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.

THE VANISHING DISCOUNT APPROACH FOR THE AVERAGE CONTINUOUS CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES

This work is concerned with the existence of an optimal control strategy for the long-run average continuous control problem of piecewise-deterministic Markov processes (PDMPs). In Costa and Dufour (2008), sufficient conditions were derived to ensure the existence of an optimal control by using the vanishing discount approach. These conditions were mainly expressed in terms of the relative difference of the alpha-discount value functions. The main goal of this paper is to derive tractable conditions directly related to the primitive data of the PDMP to ensure the existence of an optimal control. The present work can be seen as a continuation of the results derived in Costa and Dufour (2008). Our main assumptions are written in terms of some integro-differential inequalities related to the so-called expected growth condition, and geometric convergence of the post-jump location kernel associated to the PDMP. An example based on the capacity expansion problem is presented, illustrating the possible applications of the results developed in the paper.

A method to estimate EMG crosstalk between two muscles based on the silent period following an H-reflex

The crosstalk phenomenon consists in recording the volume-conducted electromyographic activity of muscles other than that under study. This interference may impair the correct interpretation of the results in a variety of experiments. A new protocol is presented here for crosstalk assessment between two muscles based on changes in their electrical activity following a reflex discharge in one of the muscles in response to nerve stimulation. A reflex compound muscle action potential (H-reflex) was used to induce a silent period in the muscle that causes the crosstalk, called here the remote muscle. The rationale is that if the activity recorded in the target muscle is influenced by a distant source (the remote muscle) a silent period observed in the electromyogram (EMG) of the remote muscle would coincide with a decrease in the EMG activity of the target muscle. The new crosstalk index is evaluated based on the root mean square (RMS) values of the EMGs obtained in two distinct periods (background EMG and silent period) of both the remote and the target muscles. In the present work the application focused on the estimation of the degree of crosstalk from the soleus muscle to the tibialis anterior muscle during quiet stance. However, the technique may be extended to other pairs of muscles provided a silent period may be evoked in one of them. (C) 2009 IPEM. Published by Elsevier Ltd. All rights reserved.

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.

Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

A calibration approach based on Takagi-Sugeno fuzzy inference system for digital electronic compasses

Recently, the development of industrial processes brought on the outbreak of technologically complex systems. This development generated the necessity of research relative to the mathematical techniques that have the capacity to deal with project complexities and validation. Fuzzy models have been receiving particular attention in the area of nonlinear systems identification and analysis due to it is capacity to approximate nonlinear behavior and deal with uncertainty. A fuzzy rule-based model suitable for the approximation of many systems and functions is the Takagi-Sugeno (TS) fuzzy model. IS fuzzy models are nonlinear systems described by a set of if then rules which gives local linear representations of an underlying system. Such models can approximate a wide class of nonlinear systems. In this paper a performance analysis of a system based on IS fuzzy inference system for the calibration of electronic compass devices is considered. The contribution of the evaluated IS fuzzy inference system is to reduce the error obtained in data acquisition from a digital electronic compass. For the reliable operation of the TS fuzzy inference system, adequate error measurements must be taken. The error noise must be filtered before the application of the IS fuzzy inference system. The proposed method demonstrated an effectiveness of 57% at reducing the total error based on considered tests. (C) 2011 Elsevier Ltd. All rights reserved.

Comparative physical-chemical characterization of encapsulated lipid-based isotretinoin products assessed by particle size distribution and thermal behavior analyses

Isotretinoin is the drug of choice for the management of severe recalcitrant nodular acne. Nevertheless, some of its physical-chemical properties are still poorly known. Hence, the aim of our study consisted to comparatively evaluate the particle size distribution (PSD) and characterize the thermal behavior of the three encapsulated isotretinoin products in oil suspension (one reference and two generics) commercialized in Brazil. Here, we show that the PSD, estimated by laser diffraction and by polarized light microscopy, differed between the generics and the reference product. However, the thermal behavior of the three products, determined by thermogravimetry (TGA), differential thermal (DTA) analyses and differential scanning calorimetry (DSC), displayed no significant changes and were more thermostable than the isotretinoin standard used as internal control. Thus, our study suggests that PSD analyses in isotretinoin lipid-based formulations should be routinely performed in order to improve their quality and bioavailability. (C) 2010 Elsevier B.V. All rights reserved.

S/MIMO MC-CDMA Heuristic Multiuser Detectors Based on Single-Objective Optimization

This paper analyzes the complexity-performance trade-off of several heuristic near-optimum multiuser detection (MuD) approaches applied to the uplink of synchronous single/multiple-input multiple-output multicarrier code division multiple access (S/MIMO MC-CDMA) systems. Genetic algorithm (GA), short term tabu search (STTS) and reactive tabu search (RTS), simulated annealing (SA), particle swarm optimization (PSO), and 1-opt local search (1-LS) heuristic multiuser detection algorithms (Heur-MuDs) are analyzed in details, using a single-objective antenna-diversity-aided optimization approach. Monte- Carlo simulations show that, after convergence, the performances reached by all near-optimum Heur-MuDs are similar. However, the computational complexities may differ substantially, depending on the system operation conditions. Their complexities are carefully analyzed in order to obtain a general complexity-performance framework comparison and to show that unitary Hamming distance search MuD (uH-ds) approaches (1-LS, SA, RTS and STTS) reach the best convergence rates, and among them, the 1-LS-MuD provides the best trade-off between implementation complexity and bit error rate (BER) performance.

Electrochemical and spectroscopic characterization of screen-printed gold-based electrodes modified with self-assembled monolayers and Tc85 protein

This work investigates the formation of self-assembled monolayers (SAMs) of cystamine and cystamine-glutaraldehyde on a screen-printed electrode, and the immobilization of the Tc85 protein (from Trypanosoma cruzi) on these monolayers. The methods used included infrared techniques, cyclic voltammetry, and electrochemical impedance spectroscopy. The electrochemical studies were performed at pH 6.9 in 0.1 mol L(-1) phosphate buffer solution containing Fe(CN)(6)(-3/-4) redox species. The surface coverage (0) of the electrode was 0.10 (cystamine), 0.35 (cystamine-glutaraldehyde) and 0.84 (Tc85). Interpretation of electrochemical impedance spectroscopy results was based on a charge-transfer reaction involving Fe(CN)(6)(-3/-4) species at high frequencies, followed by a diffusion through the monolayers at lower frequencies. Estimates of the electrode surface coverage, active site radius, and distance between two adjacent sites assumed that charge transfer occurred at the active sites, and that there was a planar diffusion of redox species to these sites. (C) 2009 Elsevier B.V. All rights reserved.

Anodic porous alumina structural characteristics study based on SEM image processing and analysis

The present work reports the porous alumina structures fabrication and their quantitative structural characteristics study based on mathematical morphology analysis by using the SEM images. The algorithm used in this work was implemented in 6.2 MATLAB software. Using the algorithm it was possible to obtain the distribution of maximum, minimum and average radius of the pores in porous alumina structures. Additionally, with the calculus of the area occupied by the pores, it was possible to obtain the porosity of the structures. The quantitative results could be obtained and related to the process fabrication characteristics, showing to be reliable and promising to be used to control the pores formation process. Then, this technique could provide a more accurate determination of pore sizes and pores distribution. (C) 2008 Elsevier Ltd. All rights reserved.

Characterization of electrical penetration graphs of the Asian citrus psyllid, Diaphorina citri, in sweet orange seedlings

Detailed information on probing behavior of the Asian citrus psyllid, Diaphorina citri Kuwayama (Hemiptera: Psyllidae), is critical for understanding the transmission process of phloem-limited bacteria (Candidatus Liberibacter spp.) associated with citrus `huanglongbing` by this vector. In this study, we investigated stylet penetration activities of D. citri on seedlings of Citrus sinensis (L.) Osbeck cv. Pera (Rutaceae) by using the electrical penetration graph (EPG-DC system) technique. EPG waveforms were described based on amplitude, frequency, voltage level, and electrical origin of the observed traces during stylet penetration into plant tissues. The main waveforms were correlated with histological observations of salivary sheath termini in plant tissues, to determine the putative location of stylet tips. The behavioral activities were also inferred based on waveform similarities in relation to other Sternorrhyncha, particularly aphids and whiteflies. In addition, we correlated the occurrence of specific waveforms with the acquisition of the phloem-limited bacterium Ca. Liberibacter asiaticus by D. citri. The occurrence of a G-like xylem sap ingestion waveform in starved and unstarved psyllids was also compared. By analyzing 8-h EPGs of adult females, five waveforms were described: (C) salivary sheath secretion and other stylet pathway activities; (D) first contact with phloem (distinct from other waveforms reported for Sternorrhyncha); (E1) putative salivation in phloem sieve tubes; (E2) phloem sap ingestion; and (G) probably xylem sap ingestion. Diaphorina citri initiates a probe with stylet pathway through epidermis and parenchyma (C). Interestingly, no potential drops were observed during the stylet pathway phase, as are usually recorded in aphids and other Sternorrhyncha. Once in C, D. citri shows a higher propensity to return to non-probing than to start a phloem or xylem phase. Several probes are usually observed before the phloem phase; waveform D is observed upon phloem contact, always immediately followed by E1. After E1, D. citri either returns to pathway activity (C) or starts phloem sap ingestion, which was the longest activity observed.

Extensions of discrete triangular distributions and boundary bias in kernel estimation for discrete functions

Asymmetric discrete triangular distributions are introduced in order to extend the symmetric ones serving for discrete associated kernels in the nonparametric estimation for discrete functions. The extension from one to two orders around the mode provides a large family of discrete distributions having a finite support. Establishing a bridge between Dirac and discrete uniform distributions, some different shapes are also obtained and their properties are investigated. In particular, the mean and variance are pointed out. Applications to discrete kernel estimators are given with a solution to a boundary bias problem. (C) 2010 Elsevier B.V. All rights reserved.

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.

Simulation of irrigated Thanzania grass growth based on photothermal units, nitrogen fertilization and water availability

Simulation of irrigated Thanzania grass growth based on photothermal units, nitrogen fertilization and water availability. The mathematical model to predict the forage yield using photothennal units was utilized with success in Elephant grass, Thanzania and Brachiaria niziziensis in the absence of water stress and nitrogen stress. The aim of this study was to propose models to estimate the forage yield of Thanzania grass under different irrigation (25, 50,75, 100 e 125% of ETc) and nitrogen level in various regions of Brazil. As such, models were developed to estimate the dry matter production of Panicum maximum Jacq. frass cv Thanzania in different irrigation and nitrogen levels, using photothermal units. The models were adjusted to doses of 0, 30, 60, 110 and 270 kg of N ha(-1), doses were divided in applications after each evaluation, with a rest cycle of 35 days. The adjusted model presented good performance in predicting dry matter production of Thanzania grass, with r(2) = 0.9999. The results made it possible to verify that the proposed model can be used to predict forage production in different regions of Brazil. It can be estimated, with good precision. The production of Thanzania grass dry matter can be accurately estimated in specific places (in function of latitude and time of year), with the maximum and minimum temperature values.

Genetic variability among sugarcane genotypes based on polymorphisms in sucrose metabolism and drought tolerance genes

Target region amplification polymorphism (TRAP) markers were used to estimate the genetic similarity (GS) among 53 sugarcane varieties and five species of the Saccharum complex. Seven fixed primers designed from candidate genes involved in sucrose metabolism and three from those involved in drought response metabolism were used in combination with three arbitrary primers. The clustering of the genotypes for sucrose metabolism and drought response were similar, but the GS based on Jaccard`s coefficient changed. The GS based on polymorphism in sucrose genes estimated in a set of 46 Brazilian varieties, all of which belong to the three Brazilian breeding programs, ranged from 0.52 to 0.9, and that based on drought data ranged from 0.44 to 0.95. The results suggest that genetic variability in the evaluated genes was lower in the sucrose metabolism genes than in the drought response metabolism ones.