Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Measuring complexity in three-trophic level systems

This essay is a trial on measuring complexity in a three-trophic level system by using a convex function of the informational entropy. The complexity measure defined here is compatible with the fact that real complexity lies between ordered and disordered states. Applying this measure to the data collected for two three-trophic level systems some hints about their organization are obtained. (C) 2008 Elsevier B.V. All rights reserved.

Mutually connected phase-locked loop networks: dynamical models and design parameters

Distribution of timing signals is an essential factor for the development of digital systems for telecommunication networks, integrated circuits and manufacturing automation. Originally, this distribution was implemented by using the master-slave architecture with a precise master clock generator sending signals to phase-locked loops (PLL) working as slave oscillators. Nowadays, wireless networks with dynamical connectivity and the increase in size and operation frequency of the integrated circuits suggest that the distribution of clock signals could be more efficient if mutually connected architectures were used. Here, mutually connected PLL networks are studied and conditions for synchronous states existence are analytically derived, depending on individual node parameters and network connectivity, considering that the nodes are nonlinear oscillators with nonlinear coupling conditions. An expression for the network synchronisation frequency is obtained. The lock-in range and the transmission error bounds are analysed providing hints to the design of this kind of clock distribution system.

Comparison of friction models applied to a control valve

Eight different models to represent the effect of friction in control valves are presented: four models based on physical principles and four empirical ones. The physical models, both static and dynamic, have the same structure. The models are implemented in Simulink/Matlab (R) and compared, using different friction coefficients and input signals. Three of the models were able to reproduce the stick-slip phenomenon and passed all the tests, which were applied following ISA standards. (C) 2008 Elsevier Ltd. All rights reserved.

Flatness-based control of a single qubit gate

This work considers the open-loop control problem of steering a two-level quantum system from any initial to any final condition. The model of this system evolves on the state space X = SU(2), having two inputs that correspond to the complex amplitude of a resonant laser field. A symmetry preserving flat output is constructed using a fully geometric construction and quaternion computations. Simulation results of this flatness-based open-loop control are provided.

Chaotic Synchronization in Discrete-Time Systems Connected by Bandlimited Channels

Due to the broadband characteristic of chaotic signals, many of the methods that have been proposed for synchronizing chaotic systems do not usually present a satisfactory performance when applied to bandlimited communication channels. Here, the effects of bandwidth limitations imposed by the channel on the synchronous solution of a discrete-time chaotic master-slave network are investigated. The discrete-time system considered in this study is the Henon map. It is analytically shown that synchronism can be achieved in such a network by introducing a digital filter in the feedback loop responsible for generating the chaotic signal that will be sent to the slave node. Numerical simulations relating the filter parameters, such as its order and cut-off frequency, to the maximum Lyapunov exponent of the master node, which determines if the transmitted signal is chaotic or not, are also presented. These results can be useful for practical communication schemes based on chaos.

Numerical study of tensile tests conducted on systems with elastic-plastic films deposited onto elastic-plastic substrates

In this work, a series of two-dimensional plane-strain finite element analyses was conducted to further understand the stress distribution during tensile tests on coated systems. Besides the film and the substrate, the finite element model also considered a number of cracks perpendicular to the film/substrate interface. Different from analyses commonly found in the literature, the mechanical behavior of both film and substrate was considered elastic-perfectly plastic in part of the analyses. Together with the film yield stress and the number of film cracks, other variables that were considered were crack tip geometry, the distance between two consecutive cracks and the presence of an interlayer. The analysis was based on the normal stresses parallel to the loading axis (sigma(xx)), which are responsible for cohesive failures that are observed in the film during this type of test. Results indicated that some configurations studied in this work have significantly reduced the value of sigma(xx) at the film/substrate interface and close to the pre-defined crack tips. Furthermore, in all the cases studied the values of sigma(xx) were systematically larger at the film/substrate interface than at the film surface. (C) 2010 Elsevier B.V. All rights reserved.

Water Treatment Plant Sludge Discharge to Wastewater Treatment Works: Effects on the Operation of Upflow Anaerobic Sludge Blanket Reactor and Activated Sludge Systems

This experiment examined the effects of the discharge of water treatment plant (WTP) sludge into the following three types of wastewater treatment systems: a pilot-scale upflow anaerobic sludge blanket (UASB) reactor, a pilot-scale activated sludge system, and a full-scale activated sludge sequencing batch reactor (SBR). The UASB reactor received 50 mg of suspended solids ( SS) of WTP sludge per liter of wastewater in the first phase, and, in the second phase, it received 75 mg SS/L. The pilot-scale activated sludge system received 25 and 50 mg SS/L in the first and second phases, respectively. The full-scale WWTP ( SBR) received approximately 74 mg SS/L. The results of the experiments showed that, despite some negative effects on nitrification, there were positive effects on phosphorus removal, and, furthermore, there was the addition of solids in all systems. Water Environ. Res., 82, 392 ( 2010).

Closed-loop model re-identification of processes under MPC with zone control

This work deals with a procedure for model re-identification of a process in closed loop with ail already existing commercial MPC. The controller considered here has a two-layer structure where the upper layer performs a target calculation based on a simplified steady-state optimization of the process. Here, it is proposed a methodology where a test signal is introduced in a tuning parameter of the target calculation layer. When the outputs are controlled by zones instead of at fixed set points, the approach allows the continuous operation of the process without an excessive disruption of the operating objectives as process constraints and product specifications remain satisfied during the identification test. The application of the method is illustrated through the simulation of two processes of the oil refining industry. (c) 2008 Elsevier Ltd. All rights reserved.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Meat quality of broilers from different rearing systems

Color, pH, shear force, water-holding capacity, chemical composition, cholesterol content, and fatty acid profile from conventional, free-range and alternative broiler breast meat were determined in order to evaluate differences in the quality of broiler meat produced under different systems. Broilers reared in a conventional system had the highest lipid content (1.3%) but lower proportions of polyunsaturated (17.3%) and omega-3 fatty acids (0.3%) (p<0.05) compared to free-range and alternative broilers. On the other hand, free-range broilers had a lower cholesterol content (48.6 mg center dot 100 g(-1)) and lower pH (5.7 1) while broilers raised in an alternative system had a higher shear force (2.33 kgf) and lower yellowness value (b* value = 3.15) when compared to the other rearing systems (p<0.05).

New approaches to underground systems in Brazilian Smilax species (Smilacaceae)

MARTINS, A. R. (Institute of Biology, State University of Campinas - UNICAMP, 13083-970, Campinas, SP, Brazil), N. PUT, (Division of Biology and Education, University of Vechta, 49377 Vechta, Germany), A. N. SOARES, A.B BOMB, and B. APPEZZATO DA GLORIA (Biological Science Department, Escola Superior de Agricultura `Luiz de Queiroz`, University of Sao Paulo, 13418-900, Piracicaba, SP, Brazil). J. Torrey Bot. Soc. 137: 220-235. 2010.-New approaches to underground systems in Brazilian Smilax species (Smilacaceae). Scientific studies show that the watery extract of the thickened underground stem and its adventitious roots of the genus Smilax can act as a therapeutic agent in immunoinflammatory disorders, such as rheumatic arthritis. Brazilians have used this genus of plants in folk medicine, however it is very hard to identify these species, since the morphology of the underground systems is very similar in this group. For better identification of those systems, we studied six species of Smilax L. (S. brasiliensis, S. campestris, S. cissoides, S. goyazana, S. oblongifolia and S. rufescens), collected in different regions of Brazil with different physiognomies and soil characteristics. The main purpose is to describe the morpho-anatomy of the underground systems and to analyze if their structure depends on environmental conditions. The underground stem (rhizophore) is of brown color and it is knotty, massive, slender (S. rufescens) or tuberous (S. brasiliensis, S. campestris, S. cissoides, S. goyazana and S. oblongifolia). The tuberization is a result of primary thickened meristem (PTM) activity. The color and thickness of the adventitious roots change during development because the epidermis and outer cortex are disposed of, so the inner cortex becomes the new covering tissue with lignified and dark color cells. There are differences in starch grain shapes in mature roots. The chemical attributes of the soil are very similar in all studied environments and, even when soil characteristics varied, all the species` underground system was distributed close to the soil surface (10 to 15 cm deep). The species exhibited clonal growth hence their underground system functions as storage structures and the axillary buds can sprout into new stems. Only Smilax rufescens, collected in sandy soil of Restinga, has vegetative dispersal due to the runners.

Occurrence of secretory structures in underground systems of seven Asteraceae species

In contrast with the abundance of anatomical studies of secretory structures on aerial vegetative organs of Asteraceae species, the information about secretory structures on thickened subterranean organs is sparse. The aim of this study was to investigate the occurrence of secretory structures on thickened and nonthickened subterranean organs of seven Asteraceae species from three tribes: Eupatorieae (Chromolaena squalida and Gyptis lanigera), Vernonieae (Chresta sphaerocephala, Lessingianthus bardanoides, L. glabratus and Orthopappus angustifolius), and Plucheeae (Pterocaulon angustifolium). The specimens were collected in areas of cerrado, from the State of Sao Paulo, Brazil. All species of the tribe Vernonieae studied exhibited endodermic cells, other than the epithelial cells of the canal, with secretory activity in the roots. In C. sphaerocephala roots, two types of endodermic cell were found, but only one had secretory activity. Secretory canals were found in the tuberous and nontuberous roots of all studied species. These data agree with the results from the literature for Asteraceae species. Here, we describe for the first time in Asteraceae the presence of secretory idioblasts in C. sphaerocephala. Secretory trichomes are present in the Orthopappus angustifolius rhizophore. Histochemical tests have shown that all types of secretory structure possess substances containing lipids. (C) 2008 The Linnean Society of London.

Underground systems of Asteraceae species from the Brazilian Cerrado

Underground systems of Asteraceac species from the Brazilian Cerrado. The aim or this study was to describe the underground systems structure, the origin of the shoot buds, and to identify the storage reserve of seven Asteraceae species in order to understand the adaptive strategies of these species in burned Cerrado areas and their higher frequency in the floristic Surveys for herbaceous and undershrub layers of this biome. The subterranean systems types-diffuse underground system, rhizophore, tuberous roots, and xylopodium-varied among the studied species, but all of them have high shoot bud-forming potential. Fructans of the inulin type were detected as storage substances. The presence of these characteristics on the underground systems Could explain the frequency of these species in the floristic surveys from the Brazilian Cerrado, in which Fire and seasonal drought are frequent. It is possible that the belowground bud banks in the Cerrado biome are as important as demonstrated in North American prairies where fire is also frequent. However, in the Cerrado, as demonstrated here, there are types of underground systems other than rhizomes that are usually described in the prairie. Understanding the anatomical features of these plants is one of the steps to appropriate conservation management of these species in the Cerrado.

The Kumaraswamy Weibull distribution with application to failure data

For the first time, we introduce and study some mathematical properties of the Kumaraswamy Weibull distribution that is a quite flexible model in analyzing positive data. It contains as special sub-models the exponentiated Weibull, exponentiated Rayleigh, exponentiated exponential, Weibull and also the new Kumaraswamy exponential distribution. We provide explicit expressions for the moments and moment generating function. We examine the asymptotic distributions of the extreme values. Explicit expressions are derived for the mean deviations, Bonferroni and Lorenz curves, reliability and Renyi entropy. The moments of the order statistics are calculated. We also discuss the estimation of the parameters by maximum likelihood. We obtain the expected information matrix. We provide applications involving two real data sets on failure times. Finally, some multivariate generalizations of the Kumaraswamy Weibull distribution are discussed. (C) 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.