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.

On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain

We consider in this paper the optimal stationary dynamic linear filtering problem for continuous-time linear systems subject to Markovian jumps in the parameters (LSMJP) and additive noise (Wiener process). It is assumed that only an output of the system is available and therefore the values of the jump parameter are not accessible. It is a well known fact that in this setting the optimal nonlinear filter is infinite dimensional, which makes the linear filtering a natural numerically, treatable choice. The goal is to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the mean square estimation error. It is shown that an explicit analytical solution to this optimal filtering problem is obtained from the stationary solution associated to a certain Riccati equation. It is also shown that the problem can be formulated using a linear matrix inequalities (LMI) approach, which can be extended to consider convex polytopic uncertainties on the parameters of the possible modes of operation of the system and on the transition rate matrix of the Markov process. As far as the authors are aware of this is the first time that this stationary filtering problem (exact and robust versions) for LSMJP with no knowledge of the Markov jump parameters is considered in the literature. Finally, we illustrate the results with an example.

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.

Singular Perturbation for the Discounted Continuous Control of Piecewise Deterministic Markov Processes

This paper deals with the expected discounted continuous control of piecewise deterministic Markov processes (PDMP`s) using a singular perturbation approach for dealing with rapidly oscillating parameters. The state space of the PDMP is written as the product of a finite set and a subset of the Euclidean space a""e (n) . The discrete part of the state, called the regime, characterizes the mode of operation of the physical system under consideration, and is supposed to have a fast (associated to a small parameter epsilon > 0) and a slow behavior. By using a similar approach as developed in Yin and Zhang (Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach, Applications of Mathematics, vol. 37, Springer, New York, 1998, Chaps. 1 and 3) the idea in this paper is to reduce the number of regimes by considering an averaged model in which the regimes within the same class are aggregated through the quasi-stationary distribution so that the different states in this class are replaced by a single one. The main goal is to show that the value function of the control problem for the system driven by the perturbed Markov chain converges to the value function of this limit control problem as epsilon goes to zero. This convergence is obtained by, roughly speaking, showing that the infimum and supremum limits of the value functions satisfy two optimality inequalities as epsilon goes to zero. This enables us to show the result by invoking a uniqueness argument, without needing any kind of Lipschitz continuity condition.

New simple and efficient heuristics for the uncapacitated single allocation hub location problem

Hub-and-spoke networks are widely studied in the area of location theory. They arise in several contexts, including passenger airlines, postal and parcel delivery, and computer and telecommunication networks. Hub location problems usually involve three simultaneous decisions to be made: the optimal number of hub nodes, their locations and the allocation of the non-hub nodes to the hubs. In the uncapacitated single allocation hub location problem (USAHLP) hub nodes have no capacity constraints and non-hub nodes must be assigned to only one hub. In this paper, we propose three variants of a simple and efficient multi-start tabu search heuristic as well as a two-stage integrated tabu search heuristic to solve this problem. With multi-start heuristics, several different initial solutions are constructed and then improved by tabu search, while in the two-stage integrated heuristic tabu search is applied to improve both the locational and allocational part of the problem. Computational experiments using typical benchmark problems (Civil Aeronautics Board (CAB) and Australian Post (AP) data sets) as well as new and modified instances show that our approaches consistently return the optimal or best-known results in very short CPU times, thus allowing the possibility of efficiently solving larger instances of the USAHLP than those found in the literature. We also report the integer optimal solutions for all 80 CAB data set instances and the 12 AP instances up to 100 nodes, as well as for the corresponding new generated AP instances with reduced fixed costs. Published by Elsevier Ltd.

The single machine earliness and tardiness scheduling problem: lower bounds and a branch-and-bound algorithm

This paper addresses the single machine scheduling problem with a common due date aiming to minimize earliness and tardiness penalties. Due to its complexity, most of the previous studies in the literature deal with this problem using heuristics and metaheuristics approaches. With the intention of contributing to the study of this problem, a branch-and-bound algorithm is proposed. Lower bounds and pruning rules that exploit properties of the problem are introduced. The proposed approach is examined through a computational comparative study with 280 problems involving different due date scenarios. In addition, the values of optimal solutions for small problems from a known benchmark are provided.

Social behaviour of collared peccaries (Pecari tajacu) under three space allowances

Captive breeding of peccaries is on the increase in neotropical countries. Few studies, however, have reported behavioural responses of wild animals under farmed conditions. Therefore, the aim of this study was to evaluate the effects of space allowance on the occurrence of social behaviour patterns on farmed collared peccary (Pecan tajacu). We observed three herds of collared peccaries each containing eight acquainted individuals. Using a 3 x 3 Latin square design, herds were allocated, in a random order, to one of the three experimental enclosures, each with a different size. 375, 750 and 1,500 m(2) of total available area, each with three wooden shelters. We recorded all the occurrences of selected positive and agonistic behavioural patterns that occurred 90 min before and during feeding Enclosure size had a significant effect on agonistic patterns of peccaries during feeding, in that more agonistic behaviour was observed in smaller spaces We also found that shelter usage increased as space decreased Differing space allowances, however, did not have an effect on the occurrence of positive interactions that were more frequent before compared to during feeding. We concluded that enclosure size had an effect on the expression of agonistic be and the use of shelters by collared peccaries Thus, animal welfare can be improved by adopting at least 187 5 m(2) per peccary. In addition, our study also confirmed the importance of shelter areas in collared peccary husbandry.

Performance of a multi-level TDR system exposed to tropical field conditions - A time-space comparison with tensiometry

Time-domain reflectometry (TDR) is an important technique to obtain series of soil water content measurements in the field. Diode-segmented probes represent an improvement in TDR applicability, allowing measurements of the soil water content profile with a single probe. In this paper we explore an extensive soil water content dataset obtained by tensiometry and TDR from internal drainage experiments in two consecutive years in a tropical soil in Brazil. Comparisons between the variation patterns of the water content estimated by both methods exhibited evidences of deterioration of the TDR system during this two year period at field conditions. The results showed consistency in the variation pattern for the tensiometry data, whereas TDR estimates were inconsistent, with sensitivity decreasing over time. This suggests that difficulties may arise for the long-term use of this TDR system under tropical field conditions. (c) 2008 Elsevier B.V. All rights reserved.

Reprocessing and reuse of single-use medical devices used during hemodynamic procedures in Brazil: A widespread and largely overlooked problem

Background. Several medical devices used during hemodynamic procedures, particularly angiographic diagnostic and therapeutic cardiac catheters, are manufactured for single use only. However, reprocessing and reuse of these devices has been reported, to determine the frequency of reuse and reprocessing of single-use medical devices used during hemodynamic procedures in Brazil and to evaluate how reprocessing is performed. Design. National survey, conducted from December 1999 to July 2001. Methods. Most of the institutions affiliated with the Brazilian Society of Hemodynamic and Interventional Cardiology were surveyed by use of a questionnaire sent in the mail. Results. The questionnaire response rate was 50% (119 of 240 institutions). Of the 119 institutions that responded, 116 (97%) reported reuse of single-use devices used during hemodynamic procedures, and only 26 (22%) reported use of a standardized reprocessing protocol. Cleaning, flushing, rinsing, drying, sterilizing and packaging methods varied greatly and were mostly inadequate. Criteria for discarding reused devices varied widely. Of the 119 institutions that responded, 80 (67%) reported having a surveillance system for adverse events associated with the reuse of medical devices, although most of these institutions did not routinely review the data, and only 38 (32%) described a training program for the personnel who reprocessed single-use devices. Conclusions. The reuse of single-use devices used during hemodynamic procedures was very frequent in hospitals in Brazil. Basic guidance on how to reuse and reprocess single-use medical devices is urgently needed, because, despite the lack of studies to support reusing and reprocessing single-use medical devices, such devices are necessary in limited-resource areas in which these practices are current.

Rehabilitation of executive dysfunction: A controlled trial of an attention and problem solving treatment group

In this study, the effectiveness of a group-based attention and problem solving (APS) treatment approach to executive impairments in patients with frontal lobe lesions was investigated. Thirty participants with lesions in the frontal lobes, 16 with left frontal (LF) and 14 with right frontal (RF) lesions, were allocated into three groups, each with 10 participants. The APS treatment was initially compared to two other control conditions, an information/education (IE) approach and treatment-as-usual or traditional rehabilitation (TR), with each of the control groups subsequently receiving the APS intervention in a crossover design. This design allowed for an evaluation of the treatment through assessment before and after treatment and on follow up, six months later. There was an improvement on some executive and functional measures after the implementation of the APS programme in the three groups. Size, and to a lesser extent laterality, of lesion affected baseline performance on measures of executive function, but there was no apparent relationship between size, laterality or site of lesion and level of benefit from the treatment intervention. The results were discussed in terms of models of executive functioning and the effectiveness of domain specific interventions in the rehabilitation of executive dysfunction.

Pruritus in hemodialysis patients: The problem remains

Pruritus is still one of the most common and disturbing symptoms of end-stage renal disease. The objective of this study is to analyze the prevalence of pruritus in hemodialysis patients and the possible factors implicated in its genesis. In a cross-sectional study, 101 patients on hemodialysis at our center were screened for pruritus. The relationship of various factors with pruritus was evaluated. Of the 101 patients included, 31(30.7%) had pruritus at the time of examination. Patients with pruritus were significantly older than those without pruritus (P=0.0027). Pruritus tended to be more prevalent in patients undergoing dialysis 3 times a week than in those undergoing daily dialysis, but the difference did not reach statistical significance (P=0.0854). Lower transferrin saturation levels were found in patients with pruritus than in those without pruritus (P=0.0144). C-reactive protein levels were significantly higher in patients with pruritus than in those without pruritus (P=0.0013). There was no significant difference between the groups in the levels of the other inflammatory biomarkers measured. However, there was a tendency toward a correlation between the levels of alpha-1-glycoprotein and the intensity of pruritus (P=0.0834). Our results suggest a possible relationship of the inflammatory response upregulation to pruritus. Additionally, there was a positive relationship between pruritus and iron deficiency, possibly associated with inflammatory elevation of hepcidin. A better understanding of the factors implicated in the genesis of pruritus related to end-stage renal disease is crucial in the development of more effective treatments for this symptom.

Distribution of fentanyl in the placental intervillous space and in the different maternal and fetal compartments in term pregnant women

Fentanyl is used in obstetrical practice to promote analgesia and anesthesia during labor and in cesarean delivery, with rapid and short-term effects. To determine fentanyl concentrations in maternal plasma, in the placental intervillous space, and in the umbilical artery and vein in term pregnant women. Ten healthy pregnant women underwent epidural anesthesia with fentanyl plus bupivacaine and lidocaine, and fentanyl concentrations were determined in the various maternal and fetal compartments, including the placental intervillous space, which has not been previously studied in the literature. The ratios of fentanyl concentrations in the various maternal and fetal compartments revealed an 86% rate of placental fentanyl transfer. The highest fentanyl concentrations were detected in the placental intervillous space, being 2.19 times higher than in maternal plasma, 2.8 times higher than in the umbilical vein and 3.6 times higher than in the umbilical artery, with no significant differences between the umbilical vein and artery, demonstrating that there was no drug uptake by fetal tissues nor metabolism of the drug by the fetus despite the high rates of placental transfer. The present study demonstrated that the placental intervillous space acted as a site of fentanyl deposit, a fact that may be explained by two hypotheses: (1) the blood collected from the placental intervillous space is arterial and, according to some investigators, the arterial plasma concentrations of the drugs administered to patients undergoing epidural anesthesia are higher than the venous concentrations, and (2) a possible role of P-glycoprotein (P-gp).

Distribution of Bupivacaine Enantiomers and Lidocaine and Its Metabolite in the Placental Intervillous Space and in the Different Maternal and Fetal Compartments in Term Pregnant Women

The aim of this study is to determine the concentrations of lidocaine and its metabolite, monoethylglycine xylidide (MEGX), and of the enantiomers of bupivacaine in maternal and fetal compartments. Ten healthy pregnant women were submitted to epidural anesthesia. Drug concentrations were determined in the maternal vein, fetal umbilical artery and vein, and the placental intervillous space. The highest concentrations of the bupivacaine enantiomers lidocaine and of lidocaine and of its MEGX metabolite were detected in maternal plasma and in the placental intervillous space. The placental transfer was 33% for the (+)-(R)-bupivacaine enantiomer and 31% for the (-)-(S)-bupivacaine enantiomer. For lidocaine and its MEGX metabolite, respective placental transfers were 60% and 43%. Lidocaine concentration in the fetal umbilical vein was 1.46 times higher than in the fetal umbilical artery. The highest concentrations of lidocaine and its metabolite and of the enantiomers of bupivacaine were detected in the placental intervillous space. The higher lidocaine concentrations in the fetal umbilical vein than in the fetal umbilical artery suggest that there was tissue uptake of the drug or drug metabolization by the fetus.

Does rapid maxillary expansion increase nasopharyngeal space and improve nasal airway resistance?

Objective: To evaluate the effect of rapid maxillary expansion (RME) on the dimension of the nasopharyngeal space and its relation to nasal airway resistance. Methods: Twenty-five school-age children (from 7 to 10 year-old) with mouth and/or mixed breathing, with mixed dentition and uni- or bilateral posterior crossbite involving the deciduous canines and the first permanent molars, were evaluated. RME was placed and remained during 90 days. Rhinomanometry and orthodontic documentation were performed at four different times, i.e., before (T(1)), immediately after (T(2)), 90 days (T(3)) and 30 months (T(4)) after RME. Results: Differences in nasopharyngeal area and in nasal airway resistance were observed only 30 months after RME, and could be explained by facial growth, and not because of the orthodontic procedure. Conclusion: RME does not influence on nasopharyngeal area or nasal airway resistance in long-term evaluation. (C) 2010 Elsevier Ireland Ltd. All rights reserved.

Percutaneous Transatrial Access to the Pericardial Space for Epicardial Mapping and Ablation

Background-Puncture of the atrial appendage may provide access to the pericardial space. The aim of this study was to evaluate the feasibility of epicardial mapping and ablation through an endocardial transatrial access in a swine model. Methods and Results-An 8-F Mullins sheath was used to perforate the right (n=16) or left (n=1) atrial appendage in 17 pigs (median weight, 27.5 kg; first and third quartiles [Q1, Q3], 25.2, 30.0 kg). A 7-F ablation catheter was introduced into the pericardial space to perform epicardial mapping and deliver radiofrequency pulses on the atria. The pericardial space was entered in all 17 animals. In 15 (88%) animals, there was no hemodynamic instability (mean blood pressure monitoring, initial median, 80 mm Hg; Q1, Q3, 70, 86 mm Hg; final median, 88 mm Hg; Q1, Q3, 80, 96 mm Hg; P=0.426). In these 15, a mild hemorrhagic pericardial effusion was identified and aspirated (median, 20 mL; Q1, Q3, 15, 30 mL) during the procedure, and postmortem gross analysis revealed that the atrial perforation was closed in these animals. In 2 (12%) of the 17 animals, there was major pericardial bleeding with hemodynamic collapse. On gross examination, it was found that pericardial space was accessed through right ventricular perforation in 1 animal and the tricuspid annulus in the other. After the initial study, we used an occlusion device in 3 other animals to attempt to seal the puncture (2 at the right atrial appendage and 1 at the right ventricle). These 3 animals had no significant pericardial bleeding. Conclusions-Transatrial endovascular right atrial appendage puncture may provide a potential alternative route for pericardial access. Further studies are needed to evaluate its safety with longer and more-complex procedures before being applied in clinical settings. (Circ Arrhythm Electrophysiol. 2011;4:331-336.)