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.

Synaptic compensation on Hopfield network: implications for memory rehabilitation

The discrete-time neural network proposed by Hopfield can be used for storing and recognizing binary patterns. Here, we investigate how the performance of this network on pattern recognition task is altered when neurons are removed and the weights of the synapses corresponding to these deleted neurons are divided among the remaining synapses. Five distinct ways of distributing such weights are evaluated. We speculate how this numerical work about synaptic compensation may help to guide experimental studies on memory rehabilitation interventions.

Distribution and storage characterization of soil solution for drip irrigation

The increased use of marginal quality water with drip irrigation requires sound fertigation practices that reconcile environmental concerns with viable crop production objectives. We conducted experiments to characterize dynamics and patterns of soil solution within wet bulb formed by drip irrigation. Time-domain reflectometry probes were used to monitor the distribution of potassium nitrate (KNO(3)) and water distribution from drippers discharging at constant flow rates of 2, 4 and 8 L h(-1) in soil-filled containers. Considering results from different profiles, we observed greater solute storage near the dripper decreasing gradually towards the wetting front. About half of the applied KNO(3) solution (48%) was stored in the first layer (0-0.10 m) for all experiments, 29% was stored in the next layer (0.10-0.20 m). Comparing different dripper flow rates, we observed higher solution storage for 4 L h(-1), with 45, 53 and 47% of applied KNO(3) solution accumulating in the first layer (0-0.10 m) for dripper flow rates of 2, 4 and 8 L h(-1), respectively. The results suggest that based on the volume and frequency used in this experiment, it would be advantageous to apply small amounts of solution at more frequent intervals to reduce deep percolation losses of applied water and solutes.

ANALYSIS OF PRESSURE FLUCTUATIONS DURING WATER EVAPORATION IN SPOUTED BED

The aim of this work was to study the behaviour of conventional spouted beds during water evaporation and to analyze the pressure fluctuations at the maximum water evaporative capacity for different bed heights and air flow rates. The results showed that spout pressure drop could not indicate the proximity of maximum evaporative capacity; however this condition is denoted by a minimum in fountain height. The standard deviation and amplitude of the pressure fluctuations also showed a minimum point at the maximum water evaporation capacity. The frequency domain analysis of pressure fluctuations revealed that the dry bed has a dominant frequency varying from 6 to 8.2 Hz and that the peak of dominant frequency tends to disappear with the increase in water feed rate.

Gastric Bypass and Cardiac Autonomic Activity: Influence of Gender and Age

Obesity is associated with increased sympathetic activity and higher mortality. Treatment of this condition is often frustrating. Roux-en-Y gastric bypass is the most effective technique nowadays for treatment of obesity. The aim of the present study is to assess the effects of this surgery on the cardiac autonomic activity, including the influence of gender and age, through heart rate variability (HRV) analysis. The study group consisted of 71 obese patients undergoing gastric bypass. Time domain measures of HRV, obtained from 24-h Holter recordings, were evaluated before and 6 months after surgery, and the results were compared. Percentage of interval differences of successive normal sinus beats greater than 50 ms (pNN50) and square root of the mean squared differences of successive normal sinus beat intervals (rMSSD) was used to estimate the short-term components of HRV, related to the parasympathetic activity. Standard deviation of intervals between all normal sinus beats (SDNN) was related to overall HRV. SDNN, pNN50, and rMSSD showed significant increase 6 months after surgery (p < 0.001, p = 0.001 and p = 0.002, respectively). Men presented a greater increase of SDNN than women (p = 0.006) during the follow-up. There was a difference in rMSSD evolution for age groups (p = 0.002). Only younger patients presented significant increase of rMSSD. Overall HRV increased 6 months after surgery; this increase was more evident in men. Cardiac parasympathetic activity increased also, but in younger patients only.

Influence of Parasympathetic Modulation in Doppler Mitral Inflow Velocity in Individuals without Heart Disease

Background: The relation between left ventricular filing velocities determined by Doppler echocardiography and autonomic nervous system function assessed by heart rate variability (HRV) is unclear. The aim of this study was to evaluate the influence of the autonomic nervous system assessed by the time and frequency domain indices of HRV in the Doppler indices of left ventricular diastolic filling velocities in patients without heart disease. Methods: We studied 451 healthy individuals (255 female [56.4%]) with normal blood pressure, electrocardiogram, chest x-ray, and treadmill electrocardiographic exercise stress test results, with a mean age of 43 +/- 12 (range 15-82) years, who underwent transthoracic Doppler echocardiography and 24-hour electrocardiographic ambulatory monitoring. We studied indices of HRV on time (standard deviation [SD] of all normal sinus RR intervals during 24 hours, SD of averaged normal sinus RR intervals for all 5-minute segments, mean of the SD of all normal sinus RR intervals for all 5-minute segments, root-mean-square of the successive normal sinus RR interval difference, and percentage of successive normal sinus RR intervals > 50 ms) and frequency (low frequency, high frequency, very low frequency, low frequency/high frequency ratio) domains relative to peak flow velocity during rapid passive filling phase (E), atrial contraction (A), E/A ratio, E-wave deceleration time, and isovolumic relaxation time. Statistical analysis was performed with Pearson correlation and logistic regression. Results: Peak flow velocity during rapid passive filling phase (E) and atrial contraction (A), E/A ratio, and deceleration time of early mitral inflow did not demonstrate a significant correlation with indices of HRV in time and frequency domain. We found that the E/A ratio was < 1 in 45 individuals (10%). Individuals with an E/A ratio < 1 had lower indices of HRV in frequency domain (except low frequency/high frequency) and lower indices of the mean of the SD of all normal sinus RR intervals for all 5-minute segments, root-mean-square of the successive normal sinus RR interval difference, and percentage of successive normal sinus RR intervals > 50 ms in time domain. Logistic regression demonstrated that an E/A ratio < 1 was associated with lower HF. Conclusion: Individuals with no evidence of heart disease and an E/A ratio < 1 demonstrated a significant decrease in indexes of HRV associated with parasympathetic modulation. (J Am Soc Echocardiogr 2010;23: 762-5.)

Relationship between Optical Coherence Tomography, Pattern Electroretinogram and Automated Perimetry in Eyes with Temporal Hemianopia from Chiasmal Compression

PURPOSE. To evaluate the relationship between pattern electroretinogram (PERG) amplitude, macular and retinal nerve fiber layer (RNFL) thickness by optical coherence tomography (OCT), and visual field (VF) loss on standard automated perimetry (SAP) in eyes with temporal hemianopia from chiasmal compression. METHODS. Forty-one eyes from 41 patients with permanent temporal VF defects from chiasmal compression and 41 healthy subjects underwent transient full-field and hemifield (temporal or nasal) stimulation PERG, SAP and time domain-OCT macular and RNFL thickness measurements. Comparisons were made using Student`s t-test. Deviation from normal VF sensitivity for the central 18 of VF was expressed in 1/Lambert units. Correlations between measurements were verified by linear regression analysis. RESULTS. PERG and OCT measurements were significantly lower in eyes with temporal hemianopia than in normal eyes. A significant correlation was found between VF sensitivity loss and fullfield or nasal, but not temporal, hemifield PERG amplitude. Likewise a significant correlation was found between VF sensitivity loss and most OCT parameters. No significant correlation was observed between OCT and PERG parameters, except for nasal hemifield amplitude. A significant correlation was observed between several macular and RNFL thickness parameters. CONCLUSIONS. In patients with chiasmal compression, PERG amplitude and OCT thickness measurements were significant related to VF loss, but not to each other. OCT and PERG quantify neuronal loss differently, but both technologies are useful in understanding structure-function relationship in patients with chiasmal compression. (ClinicalTrials.gov number, NCT00553761.) (Invest Ophthalmol Vis Sci. 2009; 50: 3535-3541) DOI:10.1167/iovs.08-3093

Changes in hemodynamic and neurohumoral control cause cardiac damage in one-kidney, one-clip hypertensive mice

Borges GR, Salgado HC, Silva CA, Rossi MA, Prado CM, Fazan R Jr. Changes in hemodynamic and neurohumoral control cause cardiac damage in one-kidney, one-clip hypertensive mice. Am J Physiol Regul Integr Comp Physiol 295: R1904-R1913, 2008. First published October 1, 2008; doi:10.1152/ajpregu.00107.2008.-Sympathovagal balance and baroreflex control of heart rate (HR) were evaluated during the development (1 and 4 wk) of one-kidney, one-clip (1K1C) hypertension in conscious mice. The development of cardiac hypertrophy and fibrosis was also examined. Overall variability of systolic arterial pressure (AP) and HR in the time domain and baroreflex sensitivity were calculated from basal recordings. Methyl atropine and propranolol allowed the evaluation of the sympathovagal balance to the heart and the intrinsic HR. Staining of renal ANG II in the kidney and plasma renin activity (PRA) were also evaluated. One and four weeks after clipping, the mice were hypertensive and tachycardic, and they exhibited elevated sympathetic and reduced vagal tone. The intrinsic HR was elevated only 1 wk after clipping. Systolic AP variability was elevated, while HR variability and baroreflex sensitivity were reduced 1 and 4 wk after clipping. Renal ANG II staining and PRA were elevated only 1 wk after clipping. Concentric cardiac hypertrophy was observed at 1 and 4 wk, while cardiac fibrosis was observed only at 4 wk after clipping. In conclusion, these data further support previous findings in the literature and provide new features of neurohumoral changes during the development of 1K1C hypertension in mice. In addition, the 1K1C hypertensive model in mice can be an important tool for studies evaluating the role of specific genes relating to dependent and nondependent ANG II hypertension in transgenic mice.

Coda wave attenuation in the Parecis Basin, Amazon Craton, Brazil: sensitivity to basement depth

Small local earthquakes from two aftershock sequences in Porto dos GaA(0)chos, Amazon craton-Brazil, were used to estimate the coda wave attenuation in the frequency band of 1 to 24 Hz. The time-domain coda-decay method of a single backscattering model is employed to estimate frequency dependence of the quality factor (Q (c)) of coda waves modeled usingwhere Q (0) is the coda quality factor at frequency of 1 Hz and eta is the frequency parameter. We also used the independent frequency model approach (Morozov, Geophys J Int, 175:239-252, 2008), based in the temporal attenuation coefficient, chi(f) instead of Q(f), given by the equation for the calculation of the geometrical attenuation (gamma) and effective attenuation Q (c) values have been computed at central frequencies (and band) of 1.5 (1-2), 3.0 (2-4), 6.0 (4-8), 9.0 (6-12), 12 (8-16), and 18 (12-24) Hz for five different datasets selected according to the geotectonic environment as well as the ability to sample shallow or deeper structures, particularly the sediments of the Parecis basin and the crystalline basement of the Amazon craton. For the Parecis basin for the surrounding shield and for the whole region of Porto dos GaA(0)chos Using the independent frequency model, we found: for the cratonic zone, gamma = 0.014 s (-aEuro parts per thousand 1), nu a parts per thousand 1.12; for the basin zone with sediments of similar to 500 m, gamma = 0.031 s (-aEuro parts per thousand 1), nu a parts per thousand 1.27; and for the Parecis basin with sediments of similar to 1,000 m, gamma = 0.047 s (-aEuro parts per thousand 1), nu a parts per thousand 1.42. Analysis of the attenuation factor (Q (c)) for different values of the geometrical spreading parameter (nu) indicated that an increase of nu generally causes an increase in Q (c), both in the basin as well as in the craton. But the differences in the attenuation between different geological environments are maintained for different models of geometrical spreading. It was shown that the energy of coda waves is attenuated more strongly in the sediments, (in the deepest part of the basin), than in the basement, (in the craton). Thus, the coda wave analysis can contribute to studies of geological structures in the upper crust, as the average coda quality factor is dependent on the thickness of sedimentary layer.

The Diffusion Kernel Filter

A particle filter method is presented for the discrete-time filtering problem with nonlinear ItA ` stochastic ordinary differential equations (SODE) with additive noise supposed to be analytically integrable as a function of the underlying vector-Wiener process and time. The Diffusion Kernel Filter is arrived at by a parametrization of small noise-driven state fluctuations within branches of prediction and a local use of this parametrization in the Bootstrap Filter. The method applies for small noise and short prediction steps. With explicit numerical integrators, the operations count in the Diffusion Kernel Filter is shown to be smaller than in the Bootstrap Filter whenever the initial state for the prediction step has sufficiently few moments. The established parametrization is a dual-formula for the analysis of sensitivity to gaussian-initial perturbations and the analysis of sensitivity to noise-perturbations, in deterministic models, showing in particular how the stability of a deterministic dynamics is modeled by noise on short times and how the diffusion matrix of an SODE should be modeled (i.e. defined) for a gaussian-initial deterministic problem to be cast into an SODE problem. From it, a novel definition of prediction may be proposed that coincides with the deterministic path within the branch of prediction whose information entropy at the end of the prediction step is closest to the average information entropy over all branches. Tests are made with the Lorenz-63 equations, showing good results both for the filter and the definition of prediction.

Fermion perturbations in string theory black holes

In this paper we study fermion perturbations in four-dimensional black holes of string theory, obtained either from a non-extreme configuration of three intersecting five-branes with a boost along the common string or from a non-extreme intersecting system of two two-branes and two five-branes. The Dirac equation for the massless neutrino field, after conformal re-scaling of the metric, is written as a wave equation suitable to study the time evolution of the perturbation. We perform a numerical integration of the evolution equation, and with the aid of Prony fitting of the time-domain profile, we calculate the complex frequencies that dominate the quasinormal ringing stage, and also determine these quantities by the semi-analytical sixth-order WKB method. We also find numerically the decay factor of fermion fields at very late times, and show that the falloff is identical to those showing for massless fields in other four-dimensional black hole spacetimes.

Measurement of Rydberg state lifetimes using cold trapped neutral atoms

In this paper, I review some recent high-precision Rydberg state lifetime measurements using a cold-trapped sample of neutral atoms held in a magneto-optical trap. The measurements were performed in rubidium for the S, P and D states varying the principal quantum number from n = 26 to 45 using the field ionization technique. The experimental results were compared with quantum mechanical calculations and good agreement was observed. This is an important demonstration of how cold atomic samples can be used to perform high-precision spectroscopy in the time domain.

RUMOR PROCESSES ON N

We study four discrete-time stochastic systems on N, modeling processes of rumor spreading. The involved individuals can either have an active or a passive role, speaking up or asking for the rumor. The appetite for spreading or hearing the rumor is represented by a set of random variables whose distributions may depend on the individuals. Our goal is to understand-based on the distribution of the random variables-whether the probability of having an infinite set of individuals knowing the rumor is positive or not.

Room Temperature Ionic Liquid-Lithium Salt Mixtures: Optical Kerr Effect Dynamical Measurements

The addition of lithium salts to ionic liquids causes an increase in viscosity and a decrease in ionic mobility that hinders their possible application as an alternative solvent in lithium ion batteries. Optically heterodyne-detected optical Kerr effect spectroscopy was used to study the change in dynamics, principally orientational relaxation, caused by the addition of lithium bis(trifluoromethylsulfonyl)imide to the ionic liquid 1-buty1-3-methylimidazolium bis(trifluoromethylsulfonyl)imide. Over the time scales studied (1 ps-16 ns) for the pure ionic liquid, two temperature-independent power laws were observed: the intermediate power law (1 ps to similar to 1 ns), followed by the von Schweidler power law. The von Schweidler power law is followed by the final complete exponential relaxation, which is highly sensitive to temperature. The lithium salt concentration, however, was found to affect both power laws, and a discontinuity could be found in the trend observed for the intermediate power law when the concentration (mole fraction) of lithium salt is close to chi(LiTf(2)N) = 0.2. A mode coupling theory (MCT) schematic model was also used to fit the data for both the pure ionic liquid and the different salt concentration mixtures. It was found that dynamics in both types of liquids are described very well by MCT.

Effects of Extrusion on the Emulsifying Properties of Rumen and Soy Protein

Defatted rumen protein and soy protein concentrate were extruded in a 15.5:1 L/D single-screw extruder at the optimum conditions for their expansion (150A degrees C and 35% moisture, and 130A degrees C and 35% moisture, respectively). Emulsions were produced with these proteins and studied by rheology and time domain low-resolution (1)H nuclear magnetic resonance (TD-NMR). Extrusion increased storage modulus of rumen protein emulsions. The opposite was observed for soy protein. Mechanical relaxation showed the existence of three relaxing components in the emulsions whose relative contributions were changed by extrusion. Likewise, spin-spin relaxation time constants (T (2)) measured by TD-NMR also showed three major distinct populations of protons in respect to their mobility that were also altered by extrusion. Extrusion increased surface hydrophobicity of both rumen and soy protein. Solubility of rumen protein increased with extrusion whereas soy protein had its solubility decreased after processing. Extrusion promoted molecular reorganization of protein, increasing its superficial hydrophobicity, affecting its interfacial properties and improving its emulsifying behavior. The results show that extrusion can promote the use of rumen, a by-product waste from the meat industry, in human nutrition by replacing soy protein in food emulsions.