Optimal investment under stochastic volatility and power type utility function

2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.

Dynamics of spatial heterogeneity in a landfill with interacting phase densities:a stochastic analysis

A landfill represents a complex and dynamically evolving structure that can be stochastically perturbed by exogenous factors. Both thermodynamic (equilibrium) and time varying (non-steady state) properties of a landfill are affected by spatially heterogenous and nonlinear subprocesses that combine with constraining initial and boundary conditions arising from the associated surroundings. While multiple approaches have been made to model landfill statistics by incorporating spatially dependent parameters on the one hand (data based approach) and continuum dynamical mass-balance equations on the other (equation based modelling), practically no attempt has been made to amalgamate these two approaches while also incorporating inherent stochastically induced fluctuations affecting the process overall. In this article, we will implement a minimalist scheme of modelling the time evolution of a realistic three dimensional landfill through a reaction-diffusion based approach, focusing on the coupled interactions of four key variables - solid mass density, hydrolysed mass density, acetogenic mass density and methanogenic mass density, that themselves are stochastically affected by fluctuations, coupled with diffusive relaxation of the individual densities, in ambient surroundings. Our results indicate that close to the linearly stable limit, the large time steady state properties, arising out of a series of complex coupled interactions between the stochastically driven variables, are scarcely affected by the biochemical growth-decay statistics. Our results clearly show that an equilibrium landfill structure is primarily determined by the solid and hydrolysed mass densities only rendering the other variables as statistically "irrelevant" in this (large time) asymptotic limit. The other major implication of incorporation of stochasticity in the landfill evolution dynamics is in the hugely reduced production times of the plants that are now approximately 20-30 years instead of the previous deterministic model predictions of 50 years and above. The predictions from this stochastic model are in conformity with available experimental observations.

Codomain Rigidity of the Dirichlet to Neumann Operator for the Riemannian Wave Equation

We study the Dirichlet to Neumann operator for the Riemannian wave equation on a compact Riemannian manifold. If the Riemannian manifold is modelled as an elastic medium, this operator represents the data available to an observer on the boundary of the manifold when the manifold is set into motion through boundary vibrations. We study the Dirichlet to Neumann operator when vibrations are imposed and data recorded on disjoint sets, a useful setting for applications. We prove that this operator determines the Dirichlet to Neumann operator where sources and observations are on the same set, provided a spectral condition on the Laplace-Beltrami operator for the manifold is satisfied. We prove this by providing an implementable procedure for determining a portion of the Riemannian manifold near the area where sources are applied. Drawing on established results, an immediate corollary is that a compact Riemannian manifold can be reconstructed from the Dirichlet to Neumann operator where sources and observations are on disjoint sets.

Codomain Rigidity of the Dirichlet to Neumann Operator for the Riemannian Wave Equation

We study the Dirichlet to Neumann operator for the Riemannian wave equation on a compact Riemannian manifold. If the Riemannian manifold is modelled as an elastic medium, this operator represents the data available to an observer on the boundary of the manifold when the manifold is set into motion through boundary vibrations. We study the Dirichlet to Neumann operator when vibrations are imposed and data recorded on disjoint sets, a useful setting for applications. We prove that this operator determines the Dirichlet to Neumann operator where sources and observations are on the same set, provided a spectral condition on the Laplace-Beltrami operator for the manifold is satisfied. We prove this by providing an implementable procedure for determining a portion of the Riemannian manifold near the area where sources are applied. Drawing on established results, an immediate corollary is that a compact Riemannian manifold can be reconstructed from the Dirichlet to Neumann operator where sources and observations are on disjoint sets.

Stochastic Modeling of Reversible Biochemical Reaction-Diffusion Systems and High-Resolution Shock-Capturing Methods for Fluid Interfaces

Thesis (Ph.D.)--University of Washington, 2016-08

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

THE STOCHASTIC NAVIER STOKES EQUATIONS FOR HEAT CONDUCTING, COMPRESSIBLE FLUIDS

This dissertation is devoted to the equations of motion governing the evolution of a fluid or gas at the macroscopic scale. The classical model is a PDE description known as the Navier-Stokes equations. The behavior of solutions is notoriously complex, leading many in the scientific community to describe fluid mechanics using a statistical language. In the physics literature, this is often done in an ad-hoc manner with limited precision about the sense in which the randomness enters the evolution equation. The stochastic PDE community has begun proposing precise models, where a random perturbation appears explicitly in the evolution equation. Although this has been an active area of study in recent years, the existing literature is almost entirely devoted to incompressible fluids. The purpose of this thesis is to take a step forward in addressing this statistical perspective in the setting of compressible fluids. In particular, we study the well posedness for the corresponding system of Stochastic Navier Stokes equations, satisfied by the density, velocity, and temperature. The evolution of the momentum involves a random forcing which is Brownian in time and colored in space. We allow for multiplicative noise, meaning that spatial correlations may depend locally on the fluid variables. Our main result is a proof of global existence of weak martingale solutions to the Cauchy problem set within a bounded domain, emanating from large initial datum. The proof involves a mix of deterministic and stochastic analysis tools. Fundamentally, the approach is based on weak compactness techniques from the deterministic theory combined with martingale methods. Four layers of approximate stochastic PDE's are built and analyzed. A careful study of the probability laws of our approximating sequences is required. We prove appropriate tightness results and appeal to a recent generalization of the Skorohod theorem. This ultimately allows us to deduce analogues of the weak compactness tools of Lions and Feireisl, appropriately interpreted in the stochastic setting.

Sufficient conditions for the existence of heteroclinic solutions for Phi-Laplacian differential equations

In this paper we consider the second order discontinuous equation in the real line, (a(t)φ(u′(t)))′ = f(t,u(t),u′(t)), a.e.t∈R, u(-∞) = ν⁻, u(+∞)=ν⁺, with φ an increasing homeomorphism such that φ(0)=0 and φ(R)=R, a∈C(R,R\{0})∩C¹(R,R) with a(t)>0, or a(t)<0, for t∈R, f:R³→R a L¹-Carathéodory function and ν⁻,ν⁺∈R such that ν⁻<ν⁺. We point out that the existence of heteroclinic solutions is obtained without asymptotic or growth assumptions on the nonlinearities φ and f. Moreover, as far as we know, this result is even new when φ(y)=y, that is, for equation (a(t)u′(t))′=f(t,u(t),u′(t)), a.e.t∈R.

Dynamical models in neuroscience: the delay FitzHugh-Nagumo equation

Il primo modello matematico in grado di descrivere il prototipo di un sistema eccitabile assimilabile ad un neurone fu sviluppato da R. FitzHugh e J. Nagumo nel 1961. Tale modello, per quanto schematico, rappresenta un importante punto di partenza per la ricerca nell'ambito neuroscientifico delle dinamiche neuronali, ed è infatti capostipite di una serie di lavori che hanno puntato a migliorare l’accuratezza e la predicibilità dei modelli matematici per le scienze. L’elevato grado di complessità nello studio dei neuroni e delle dinamiche inter-neuronali comporta, tuttavia, che molte delle caratteristiche e delle potenzialità dell’ambito non siano ancora state comprese appieno. In questo lavoro verrà approfondito un modello ispirato al lavoro originale di FitzHugh e Nagumo. Tale modello presenta l’introduzione di un termine di self-coupling con ritardo temporale nel sistema di equazioni differenziali, diventa dunque rappresentativo di modelli di campo medio in grado di descrivere gli stati macroscopici di un ensemble di neuroni. L'introduzione del ritardo è funzionale ad una descrizione più realistica dei sistemi neuronali, e produce una dinamica più ricca e complessa rispetto a quella presente nella versione originale del modello. Sarà mostrata l'esistenza di una soluzione a ciclo limite nel modello che comprende il termine di ritardo temporale, ove tale soluzione non può essere interpretata nell’ambito delle biforcazioni di Hopf. Allo scopo di esplorare alcune delle caratteristiche basilari della modellizzazione del neurone, verrà principalmente utilizzata l’impostazione della teoria dei sistemi dinamici, integrando dove necessario con alcune nozioni provenienti dall’ambito fisiologico. In conclusione sarà riportata una sezione di approfondimento sulla integrazione numerica delle equazioni differenziali con ritardo.

Systemic Granulomatous Diseases Associated With Multiple Palpable Masses That May Involve The Breast: Case Presentation And An Approach To The Differential Diagnosis.

Palpable mass is a common complaint presented to the breast surgeon. It is very uncommon for patients to report breast mass associated with palpable masses in other superficial structures. When these masses are related to systemic granulomatous diseases, the diagnosis and initiation of specific therapy can be challenging. The purpose of this paper is to report a case initially assessed by the breast surgeon and ultimately diagnosed as granulomatous variant of T-cell lymphoma, and discuss the main systemic granulomatous diseases associated with palpable masses involving the breast.

Water Stress Reveals Differential Antioxidant Responses Of Tolerant And Non-tolerant Sugarcane Genotypes.

The biochemical responses of the enzymatic antioxidant system of a drought-tolerant cultivar (IACSP 94-2094) and a commercial cultivar in Brazil (IACSP 95-5000) grown under two levels of soil water restriction (70% and 30% Soil Available Water Content) were investigated. IACSP 94-2094 exhibited one additional active superoxide dismutase (Cu/Zn-SOD VI) isoenzyme in comparison to IACSP 95-5000, possibly contributing to the heightened response of IACSP 94-2094 to the induced stress. The total glutathione reductase (GR) activity increased substantially in IACSP 94-2094 under conditions of severe water stress; however, the appearance of a new GR isoenzyme and the disappearance of another isoenzyme were found not to be related to the stress response because the cultivars from both treatment groups (control and water restrictions) exhibited identical changes. Catalase (CAT) activity seems to have a more direct role in H2O2 detoxification under water stress condition and the shift in isoenzymes in the tolerant cultivar might have contributed to this response, which may be dependent upon the location where the excessive H2O2 is being produced under stress. The improved performance of IACSP 94-2094 under drought stress was associated with a more efficient antioxidant system response, particularly under conditions of mild stress.

Enhanced D1 And D2 Inhibitions Induced By Low-frequency Trains Of Conditioning Stimuli: Differential Effects On H- And T-reflexes And Possible Mechanisms.

Mechanically evoked reflexes have been postulated to be less sensitive to presynaptic inhibition (PSI) than the H-reflex. This has implications on investigations of spinal cord neurophysiology that are based on the T-reflex. Preceding studies have shown an enhanced effect of PSI on the H-reflex when a train of ~10 conditioning stimuli at 1 Hz was applied to the nerve of the antagonist muscle. The main questions to be addressed in the present study are if indeed T-reflexes are less sensitive to PSI and whether (and to what extent and by what possible mechanisms) the effect of low frequency conditioning, found previously for the H-reflex, can be reproduced on T-reflexes from the soleus muscle. We explored two different conditioning-to-test (C-T) intervals: 15 and 100 ms (corresponding to D1 and D2 inhibitions, respectively). Test stimuli consisted of either electrical pulses applied to the posterior tibial nerve to elicit H-reflexes or mechanical percussion to the Achilles tendon to elicit T-reflexes. The 1 Hz train of conditioning electrical stimuli delivered to the common peroneal nerve induced a stronger effect of PSI as compared to a single conditioning pulse, for both reflexes (T and H), regardless of C-T-intervals. Moreover, the conditioning train of pulses (with respect to a single conditioning pulse) was proportionally more effective for T-reflexes as compared to H-reflexes (irrespective of the C-T interval), which might be associated with the differential contingent of Ia afferents activated by mechanical and electrical test stimuli. A conceivable explanation for the enhanced PSI effect in response to a train of stimuli is the occurrence of homosynaptic depression at synapses on inhibitory interneurons interposed within the PSI pathway. The present results add to the discussion of the sensitivity of the stretch reflex pathway to PSI and its functional role.

Shelf-life of a 2.5% sodium hypochlorite solution as determined by arrhenius equation

Accelerated stability tests are indicated to assess, within a short time, the degree of chemical degradation that may affect an active substance, either alone or in a formula, under normal storage conditions. This method is based on increased stress conditions to accelerate the rate of chemical degradation. Based on the equation of the straight line obtained as a function of the reaction order (at 50 and 70 ºC) and using Arrhenius equation, the speed of the reaction was calculated for the temperature of 20 ºC (normal storage conditions). This model of accelerated stability test makes it possible to predict the chemical stability of any active substance at any given moment, as long as the method to quantify the chemical substance is available. As an example of the applicability of Arrhenius equation in accelerated stability tests, a 2.5% sodium hypochlorite solution was analyzed due to its chemical instability. Iodometric titration was used to quantify free residual chlorine in the solutions. Based on data obtained keeping this solution at 50 and 70 ºC, using Arrhenius equation and considering 2.0% of free residual chlorine as the minimum acceptable threshold, the shelf-life was equal to 166 days at 20 ºC. This model, however, makes it possible to calculate shelf-life at any other given temperature.

Reaction-diffusion stochastic lattice model for a predator-prey system

We have the purpose of analyzing the effect of explicit diffusion processes in a predator-prey stochastic lattice model. More precisely we wish to investigate the possible effects due to diffusion upon the thresholds of coexistence of species, i. e., the possible changes in the transition between the active state and the absorbing state devoid of predators. To accomplish this task we have performed time dependent simulations and dynamic mean-field approximations. Our results indicate that the diffusive process can enhance the species coexistence.

Exact time-dependent solutions for a self-regulating gene

The exact time-dependent solution for the stochastic equations governing the behavior of a binary self-regulating gene is presented. Using the generating function technique to rephrase the master equations in terms of partial differential equations, we show that the model is totally integrable and the analytical solutions are the celebrated confluent Heun functions. Self-regulation plays a major role in the control of gene expression, and it is remarkable that such a microscopic model is completely integrable in terms of well-known complex functions.