Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off performance criterion along the time, and the second one is a minimum variance criterion along the time with constraints on the expected output. We present explicit conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. We conclude the paper by presenting a numerical example of a multi-period portfolio selection problem with regime switching in which it is desired to minimize the sum of the variances of the portfolio along the time under the restriction of keeping the expected value of the portfolio greater than some minimum values specified by the investor. (C) 2011 Elsevier Ltd. All rights reserved.

Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Transplantation for Autoimmune Diseases in North and South America: A Report of the Center for International Blood and Marrow Transplant Research

Hematopoietic cell transplantation (HCT) is an emerging therapy for patients with severe autoimmune diseases (AID). We report data on 368 patients with AID who underwent HCT in 64 North and South American transplantation centers reported to the Center for International Blood and Marrow Transplant Research between 1996 and 2009. Most of the HCTs involved autologous grafts (n = 339); allogeneic HCT (n = 29) was done mostly in children. The most common indications for HCT were multiple sclerosis, systemic sclerosis, and systemic lupus erythematosus. The median age at transplantation was 38 years for autologous HCT and 25 years for allogeneic HCT. The corresponding times from diagnosis to HCT were 35 months and 24 months. Three-year overall survival after autologous HCT was 86% (95% confidence interval [CI], 81%-91%). Median follow-up of survivors was 31 months (range, 1-144 months). The most common causes of death were AID progression, infections, and organ failure. On multivariate analysis, the risk of death was higher in patients at centers that performed fewer than 5 autologous HCTs (relative risk, 3.5; 95% CI, 1.1-11.1; P = .03) and those that performed 5 to 15 autologous HCTs for AID during the study period (relative risk, 4.2; 95% CI, 1.5-11.7; P = .006) compared with patients at centers that performed more than 15 autologous HCTs for AID during the study period. AID is an emerging indication for HCT in the region. Collaboration of hematologists and other disease specialists with an outcomes database is important to promote optimal patient selection, analysis of the impact of prognostic variables and long-term outcomes, and development of clinical trials. Biol Blood Marrow Transplant 18: 1471-1478 (2012) (C) 2012 Published by Elsevier Inc. on behalf of American Society for Blood and Marrow Transplantation

Optimal Code Set Selection and Security Issues in Spectral Phase-Encoded Time Spreading (SPECTS) OCDMA Systems

In this paper, we perform a thorough analysis of a spectral phase-encoded time spreading optical code division multiple access (SPECTS-OCDMA) system based on Walsh-Hadamard (W-H) codes aiming not only at finding optimal code-set selections but also at assessing its loss of security due to crosstalk. We prove that an inadequate choice of codes can make the crosstalk between active users to become large enough so as to cause the data from the user of interest to be detected by other user. The proposed algorithm for code optimization targets code sets that produce minimum bit error rate (BER) among all codes for a specific number of simultaneous users. This methodology allows us to find optimal code sets for any OCDMA system, regardless the code family used and the number of active users. This procedure is crucial for circumventing the unexpected lack of security due to crosstalk. We also show that a SPECTS-OCDMA system based on W-H 32(64) fundamentally limits the number of simultaneous users to 4(8) with no security violation due to crosstalk. More importantly, we prove that only a small fraction of the available code sets is actually immune to crosstalk with acceptable BER (<10(-9)) i.e., approximately 0.5% for W-H 32 with four simultaneous users, and about 1 x 10(-4)% for W-H 64 with eight simultaneous users.

CONTEXT TREE SELECTION AND LINGUISTIC RHYTHM RETRIEVAL FROM WRITTEN TEXTS

The starting point of this article is the question "How to retrieve fingerprints of rhythm in written texts?" We address this problem in the case of Brazilian and European Portuguese. These two dialects of Modern Portuguese share the same lexicon and most of the sentences they produce are superficially identical. Yet they are conjectured, on linguistic grounds, to implement different rhythms. We show that this linguistic question can be formulated as a problem of model selection in the class of variable length Markov chains. To carry on this approach, we compare texts from European and Brazilian Portuguese. These texts are previously encoded according to some basic rhythmic features of the sentences which can be automatically retrieved. This is an entirely new approach from the linguistic point of view. Our statistical contribution is the introduction of the smallest maximizer criterion which is a constant free procedure for model selection. As a by-product, this provides a solution for the problem of optimal choice of the penalty constant when using the BIC to select a variable length Markov chain. Besides proving the consistency of the smallest maximizer criterion when the sample size diverges, we also make a simulation study comparing our approach with both the standard BIC selection and the Peres-Shields order estimation. Applied to the linguistic sample constituted for our case study, the smallest maximizer criterion assigns different context-tree models to the two dialects of Portuguese. The features of the selected models are compatible with current conjectures discussed in the linguistic literature.

Optimal Timing for Assessment of Tumor Response to Neoadjuvant Chemoradiation in Patients With Rectal Cancer: Do All Patients Benefit From Waiting Longer Than 6 Weeks?

Purpose: To estimate the metabolic activity of rectal cancers at 6 and 12 weeks after completion of chemoradiation therapy (CRT) by 2-[fluorine-18] fluoro-2-deoxy-D-glucose-labeled positron emission tomography/computed tomography ([18 FDG] PET/CT) imaging and correlate with response to CRT. Methods and Materials: Patients with cT2-4N0-2M0 distal rectal adenocarcinoma treated with long-course neoadjuvant CRT (54 Gy, 5-fluouracil-based) were prospectively studied (ClinicalTrials. org identifier NCT00254683). All patients underwent 3 PET/CT studies (at baseline and 6 and 12 weeks fromCRT completion). Clinical assessment was at 12 weeks. Maximal standard uptakevalue (SUVmax) of the primary tumor wasmeasured and recorded at eachPET/CTstudy after 1 h (early) and3 h (late) from 18 FDGinjection. Patientswith an increase in early SUVmax between 6 and 12 weeks were considered " bad" responders and the others as "good" responders. Results: Ninety-one patients were included; 46 patients (51%) were "bad" responders, whereas 45 (49%) patients were " good" responders. " Bad" responders were less likely to develop complete clinical response (6.5% vs. 37.8%, respectively; PZ. 001), less likely to develop significant histological tumor regression (complete or near-complete pathological response; 16% vs. 45%, respectively; PZ. 008) and exhibited greater final tumor dimension (4.3cmvs. 3.3cm; PZ. 03). Decrease between early (1 h) and late (3 h) SUVmax at 6-week PET/CTwas a significant predictor of " good" response (accuracy of 67%). Conclusions: Patients who developed an increase in SUVmax after 6 weeks were less likely to develop significant tumor downstaging. Early-late SUVmax variation at 6-week PET/CT may help identify these patients and allow tailored selection of CRT-surgery intervals for individual patients. (C) 2012 Elsevier Inc.