Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 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.

Extensions of discrete triangular distributions and boundary bias in kernel estimation for discrete functions

Asymmetric discrete triangular distributions are introduced in order to extend the symmetric ones serving for discrete associated kernels in the nonparametric estimation for discrete functions. The extension from one to two orders around the mode provides a large family of discrete distributions having a finite support. Establishing a bridge between Dirac and discrete uniform distributions, some different shapes are also obtained and their properties are investigated. In particular, the mean and variance are pointed out. Applications to discrete kernel estimators are given with a solution to a boundary bias problem. (C) 2010 Elsevier B.V. All rights reserved.

Using a New Criterion to Identify Sites for Mean Soil Water Storage Evaluation

Establishing a few sites in which measurements of soil water storage (SWS) are time stable significantly reduces the efforts involved in determining average values of SWS. This study aimed to apply a new criterion the mean absolute bias error (MABE)-to identify temporally stable sites for mean SWS evaluation. The performance of MABE was compared with that of the commonly used criterion, the standard deviation of relative difference (SDRD). From October 2004 to October 2008, SWS of four soil layers (0-1.0, 1.0-2.0,2.0-3.0, and 3.0-4.0 m) was measured, using a neutron probe, at 28 sites on a hillslope of the Loess Plateau, China. A total of 37 SWS data sets taken over time were divided into two subsets, the first consisting of 22 dates collected during the calibration period from October 2004 to September 2006, and the second with 15 dates collected during the validation period from October 2006 to October 2008. The results showed that if a critical value of 5% for MABE was defined, more than half the sites were temporally stable for both periods, and the number of temporally stable sires generally increased with soil depth. Compared with SDRD, MABE was more suitable for the identification of time-stable sites for mean SS prediction. Since the absolute prediction error of drier sites is more sensitive to changes in relative difference in terms of mean SWS prediction, the sites of wet sectors should be preferable for mean SWS prediction for the same changes in relative difference.

Effectiveness of the CAGE questionnaire, gamma-glutamyltransferase and mean corpuscular volume of red blood cells as markers for alcohol-related problems in the workplace

Objective: To evaluate the usefulness of gamma-glutamyltransferase (GGT) and mean corpuscular volume (MCV), as well as that of the CAGE questionnaire, in workplace screening for alcohol abuse/dependence. Methods: A total of 183 male employees were submitted to structured interviews (Structured Clinical Interview for DSM-IV 2.0 and CAGE questionnaire). Blood samples were collected. Diagnostic accuracy and odds ratio were determined for the CAGE, GGT and MCV. Results: The CAGE questionnaire presented the best sensitivity for alcohol dependence (91%; specificity, 87.8%) and for alcohol abuse (87.5%, specificity, 80.9%), which increased when the questionnaire was used in combination with GGT (sensitivity, 100% and 87.5%, respectively; specificity, 68% and 61.5, respectively). CAGE positive results and/or alterations in GGT were less likely to occur among employees not presenting alcohol abuse/ dependence than among those presenting such abuse (OR for CAGE = 13, p < 0.05; OR for CAGE-GGT = 11, p < 0.05) or dependence (OR for CAGE = 76, p < 0.0 1; OR for GGT = 5, p < 0.0 1). Employees not presenting alcohol abuse/dependence were also several times more likely to present negative CAGE or GGT results. Conclusions: The use short, simple questionnaires, combined with that of low-cost biochemical markers, such as GGT, can serve as an initial screening for alcohol-related problems, especially for employees in hazardous occupations. The data provided can serve to corroborate clinical findings. (C) 2008 Elsevier Ltd. All rights reserved.

Absence of lymph nodes in the resected specimen after radical surgery for distal rectal cancer and neoadjuvant chemoradiation therapy: What does it mean?

Purpose: The number of retrieved lymph nodes during radical surgery has been considered of great importance to ensure adequate staging and radical resection. However, this finding may not be applicable after neoadjuvant therapy in which, not only is there a decrease in lymph nodes recovered, but also a subgroup of patients with absence of lymph nodes in the resected specimen. Methods: Patients with absence of lymph nodes were compared with patients with ypN0 disease and patients with ypN+ disease. Results: Thirty-two patients (11 percent) had absence of lymph nodes, 171 patients (61 percent) had ypN0 disease, and 78 patients (28 percent) had ypN+ disease. Patients with absence of lymph nodes had significantly lower ypT status (ypT0-1, 40 vs. 13 percent; P < 0.001) and decreased risk of perineural invasion (6 vs. 21 percent; P = 0.04) compared with ypN0 patients. Five-year disease-free survival (74 percent) was similar to patients with ypN0 (59 percent; P = 0.2), and both were significantly better than patients with ypN+ disease (30 percent; P < 0.001). Conclusions: Absence of lymph nodes retrieved from the resected specimen is associated with favorable pathologic features (ypT and perineural invasion status) and good disease-free survival rates. In this setting, absence of retrieved lymph nodes may reflect improved response to neoadjuvant chemoradiation therapy rather than inappropriate or suboptimal oncologic radicality.

Pulmonary involvement in pleural tuberculosis: How often does it mean disease activity?

Objective: To evaluate in chest X-rays and high-resolution computed tomographies of patients with pleural tuberculosis, the incidence of parenchymal and mediastinal lung lesions suggestive of active disease. Methods: Prospective study (2008-2009) evaluating the radiographic and tomographic abnormalities of 88 HIV-negative patients with pleural tuberculosis (unilateral effusion). The images were reviewed by 3 independent specialists, and the observed changes were classified according to previously established criteria: presence or absence of signs suggestive of disease activity, and nonspecific findings. Results: Abnormal changes were observed in chest X-rays of 22 (25%) patients and in the computed tomography of 55 (63%). Images compatible with active pulmonary tuberculosis were detected by radiography in 9 (10%) patients and by tomography in 38 (43%). Only 4 (4.5%) patients had tomography images suggestive of residual disease. Conclusion: The present study demonstrates that pulmonary involvement is quite common in pleural tuberculosis. This finding is mainly observed in high-resolution computed tomography and has important epidemiological implications, since patients with pleural tuberculosis are significant sources of infection and disease dissemination. (C) 2011 Elsevier Ltd. All rights reserved.

Spontaneous Interblink Time Distributions in Patients with Graves` Orbitopathy and Normal Subjects

PURPOSE. To determine the shape of spontaneous interblink time interval distributions obtained in a long observation period in normal subjects and patients with Graves` orbitopathy. METHODS. The magnetic search coil technique was used to register the spontaneous blinking activity during 1 hour of video observation of two groups of 10 subjects each (normal controls aged 27-61 years, mean +/- SD = 46.0 +/- 13.6; patients with Graves` orbitopathy aged 33-61 years, mean +/- SD +/- 46.7 +/- 8.9). The spontaneous blink rate of each subject was calculated for the entire period of observation and for 56 five-minute bins. Histograms of the interblink time interval were plotted for each measurement of blink rate. RESULTS. Neither the overall mean blink rate (controls, 19.8 +/- 4.9; Graves`, 17.6 +/- 5.4) nor the interblink time (controls, 5.2 +/- 3.1, Graves`, 7.9 +/- 3.5) differed between the two groups. There was a large variation of both measurements when the 5-minute bins were considered. The interblink time distribution of all subjects was highly positively skewed when the 1-hour period was measured. A significant number of the 5-minute bin distributions deviated from the overall pattern and became symmetric. CONCLUSIONS. The normal blinking process is characterized by highly positively skewed interblink time distributions. This result means that most blinks have a short time interval, and occasionally a small number of blinks have long time intervals. The different patterns of distribution described in the early literature probably represent artifacts because of the small samples analyzed. (Invest Ophthalmol Vis Sci. 2011;52:3419-3424) DOI:10.1167/iovs.10-7060

Rossby wave propagation tracks in southern hemisphere mean basic flows associated to generalized frosts over southern South America

Based on previous observational studies on cold extreme events over southern South America, some recent studies suggest a possible relationship between Rossby wave propagation remotely triggered and the occurrence of frost. Using the concept of linear theory of Rossby wave propagation, this paper analyzes the propagation of such waves in two different basic states that correspond to austral winters with maximum and minimum generalized frost frequency of occurrence in the Wet Pampa (central-northwest Argentina). In order to determine the wave trajectories, the ray tracing technique is used in this study. Some theoretical discussion about this technique is also presented. The analysis of the basic state, from a theoretical point of view and based on the calculation of ray tracings, corroborates that remotely excited Rossby waves is the mechanism that favors the maximum occurrence of generalized frosts. The basic state in which the waves propagate is what conditions the places where they are excited. The Rossby waves are excited in determined places of the atmosphere, propagating towards South America along the jet streams that act as wave guides, favoring the generation of generalized frosts. In summary, this paper presents an overview of the ray tracing technique and how it can be used to investigate an important synoptic event, such as frost in a specific region, and its relationship with the propagation of large scale planetary waves.

Dynamic portrait of the planetary 2/1 mean-motion resonance - I. Systems with a more massive outer planet

We analyse the global structure of the phase space of the planar planetary 2/1 mean-motion resonance in cases where the outer planet is more massive than its inner companion. Inside the resonant domain, we show the existence of two families of periodic orbits, one associated to the librational motion of resonant angle (sigma-family) and the other related to the circulatory motion of the difference in longitudes of pericentre (Delta pi-family). The well-known apsidal corotation resonances (ACR) appear as intersections between both families. A complex web of secondary resonances is also detected for low eccentricities, whose strengths and positions are dependent on the individual masses and spatial scale of the system. The construction of dynamical maps for various values of the total angular momentum shows the evolution of the families of stable motion with the eccentricities, identifying possible configurations suitable for exoplanetary systems. For low-moderate eccentricities, several different stable modes exist outside the ACR. For larger eccentricities, however, all stable solutions are associated to oscillations around the stationary solutions. Finally, we present a possible link between these stable families and the process of resonance capture, identifying the most probable routes from the secular region to the resonant domain, and discussing how the final resonant configuration may be affected by the extension of the chaotic layer around the resonance region.

On the development of summer thunderstorms in the city of Sao Paulo: Mean meteorological characteristics and pollution effect

This study investigates how the summer thunderstorms developed over the city of Sao Paulo and if the pollution might affect its development or characteristics during the austral summer (December-January-February-March, DJFM months). A total of 605 days from December 1999 to March 2004 was separated as 241 thunderstorms days (TDs) and 364 non-thunderstorm days (NTDs). The analyses are performed by using hourly measurements of air temperature (T), web-bulb temperature (Tw), surface atmospheric pressure (P), wind velocity and direction, rainfall and thunder and lightning observations collected at the Meteorological Station of the University of Sao Paulo in conjunction with aerosol measurements obtained by AERONET (Aerosol Robotic Network), and the NCEP-DOE (National Centers for Environmental Prediction Department of Energy) reanalysis and radiosondes. The wind diurnal cycle shows that for TDs the morning flow is from the northwest rotating to the southeast after 16: 00 local time (LT) and it remains from the east until the night. For the NTDs, the wind is well characterized by the sea-breeze circulation that in the morning has the wind blowing from the northeast and in the afternoon from the southeast. The TDs show that the air temperature diurnal cycle presents higher amplitude and the maximum temperature of the day is 3.2 degrees C higher than in NTDs. Another important factor found is the difference between moisture that is higher during TDs. In terms of precipitation, the TDs represent 40% of total of days analyzed and those days are responsible for more than 60% of the total rain accumulation during the summer, for instance 50% of the TDs had more than 15.5mm day(-1) while the NTDs had 4 mm day(-1). Moreover, the rainfall distribution shows that TDs have higher rainfall rate intensities and an afternoon precipitation maximum; while in the NTDs there isn`t a defined precipitation diurnal cycle. The wind and temperature fields from NCEP reanalysis concur with the local weather station and radiosonde observations. The NCEP composites show that TDs are controlled by synoptic circulation characterized by a pre-frontal situation, with a baroclinic zone situated at southern part of Sao Paulo. In terms of pollution, this study employed the AERONET data to obtain the main aerosol characteristics in the atmospheric column for both TDs and NTDs. The particle size distribution and particle volume size distribution have similar concentrations for both TDs and NTDs and present a similar fine and coarse mode mean radius. In respect to the atmospheric loading, the aerosol optical depth (AOD) at different frequencies presented closed mean values for both TDs and NTDs that were statistically significant at 95% level. The spectral dependency of those values in conjunction with the Angstrom parameter reveal the higher concentration of the fine mode particles that are more likely to be hygroscopic and from urban areas. In summary, no significant aerosol effect could be found on the development of summer thunderstorms, suggesting the strong synoptic control by the baroclinic forcing for deep convective development. (C) 2010 Published by Elsevier B. V.

CONSTRUCTING QUANTUM OBSERVABLES AND SELF-ADJOINT EXTENSIONS OF SYMMETRIC OPERATORS. III. SELF-ADJOINT BOUNDARY CONDITIONS

This paper completes the review of the theory of self-adjoint extensions of symmetric operators for physicists as a basis for constructing quantum-mechanical observables. It contains a comparative presentation of the well-known methods and a newly proposed method for constructing ordinary self-adjoint differential operators associated with self-adjoint differential expressions in terms of self-adjoint boundary conditions. The new method has the advantage that it does not require explicitly evaluating deficient subspaces and deficiency indices (these latter are determined in passing) and that boundary conditions are of explicit character irrespective of the singularity of a differential expression. General assertions and constructions are illustrated by examples of well-known quantum-mechanical operators like momentum and Hamiltonian.

Mean Motion in Stochastic Plasmas With a Space-Dependent Diffusion Coefficient

Radial transport in the tokamap, which has been proposed as a simple model for the motion in a stochastic plasma, is investigated. A theory for previous numerical findings is presented. The new results are stimulated by the fact that the radial diffusion coefficients is space-dependent. The space-dependence of the transport coefficient has several interesting effects which have not been elucidated so far. Among the new findings are the analytical predictions for the scaling of the mean radial displacement with time and the relation between the Fokker-Planck diffusion coefficient and the diffusion coefficient from the mean square displacement. The applicability to other systems is also discussed. (c) 2009 WILEY-VCH GmbH & Co. KGaA, Weinheim

Spin Hall Effect in Symmetric Wells with Two Subbands

We investigate the spin Hall conductivity sigma (xy) (z) of a clean 2D electron gas formed in a two-subband well. We determine sigma (xy) (z) as arising from the inter-subband induced spin-orbit (SO) coupling eta (Calsaverini et al., Phys. Rev. B 78:155313, 2008) via a linear-response approach due to Rashba. By self-consistently calculating eta for realistic wells, we find that sigma (xy) (z) presents a non-monotonic (and non-universal) behavior and a sign change as the Fermi energy varies between the subband edges. Although our sigma (xy) (z) is very small (i.e., a parts per thousand(a)`` e/4 pi aEuro(3)), it is non-zero as opposed to linear-in-k SO models.