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.

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.

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.

Spatial portability of numerical models of leaf wetness duration based on empirical approaches

Leaf wetness duration (LWD) models based on empirical approaches offer practical advantages over physically based models in agricultural applications, but their spatial portability is questionable because they may be biased to the climatic conditions under which they were developed. In our study, spatial portability of three LWD models with empirical characteristics - a RH threshold model, a decision tree model with wind speed correction, and a fuzzy logic model - was evaluated using weather data collected in Brazil, Canada, Costa Rica, Italy and the USA. The fuzzy logic model was more accurate than the other models in estimating LWD measured by painted leaf wetness sensors. The fraction of correct estimates for the fuzzy logic model was greater (0.87) than for the other models (0.85-0.86) across 28 sites where painted sensors were installed, and the degree of agreement k statistic between the model and painted sensors was greater for the fuzzy logic model (0.71) than that for the other models (0.64-0.66). Values of the k statistic for the fuzzy logic model were also less variable across sites than those of the other models. When model estimates were compared with measurements from unpainted leaf wetness sensors, the fuzzy logic model had less mean absolute error (2.5 h day(-1)) than other models (2.6-2.7 h day(-1)) after the model was calibrated for the unpainted sensors. The results suggest that the fuzzy logic model has greater spatial portability than the other models evaluated and merits further validation in comparison with physical models under a wider range of climate conditions. (C) 2010 Elsevier B.V. All rights reserved.

Exponential Rates of Convergence in the Ergodic Theorem: A Constructive Approach

We prove that, once an algorithm of perfect simulation for a stationary and ergodic random field F taking values in S(Zd), S a bounded subset of R(n), is provided, the speed of convergence in the mean ergodic theorem occurs exponentially fast for F. Applications from (non-equilibrium) statistical mechanics and interacting particle systems are presented.

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.

Baseline hippocampal theta oscillation speeds correlate with rate of operant task acquisition

Many lines of evidence indicate that theta rhythm, a prominent neural oscillatory mode found in the mammalian hippocampus, plays a key role in the acquisition, processing, and retrieval of memories. However, a predictive neurophysiological feature of the baseline theta rhythm that correlates with the learning rate across different animals has yet to be identified. Here we show that the mean theta rhythm speed observed during baseline periods of immobility has a strong positive correlation with the rate at which rats learn an operant task. This relationship is observed across rats, during both quiet waking (r=0.82; p<0.01) and paradoxical sleep (r=0.83; p<0.01), suggesting that the basal theta frequency relates to basic neurological processes that are important in the acquisition of operant behavior. (c) 2008 Elsevier B.V. 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.

Direct measurement of instantaneous source speed for a HDR brachytherapy unit using an optical fiber based detector

Purpose: Several attempts to determine the transit time of a high dose rate (HDR) brachytherapy unit have been reported in the literature with controversial results. The determination of the source speed is necessary to accurately calculate the transient dose in brachytherapy treatments. In these studies, only the average speed of the source was measured as a parameter for transit dose calculation, which does not account for the realistic movement of the source, and is therefore inaccurate for numerical simulations. The purpose of this work is to report the implementation and technical design of an optical fiber based detector to directly measure the instantaneous speed profile of a (192)Ir source in a Nucletron HDR brachytherapy unit. Methods: To accomplish this task, we have developed a setup that uses the Cerenkov light induced in optical fibers as a detection signal for the radiation source moving inside the HDR catheter. As the (192)Ir source travels between two optical fibers with known distance, the threshold of the induced signals are used to extract the transit time and thus the velocity. The high resolution of the detector enables the measurement of the transit time at short separation distance of the fibers, providing the instantaneous speed. Results: Accurate and high resolution speed profiles of the 192Ir radiation source traveling from the safe to the end of the catheter and between dwell positions are presented. The maximum and minimum velocities of the source were found to be 52.0 +/- 1.0 and 17.3 +/- 1:2 cm/s. The authors demonstrate that the radiation source follows a uniformly accelerated linear motion with acceleration of vertical bar a vertical bar = 113 cm/s(2). In addition, the authors compare the average speed measured using the optical fiber detector to those obtained in the literature, showing deviation up to 265%. Conclusions: To the best of the authors` knowledge, the authors directly measured for the first time the instantaneous speed profile of a radiation source in a HDR brachytherapy unit traveling from the unit safe to the end of the catheter and between interdwell distances. The method is feasible and accurate to implement on quality assurance tests and provides a unique database for efficient computational simulations of the transient dose. (C) 2010 American Association of Physicists in Medicine. [DOI: 10.1118/1.3483780]

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.

Influence of thermal and mechanical cycling on the flexural strength of ceramics with titanium or gold alloy frameworks

Objectives. The aim of this study was to evaluate the effect of thermal and mechanical cycling alone or in combination, on the flexural strength of ceramic and metallic frameworks cast in gold alloy or titanium. Methods. Metallic frameworks (25 mm x 3 mm x 0.5 mm) (N = 96) cast in gold alloy or commercial pure titanium (Ti cp) were obtained using acrylic templates. They were airborne particle-abraded with 150 mu m aluminum oxide at the central area of the frameworks (8 mm x 3 mm). Bonding agent and opaque were applied on the particle-abraded surfaces and the corresponding ceramic for each metal was fired onto them. The thickness of the ceramic layer was standardized by positioning the frameworks in a metallic template (height: I mm). The specimens from each ceramic-metal combination (N = 96, n = 12 per group) were randomly assigned into four experimental fatigue conditions, namely water storage at 37 degrees C for 24 h (control group), thermal cycling (3000 cycles, between 4 and 55 degrees C, dwell time: 10 s), mechanical cycling (20,000 cycles under 10 N load, immersion in distilled water at 37 degrees C) and, thermal and mechanical cycling. A flexural strength test was performed in a universal testing machine (crosshead speed: 1.5 mm/min). Data were statistically analyzed using two-way ANOVA and Tukey`s test (alpha = 0.05). Results. The mean flexural strength values for the ceramic-gold alloy combination (55 +/- 7.2MPa) were significantly higher than those of the ceramic-Ti cp combination (32 +/- 6.7 MPa) regardless of the fatigue conditions performed (p < 0.05). Mechanical and thermo-mechanical fatigue decreased the flexural strength results significantly for both ceramic-gold alloy (52 +/- 6.6 and 53 +/- 5.6 MPa, respectively) and ceramic-Ti cp combinations (29 +/- 6.8 and 29 +/- 6.8 MPa, respectively) compared to the control group (58 +/- 7.8 and 39 SA MPa, for gold and Ti cp, respectively) (p < 0.05) (Tukey`s test). While ceramic-Ti cp combinations failed adhesively at the metal-opaque interface, gold alloy frameworks exhibited a residue of ceramic material on the surface in all experimental groups. Significance. Mechanical and thermo-mechanical fatigue conditions decreased the flexural strength values for both ceramic-gold alloy and ceramic-Ti cp combinations with the results being significantly lower for the latter in all experimental conditions. (C) 2007 Academy of Dental Materials. Published by Elsevier Ltd. All rights reserved.

Adjuncts to Physical Training of Patients With Severe COPD: Oxygen or Noninvasive Ventilation?

BACKGROUND: Previous studies have shown positive effects from noninvasive ventilation (NIV) or supplemental oxygen on exercise capacity in patients with COPD. However, the best adjunct for promoting physiologic adaptations to physical training in patients with severe COPD remains to be investigated. METHODS: Twenty-eight patients (mean +/- SD age 68 +/- 7 y) with stable COPD (FEV(1) 34 +/- 9% of predicted) undergoing an exercise training program were randomized to either NIV (n = 14) or supplemental oxygen (n = 14) during group training to maintain peripheral oxygen saturation (S(pO2)) >= 90%. Physical training consisted of treadmill walking (at 70% of maximal speed) 3 times a week, for 6 weeks. Patients were assessed at baseline and after 6 weeks. Assessments included physiological adaptations during incremental exercise testing (ratio of lactate concentration to walk speed, oxygen uptake [(V) over dot(O2)], and dyspnea), exercise tolerance during 6-min walk test, leg fatigue, maximum inspiratory pressure, and health-related quality of life. RESULTS: Two patients in each group dropped out due to COPD exacerbations and lack of exercise program adherence, and 24 completed the training program. Both groups improved 6-min walk distance, symptoms, and health-related quality of life. However, there were significant differences between the NIV and supplemental-oxygen groups in lactate/speed ratio (33% vs -4%), maximum inspiratory pressure (80% vs 23%), 6-min walk distance (122 m vs 47 m), and leg fatigue (25% vs 11%). In addition, changes in S(pO2)/speed, (V) over dot(O2), and dyspnea were greater with NIV than with supplemental-oxygen. CONCLUSIONS: NIV alone is better than supplemental oxygen alone in promoting beneficial physiologic adaptations to physical exercise in patients with severe COPD.

Processing Speed and Working Memory Span: Their Differential Role in Superficial and Deep Memory Processes in Schizophrenia

Previous work has suggested that decrement in both processing speed and working memory span plays a role in the memory impairment observed in patients with schizophrenia. We undertook a study to examine simultaneously the effect of these two factors. A sample of 49 patients with schizophrenia and 43 healthy controls underwent a battery of verbal and visual memory tasks. Superficial and deep encoding memory measures were tallied. We conducted regression analyses on the various memory measures, using processing speed and working memory span as independent variables. In the patient group, processing speed was a significant predictor of superficial and deep memory measures in verbal and visual memory. Working memory span was an additional significant predictor of the deep memory measures only. Regression analyses involving all participants revealed that the effect of diagnosis on all the deep encoding memory measures was reduced to non-significance when processing speed was entered in the regression. Decreased processing speed is involved in verbal and visual memory deficit in patients, whether the task require superficial or deep encoding. Working memory is involved only insofar as the task requires a certain amount of effort. (JINS, 2011, 17, 485-493)