis shows that the new test is valid for all (N, T) expansion paths satisfying N/T5 0, which represents a substantial improvement when compared to the existing fixed effects literature.

  • 133.
    LaScala-Gruenewald, Diana E.
    et al.
    Stanford Univ, Hopkins Marine Stn, Pacific Grove, CA 93950 USA;Univ Auckland, Leigh Marine Lab, Leigh, New Zealand.
    Mehta, Rohan S.
    Stanford Univ, Dept Biol, Stanford, CA 94305 USA.
    Liu, Yu
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Denny, Mark W.
    Stanford Univ, Hopkins Marine Stn, Pacific Grove, CA 93950 USA.
    Sensory perception plays a larger role in foraging efficiency than heavy-tailed movement strategies2019Inngår i: Ecological Modelling, ISSN 0304-3800, E-ISSN 1872-7026, Vol. 404, s. 69-82Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Animals must balance their rates of energetic intake and expenditure while foraging. Several mathematical models have been put forward as energetically optimal foraging strategies when the food environment is sparse (i.e., the distance between food patches in the environment is much larger than the distance from which the forager can perceive food). In particular, Levy walks with a power law exponent approaching 1 are considered optimal for destructive foragers. However, these models have yet to explore the role of sensory perception in foraging success as the distance between food patches approaches the distance from which the forager can perceive food. Here, we used an agent-based modeling approach to address this question. Our results concur that lower values of the power law exponent (i.e. values approaching 1) result in the most food found, but in contrast to previous studies, we note that, in many cases, lower exponents are not optimal when we consider food found per unit distance traveled. For example, higher values of the exponent resulted in comparable or higher foraging success relative to lower values when the forager's range of sensory perception was restricted to an angle ± 30° from its current heading. In addition, we find that sensory perception has a larger effect on foraging success than the power law exponent. These results suggest that a deeper examination of how animals perceive food sources from a distance may affect longstanding assumptions regarding the optimality of Levy walk foraging patterns, and lend support to the developing theoretical shift towards models that place increasing emphasis on how organisms interact with their environments.

  • 134.
    Ledberg, Emil
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Introduction to rational billiards2018Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 135.
    Leniec, Marta
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Information and Default Risk in Financial Valuation2016Doktoravhandling, med artikler (Annet vitenskapelig)
    Abstract [en]

    This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. Namely, Paper I deals with valuation of a game version of a perpetual American option where the parties disagree about the distributional properties of the underlying process, Papers II and III investigate pricing of default-sensitive contingent claims, Paper IV treats CVA (credit value adjustment) modelling for a portfolio consisting of American options, and Paper V studies a problem motivated by model calibration in pricing of corporate bonds.

    In each of the articles, we deal with an underlying stochastic process that is continuous in time and defined on some probability space. Namely, Papers I-IV treat stochastic processes with continuous paths, whereas Paper V assumes that the underlying process is a jump-diffusion with finite jump intensity.

    The information level in Paper I is the filtration generated by the stock value. In articles III and IV, we consider investors whose information flow is designed as a progressive enlargement with default time of the filtration generated by the stock price, whereas in Paper II the information flow is an initial enlargement. Paper V assumes that the default is a hitting time of the firm's value and thus the underlying filtration is the one generated by the process modelling this value.

    Moreover, in all of the papers the risk-free bonds are assumed for simplicity to have deterministic prices so that the focus is on the uncertainty coming from the stock price and default risk.

    Delarbeid
    1. Dynkin Games With Heterogeneous Beliefs
    Åpne denne publikasjonen i ny fane eller vindu >>Dynkin Games With Heterogeneous Beliefs
    2017 (engelsk)Inngår i: Journal of Applied Probability, ISSN 0021-9002, E-ISSN 1475-6072, Vol. 54, nr 1, s. 236-251Artikkel i tidsskrift (Fagfellevurdert) Published
    Abstract [en]

    We study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions, then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, however, there is no uniqueness of Nash equilibria, and different equilibria give rise to different value functions. As an example, we provide a thorough study of the game version of the American call option under heterogeneous beliefs. Finally, we also study equilibria in randomized stopping times.

    Emneord
    Dynkin game, heterogeneous belief, multiple Nash equilibria, optimal stopping theory
    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-287358 (URN)10.1017/jpr.2016.97 (DOI)000399075200016 ()
    Forskningsfinansiär
    Swedish Research Council
    Tilgjengelig fra: 2016-04-24 Laget: 2016-04-24 Sist oppdatert: 2017-05-15bibliografisk kontrollert
    2. PRICING OF DEFAULT-SENSITIVE CONTINGENT CLAIMS FOR INFORMED INVESTORS
    Åpne denne publikasjonen i ny fane eller vindu >>PRICING OF DEFAULT-SENSITIVE CONTINGENT CLAIMS FOR INFORMED INVESTORS
    (engelsk)Manuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    We study the problem of pricing default-sensitive contingent claims for an informed investor who observes the stock price process as well as possesses additional information containing the knowledge of the default time from the very beginning. Under the assumption that the underlying default-free market is complete for a regular investor, i.e. an agent who observes only the stock price, and that the defaultable market is arbitrage-free for the informed investor, we show that any default-sensitive contingent claim has a unique price for the informed investor. Moreover, this price can be expressed in terms of prices of default-free contingent claims for the regular investor.

    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-287359 (URN)
    Tilgjengelig fra: 2016-04-24 Laget: 2016-04-24 Sist oppdatert: 2016-04-24
    3. PRICING OF DEFAULT-SENSITIVE CONTINGENT CLAIMS FOR REGULAR INVESTORS
    Åpne denne publikasjonen i ny fane eller vindu >>PRICING OF DEFAULT-SENSITIVE CONTINGENT CLAIMS FOR REGULAR INVESTORS
    (engelsk)Manuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    We consider a defaultable market with a savings account, a risky asset S, and default-sensitive contingent claims which are claims with pay-offs that depend on a default time of the company issuing the stock S. The default time is modelled as a stopping time with respect to the filltration generated by the value of the firm, which is not directly observable by a regular investor, who observes only the stock and the default when it happens. However, the stock price and the value of the firm are correlated and thus observations of the stock price maybe used to infer the information about the default time. We study the pricing problem of a default-sensitive contingent claim for the regular investor and show that the defaultable market is incomplete from his or her perspective, and hence one must deal with the problem of choosing a martingale measure. We approach this task with the so-called f-divergence approach.

    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-287360 (URN)
    Tilgjengelig fra: 2016-04-24 Laget: 2016-04-24 Sist oppdatert: 2016-04-24
    4. AMERICAN OPTIONS AND COUNTERPARTY RISK
    Åpne denne publikasjonen i ny fane eller vindu >>AMERICAN OPTIONS AND COUNTERPARTY RISK
    (engelsk)Manuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    We study a problem of pricing a contract consisting of two American options between two defaultable counterparties. We embed the default risk directly in the expected pay-off so that optimal exercise strategies automatically compensate for the default risk. The problem reduces to a zero-sum optimal stopping game and we state and prove a verication theorem. Moreover, we solve explicitly an example where Player 1 sells a perpetual American call to Player 2 and Player 2 sells a perpetual American put to Player 1; and where one of the players has exponentially distributed default time.

    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-287361 (URN)
    Tilgjengelig fra: 2016-04-24 Laget: 2016-04-24 Sist oppdatert: 2016-04-24
    5. DEFAULT BARRIERS IN JUMP-DIFFUSION MODELS
    Åpne denne publikasjonen i ny fane eller vindu >>DEFAULT BARRIERS IN JUMP-DIFFUSION MODELS
    (engelsk)Manuskript (preprint) (Annet vitenskapelig)
    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-287362 (URN)
    Tilgjengelig fra: 2016-04-24 Laget: 2016-04-24 Sist oppdatert: 2016-04-24
  • 136.
    Li, Kai
    et al.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Nyström, Kaj
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Analys och tillämpad matematik.
    Olofsson, Marcus
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Optimal switching problems under partial information2015Inngår i: Monte Carlo Methods and Applications, ISSN 1569-3961, Vol. 21, nr 2, s. 91-120Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by switching between different states/investments. However, he is not fully aware of his environment and only an observation process, which contains partial information about the environment/underlying, is accessible. It is based on the partial information carried by this observation process that all decisions must be made. We propose a probabilistic numerical algorithm based on dynamic programming, regression Monte Carlo methods, and stochastic filtering theory to compute the value function. In this paper, the approximation of the value function and the corresponding convergence result are obtained when the underlying and observation processes satisfy the linear Kalman-Bucy setting. A numerical example is included to show some specifc features of partial information.

  • 137.
    Lidén, Joel
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Bivariate Models to Predict Football Results2016Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 138.
    Lidén, Joel
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Stock Price Predictions using a Geometric Brownian Motion2018Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
  • 139.
    Lihoreau, Mathieu
    et al.
    Univ Sydney, Charles Perkins Ctr, Sydney, NSW 2006, Australia.;CNRS, Ctr Rech Cognit Anim, F-31062 Toulouse, France.;UPS, Ctr Rech Cognit Anim, F-31062 Toulouse, France..
    Clarke, Ireni M.
    Univ Sydney, Charles Perkins Ctr, Sydney, NSW 2006, Australia..
    Buhl, Jerome
    Univ Sydney, Charles Perkins Ctr, Sydney, NSW 2006, Australia.;Univ Adelaide, Sch Agr Food & Wine, Adelaide, SA 5005, Australia..
    Sumpter, David J. T.
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Simpson, Stephen J.
    Univ Sydney, Charles Perkins Ctr, Sydney, NSW 2006, Australia..
    Collective selection of food patches in Drosophila2016Inngår i: Journal of Experimental Biology, ISSN 0022-0949, E-ISSN 1477-9145, Vol. 219, nr 5, s. 668-675Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The fruit fly Drosophila melanogaster has emerged as a model organism for research on social interactions. Although recent studies have described how individuals interact on foods for nutrition and reproduction, the complex dynamics by which groups initially develop and disperse have received little attention. Here we investigated the dynamics of collective foraging decisions by D. melanogaster and their variation with group size and composition. Groups of adults and larvae facing a choice between two identical, nutritionally balanced food patches distributed themselves asymmetrically, thereby exploiting one patch more than the other. The speed of the collective decisions increased with group size, as a result of flies joining foods faster. However, smaller groups exhibited more pronounced distribution asymmetries than larger ones. Using computer simulations, we show how these non-linear phenomena can emerge from social attraction towards occupied food patches, whose effects add up or compete depending on group size. Our results open new opportunities for exploring complex dynamics of nutrient selection in simple and genetically tractable groups.

  • 140.
    Lilja, Dan
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    On the Invariant Cantor Sets of Period Doubling Type of Infinitely Renormalizable Area-Preserving Maps2018Inngår i: Communications in Mathematical Physics, ISSN 0010-3616, E-ISSN 1432-0916, Vol. 358, nr 3, s. 1027-1039Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Since its inception in the 1970s at the hands of Feigenbaum and, independently, Coullet and Tresser the study of renormalization operators in dynamics has been very successful at explaining universality phenomena observed in certain families of dynamical systems. The first proof of existence of a hyperbolic fixed point for renormalization of area-preserving maps was given by Eckmann et al. (Mem Am Math Soc 47(289):vi+122, 1984). However, there are still many things that are unknown in this setting, in particular regarding the invariant Cantor sets of infinitely renormalizable maps. In this paper we show that the invariant Cantor set of period doubling type of any infinitely renormalizable area-preserving map in the universality class of the Eckmann-Koch-Wittwer renormalization fixed point is always contained in a Lipschitz curve but never contained in a smooth curve. This extends previous results by de Carvalho, Lyubich and Martens about strongly dissipative maps of the plane close to unimodal maps to the area-preserving setting. The method used for constructing the Lipschitz curve is very similar to the method used in the dissipative case but proving the nonexistence of smooth curves requires new techniques.

  • 141.
    Lind, Joar
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Discrete choice modelling – Estimering och utvärdering av multinomial logitmodell i R för tillämpning i godstransportmodellering2019Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 142.
    Linder, Monika
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Football and Mathematics: a search for a relation between passing structure and successful results2017Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
  • 143.
    Linroth, Cecilia
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Statistical analysis of wave heights using Kalman Filtering methods2014Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
  • 144.
    Liu, Yu
    Uppsala universitet, Teknisk-naturvetenskapliga vetenskapsområdet, Matematisk-datavetenskapliga sektionen, Matematiska institutionen, Tillämpad matematik och statistik.
    Modelling Evolution: From non-life, to life, to a variety of life2018Doktoravhandling, med artikler (Annet vitenskapelig)
    Abstract [en]

    Life is able to replicate itself, e.g., a microorganism is able to divide into two identical ones, and a single plant is able to forest a whole island. But life is the only example of self-replication (note that a computer virus seems able to replicate itself, but it needs the assistance of a processor such as a CPU, and thus not a truly self-replicating entity). So before the appearance of life, nothing can self-replicate. How does life, a truly self-replicating entity, evolve from substances which is not able to self-replicate? Why can it ever happen? Is there a general underlying mechanism that governs how self-replicating entities can develop de novo on Earth, or even other plants?

    As long as the first life appears, it has the potential to cover the whole plant. But one single life form cannot do the job. Life has branched into a huge number of biological classes and species. Different species interact with each other, and with their environment, which, as a whole, is defined as an ecosystem. Distinct ecosystems are found at different scales and different places, e.g., microbes cross-feed and compete for resources within natural communities; and different types of cells interact by exchanging metabolite within an organism body. But, why sometimes we consider an ecosystem as an individual (such as the human body which is, in fact, an ecosystem inhabited by a huge number of microorganisms without which we cannot survive) while sometimes not? What really distinguishes an individual-level life from a system-level life? Are there general properties only a system-level life has, emerged from the interactions among its compositional individual-level life?

    This thesis is to investigate these two questions by mathematical models. For the evolution from non-life to life, namely the origin of life, we build an artificial chemistry model to investigate why an independent self-replicating entity can develop spontaneously from some chemical reaction system in which no reaction is self-replicating. For the evolution from life to a variety of life, we build an artificial ecosystem model to investigate general properties of ecosystems.

    Delarbeid
    1. Spontaneous emergence of self-replication in chemical reaction systems
    Åpne denne publikasjonen i ny fane eller vindu >>Spontaneous emergence of self-replication in chemical reaction systems
    (engelsk)Manuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    Explaining the origin of life requires us to explain how self-replication arises. To be specific, how can a self-replicating entity develop spontaneously from a chemical reaction system in which no reaction is self-replicating? Previously proposed mathematical models either supply an explicit framework for a minimal living system or only consider catalyzed reactions, and thus fail to provide a comprehensive theory. We set up a general model for chemical reaction systems that properly accounts for energetics, kinetics and the conservation law. We find that (1) some systems are collectively-catalytic where reactants are transformed into end products with the assistance of intermediates (as in the citric acid cycle), while some others are self-replicating where different parts replicate each other and the system self-replicates as a whole (as in the formose reaction); (2) many alternative chemical universes often contain one or more such systems; (3) it is possible to construct a self-replicating system where the entropy of some parts spontaneously decreases, in a manner similar to that discussed by Schrodinger; (4) complex self-replicating molecules can emerge spontaneously and relatively easily from simple chemical reaction systems through a sequence of transitions. Together these results start to explain the origins of prebiotic evolution.

    Emneord
    Origin of life, Self-replication, Collectively-catalytic, Prebiotic evolution, Biological complexity
    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-339615 (URN)
    Tilgjengelig fra: 2018-01-22 Laget: 2018-01-22 Sist oppdatert: 2018-01-23
    2. Is the golden ratio a universal constant for self-replication?
    Åpne denne publikasjonen i ny fane eller vindu >>Is the golden ratio a universal constant for self-replication?
    2018 (engelsk)Inngår i: PLoS ONE, ISSN 1932-6203, E-ISSN 1932-6203, Vol. 13, nr 7, artikkel-id e0200601Artikkel i tidsskrift (Annet vitenskapelig) Published
    Abstract [en]

    The golden ratio, ϕ = 1.61803..., has often been found in connection with biological phenomena, ranging from spirals in sunflowers to gene frequency. One example where the golden ratio often arises is in self-replication, having its mathematical origins in Fibonacci's sequence for "rabbit reproduction". Recently, it has been claimed that ϕ determines the ratio between the number of different nucleobases in human genome. Such empirical examples continue to give credence to the idea that the golden ratio is a universal constant, not only in mathematics but also for biology. In this paper, we employ a general framework for chemically realistic self-replicating reaction systems and investigate whether the ratio of chemical species population follows "universal constants". We find that many self-replicating systems can be characterised by an algebraic number, which, in some cases, is the golden ratio. However, many other algebraic numbers arise from these systems, and some of them—such as and 1.22074... which is also known as the 3rd lower golden ratio—arise more frequently in self-replicating systems than the golden ratio. The "universal constants" in these systems arise as roots of a limited number of distinct characteristic equations. In addition, these "universal constants" are transient behaviours of self-replicating systems, corresponding to the scenario that the resource inside the system is infinite, which is not always the case in practice. Therefore, we argue that the golden ratio should not be considered as a special universal constant in self-replicating systems, and that the ratios between different chemical species only go to certain numbers under some idealised scenarios.

    Emneord
    Golden ratio, Fibonacci sequence, Self-replication, Fibonacci rabbit, Universal constant
    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-339888 (URN)10.1371/journal.pone.0200601 (DOI)000438829800032 ()30011316 (PubMedID)
    Tilgjengelig fra: 2018-01-23 Laget: 2018-01-23 Sist oppdatert: 2018-09-27bibliografisk kontrollert
    3. Insights into resource consumption, cross-feeding, system collapse, stability and biodiversity from an artificial ecosystem
    Åpne denne publikasjonen i ny fane eller vindu >>Insights into resource consumption, cross-feeding, system collapse, stability and biodiversity from an artificial ecosystem
    2017 (engelsk)Inngår i: Journal of the Royal Society Interface, ISSN 1742-5689, E-ISSN 1742-5662, Vol. 14, nr 126, artikkel-id 20160816Artikkel i tidsskrift (Fagfellevurdert) Published
    Abstract [en]

    Community ecosystems at very different levels of biological organization often have similar properties. Coexistence of multiple species, cross-feeding, biodiversity and fluctuating population dynamics are just a few of the properties that arise in a range of ecological settings. Here we develop a bottom-up model of consumer-resource interactions, in the form of an artificial ecosystem ``number soup'', that reflects basic properties of many bacterial and other community ecologies. We demonstrate four key properties of the number soup model: (1) Communities self-organise so that all available resources are fully consumed; (2) Reciprocal cross-feeding is a common evolutionary outcome, which evolves in a number of stages, and many transitional species are involved; (3) The evolved ecosystems are often ``robust yet fragile'', with keystone species required to prevent the whole system from collapsing; (4) Non-equilibrium dynamics and chaotic patterns are general properties, readily generating rich biodiversity. These properties have been observed in empirical ecosystems, ranging from bacteria to rainforests. Establishing similar properties in an evolutionary model as simple as the number soup suggests that these four properties are ubiquitous features of all community ecosystems, and raises questions about how we interpret ecosystem structure in the context of natural selection.

    Emneord
    ecosystem evolution, consumer-resource interactions, emergence, community ecology, system-level property
    HSV kategori
    Identifikatorer
    urn:nbn:se:uu:diva-314360 (URN)10.1098/rsif.2016.0816 (DOI)000393380400009 ()
    Forskningsfinansiär
    EU, European Research Council
    Tilgjengelig fra: 2017-02-01 Laget: 2017-02-01 Sist oppdatert: 2018-01-23bibliografisk kontrollert
    4. The artificial ecosystem: number soup (part II)
    Åpne denne publikasjonen i ny fane eller vindu >>The artificial ecosystem: number soup (part II)