Quasi-Self-Dual Exponential Lévy Processes

The important application of semistatic hedging in financial markets naturally leads to the notion of quasi--self-dual processes. The focus of our study is to give new characterizations of quasi--self-duality. We analyze quasi--self-dual Lévy driven markets which do not admit arbitrage opportunities and derive a set of equivalent conditions for the stochastic logarithm of quasi--self-dual martingale models. Since for nonvanishing order parameter two martingale properties have to be satisfied simultaneously, there is a nontrivial relation between the order and shift parameter representing carrying costs in financial applications. This leads to an equation containing an integral term which has to be inverted in applications. We first discuss several important properties of this equation and, for some well-known Lévy-driven models, we derive a family of closed-form inversion formulae.

Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes

This article provides importance sampling algorithms for computing the probabilities of various types ruin of spectrally negative Lévy risk processes, which are ruin over the infinite time horizon, ruin within a finite time horizon and ruin past a finite time horizon. For the special case of the compound Poisson process perturbed by diffusion, algorithms for computing probabilities of ruins by creeping (i.e. induced by the diffusion term) and by jumping (i.e. by a claim amount) are provided. It is shown that these algorithms have either bounded relative error or logarithmic efficiency, as t,x→∞t,x→∞, where t>0t>0 is the time horizon and x>0x>0 is the starting point of the risk process, with y=t/xy=t/x held constant and assumed either below or above a certain constant.

A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes

This article provides an importance sampling algorithm for computing the probability of ruin with recuperation of a spectrally negative Lévy risk process with light-tailed downwards jumps. Ruin with recuperation corresponds to the following double passage event: for some t∈(0,∞)t∈(0,∞), the risk process starting at level x∈[0,∞)x∈[0,∞) falls below the null level during the period [0,t][0,t] and returns above the null level at the end of the period tt. The proposed Monte Carlo estimator is logarithmic efficient, as t,x→∞t,x→∞, when y=t/xy=t/x is constant and below a certain bound.

Development of replication-defective lymphocytic choriomeningitis virus vectors for the induction of potent CD8+ T cell immunity

Lymphocytic choriomeningitis virus (LCMV) exhibits natural tropism for dendritic cells and represents the prototypic infection that elicits protective CD8(+) T cell (cytotoxic T lymphocyte (CTL)) immunity. Here we have harnessed the immunobiology of this arenavirus for vaccine delivery. By using producer cells constitutively synthesizing the viral glycoprotein (GP), it was possible to replace the gene encoding LCMV GP with vaccine antigens to create replication-defective vaccine vectors. These rLCMV vaccines elicited CTL responses that were equivalent to or greater than those elicited by recombinant adenovirus 5 or recombinant vaccinia virus in their magnitude and cytokine profiles, and they exhibited more effective protection in several models. In contrast to recombinant adenovirus 5, rLCMV failed to elicit vector-specific antibody immunity, which facilitated re-administration of the same vector for booster vaccination. In addition, rLCMV elicited T helper type 1 CD4+ T cell responses and protective neutralizing antibodies to vaccine antigens. These features, together with low seroprevalence in humans, suggest that rLCMV may show utility as a vaccine platform against infectious diseases and cancer.

Recommendations for the management of patients with obstructive sleep apnoea and hypertension

This article is aimed at addressing the current state-of-the-art in epidemiology, pathophysiology, diagnostic procedures and treatment options for appropriate management of obstructive sleep apnoea (OSA) in cardiovascular (in particular hypertensive) patients, as well as for the management of cardiovascular diseases (in particular arterial hypertension) in OSA patients. The present document is the result of work performed by a panel of experts participating in the European Union COST (Cooperation in Scientific and Technological research) Action B26 on OSA, with the endorsement of the European Respiratory Society and the European Society of Hypertension. In particular, these recommendations are aimed at reminding cardiovascular experts to consider the occurrence of sleep-related breathing disorders in patients with high blood pressure. They are also aimed at reminding respiration experts to consider the occurrence of hypertension in patients with respiratory problems at night.

Stereological Modelling of Random Particles

Stochastic models for three-dimensional particles have many applications in applied sciences. Lévy–based particle models are a flexible approach to particle modelling. The structure of the random particles is given by a kernel smoothing of a Lévy basis. The models are easy to simulate but statistical inference procedures have not yet received much attention in the literature. The kernel is not always identifiable and we suggest one approach to remedy this problem. We propose a method to draw inference about the kernel from data often used in local stereology and study the performance of our approach in a simulation study.

Estimating Particle Shape and Orientation Using Volume Tensors

We develop statistical procedures for estimating shape and orientation of arbitrary three-dimensional particles. We focus on the case where particles cannot be observed directly, but only via sections. Volume tensors are used for describing particle shape and orientation, and we derive stereological estimators of the tensors. These estimators are combined to provide consistent estimators of the moments of the so-called particle cover density. The covariance structure associated with the particle cover density depends on the orientation and shape of the particles. For instance, if the distribution of the typical particle is invariant under rotations, then the covariance matrix is proportional to the identity matrix. We develop a non-parametric test for such isotropy. A flexible Lévy-based particle model is proposed, which may be analysed using a generalized method of moments in which the volume tensors enter. The developed methods are used to study the cell organization in the human brain cortex.