Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

A reinforcement learning based algorithm for finite horizon Markov decision processes

We develop a simulation based algorithm for finite horizon Markov decision processes with finite state and finite action space. Illustrative numerical experiments with the proposed algorithm are shown for problems in flow control of communication networks and capacity switching in semiconductor fabrication.

A mathematical programming approach to optimal Markovian switching of Poisson arrival streams to queueing systems

Motivated by certain situations in manufacturing systems and communication networks, we look into the problem of maximizing the profit in a queueing system with linear reward and cost structure and having a choice of selecting the streams of Poisson arrivals according to an independent Markov chain. We view the system as a MMPP/GI/1 queue and seek to maximize the profits by optimally choosing the stationary probabilities of the modulating Markov chain. We consider two formulations of the optimization problem. The first one (which we call the PUT problem) seeks to maximize the profit per unit time whereas the second one considers the maximization of the profit per accepted customer (the PAC problem). In each of these formulations, we explore three separate problems. In the first one, the constraints come from bounding the utilization of an infinite capacity server; in the second one the constraints arise from bounding the mean queue length of the same queue; and in the third one the finite capacity of the buffer reflect as a set of constraints. In the problems bounding the utilization factor of the queue, the solutions are given by essentially linear programs, while the problems with mean queue length constraints are linear programs if the service is exponentially distributed. The problems modeling the finite capacity queue are non-convex programs for which global maxima can be found. There is a rich relationship between the solutions of the PUT and PAC problems. In particular, the PUT solutions always make the server work at a utilization factor that is no less than that of the PAC solutions.

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

An Actor-Critic Algorithm for Finite Horizon Markov Decision Processes

We develop a simulation based algorithm for finite horizon Markov decision processes with finite state and finite action space. Illustrative numerical experiments with the proposed algorithm are shown for problems in flow control of communication networks and capacity switching in semiconductor fabrication.

Ergodic control of partially observed Markov chains

The ergodic or long-run average cost control problem for a partially observed finite-state Markov chain is studied via the associated fully observed separated control problem for the nonlinear filter. Dynamic programming equations for the latter are derived, leading to existence and characterization of optimal stationary policies.

Effect of antimony addition on the thermal and electrical-switching behavior of bulk Se-Te glasses

The thermal properties and electrical-switching behavior of semiconducting chalcogenide SbxSe55-xTe45 (2 <= x <= 9) glasses have been investigated by alternating differential scanning calorimetry and electrical-switching experiments, respectively. The addition of Sb is found to enhance the glass forming tendency and stability as revealed by the decrease in non-reversing enthalpy Delta H-nr. and an increase in the glass-transition width Delta T-g. Further, the glass-transition temperature of SbxSe55-xTe45 glasses, which is a measure of network connectivity, exhibits a subtle increase, suggesting a meager network growth with the addition of Sb. The crystallization temperature is also observed to increase with Sb content. The SbxSe55-xTe45 glasses (2 <= x <= 9) are found to exhibit memory type of electrical switching, which can be attributed to the polymeric nature of network and high devitrifying ability. The metallicity factor has been found to dominate over the network connectivity and rigidity in the compositional dependence of switching voltage. which shows a profound decrease with the addition of Sb.

Asymptotic behaviour of point processes with Markov-dependent intervals

This splitting techniques for MARKOV chains developed by NUMMELIN (1978a) and ATHREYA and NEY (1978b) are used to derive an imbedded renewal process in WOLD's point process with MARKOV-correlated intervals. This leads to a simple proof of renewal theorems for such processes. In particular, a key renewal theorem is proved, from which analogues to both BLACKWELL's and BREIMAN's forms of the renewal theorem can be deduced.

A DC-link Capacitor Voltage Balancing with CMV Elimination using only the Switching State Redundancies for a Reduced Switch Count Multi-Level Inverter fed IM Drive

Common mode voltage (CMV) variations in PWM inverter-fed drives generate unwanted shaft and bearing current resulting in early motor failure. Multilevel inverters reduce this problem to some extent, with higher number of levels. But the complexity of the power circuit increases with an increase in the number of inverter voltage levels. In this paper a five-level inverter structure is proposed for open-end winding induction motor (IM) drives, by cascading only two conventional two-level and three-level inverters, with the elimination of the common mode voltage over the entire modulation range. The DC link power supply requirement is also optimized by means of DC link capacitor voltage balancing, with PWM control., using only inverter switching state redundancies. The proposed power circuit gives a simple power bits structure.

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

Future switching technology: bacterial protein-based programmable all-optical switch for integrated optics applications?

We report on the bacterial protein-based all-optical switches which operate at low laser power, high speed and fulfil most of the requirements to be an ideal all-optical switch without any moving parts involved. This consists of conventional optical waveguides coated with bacteriorhodopsin films at switching locations. The principle of operation of the switch is based on the light-induced refractive index change of bacteriorhodopsin. This approach opens the possibility of realizing proteinbased all-optical switches for communication network, integrated optics and optical computers.

Portfolio Optimization in a Semi-Markov Modulated Market

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

Nonlinear conduction and electrical switching in one-dimensional conductors

Many one-dimensional conductors show pronounced nonlinear electrical conduction. Some of them show very interesting electrical switching from a low conducting state to a high conducting state. Such electrical switching is often associated with memory. These are discussed with particular emphasis on charge transfer complexestmbine-tcnq, tmpd-tcnq, Cs2(tcnq)3,tea-(tcnq) 2 ando-tolidine-iodine.

Complexity Reduction In A Telephone Switching-System

This paper review the some of the recent developments in Complexity theory as applied to telephone-switching. Some of these techniques are suitable for practical implementation in India.

An apparatus for the study of switching characteristics in ferroelectrics

A circuit capable of producing bipolar square pulses of voltages up to +or-400 V, employing an integrated circuit timer and two mercury wetted relays is described. The frequency of the pulses can be varied from a cycle min-1 to 2 kHz. A variable temperature sample chamber and the temperature control and measurement circuits are also described. The performance of the circuit is evaluated using samples of TGS and NaNO2.