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.

Microparticulated Hydrochlorothiazide Solid Dispersion: Enhancing Dissolution Properties via Spray Drying

The aim of the present study was to obtain microparticles of hydrochlorothiazide, a diuretic drug that practically insoluble in water, by spray drying and to investigate the influence of process parameters using a three-level, three-factor Box-Behnken design. Process yields, moisture content, particle size, flowability, and solubility were used to evaluate the spray-dried microparticles. The data were analyzed by response surface methodology using analysis of variance. The independent variables studied were outlet temperature, atomization pressure, and drug content. The formulations were prepared using polyvinylpyrrolidone and colloidal silicon dioxide as the hydrophilic carrier and drying aid, respectively. The microparticle yield ranged from 18.15 to 59.02% and resulted in adequate flow (17 to 32 degrees), moisture content between 2.52 to 6.18%, and mean particle size from 45 to 59 mu m. The analysis of variance showed that the factors studied influenced the yields, moisture content, angle of repose, and solubility. Thermal analysis and X-ray diffractometry evidenced no drug interactions or chemical modifications. Photomicrographs obtained by scanning electron microscopy showed spherical particles. The solubility and dissolution rates of hydrochlorothiazide were remarkably improved when compared with pure drug. Therefore, the results confirmed the high potential of the spray-drying technique to obtain microparticulate hydrochlorothiazide with enhanced pharmaceutical and dissolution properties.