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 state representations of nonlinear implicit systems

This work considers a semi-implicit system A, that is, a pair (S, y), where S is an explicit system described by a state representation (x)over dot(t) = f(t, x(t), u(t)), where x(t) is an element of R(n) and u(t) is an element of R(m), which is subject to a set of algebraic constraints y(t) = h(t, x(t), u(t)) = 0, where y(t) is an element of R(l). An input candidate is a set of functions v = (v(1),.... v(s)), which may depend on time t, on x, and on u and its derivatives up to a Finite order. The problem of finding a (local) proper state representation (z)over dot = g(t, z, v) with input v for the implicit system Delta is studied in this article. The main result shows necessary and sufficient conditions for the solution of this problem, under mild assumptions on the class of admissible state representations of Delta. These solvability conditions rely on an integrability test that is computed from the explicit system S. The approach of this article is the infinite-dimensional differential geometric setting of Fliess, Levine, Martin, and Rouchon (1999) (`A Lie-Backlund Approach to Equivalence and Flatness of Nonlinear Systems`, IEEE Transactions on Automatic Control, 44(5), (922-937)).

Measuring complexity in three-trophic level systems

This essay is a trial on measuring complexity in a three-trophic level system by using a convex function of the informational entropy. The complexity measure defined here is compatible with the fact that real complexity lies between ordered and disordered states. Applying this measure to the data collected for two three-trophic level systems some hints about their organization are obtained. (C) 2008 Elsevier B.V. All rights reserved.

Some remarks on static-feedback linearization for time-varying systems

This work summarizes some results about static state feedback linearization for time-varying systems. Three different necessary and sufficient conditions are stated in this paper. The first condition is the one by [Sluis, W. M. (1993). A necessary condition for dynamic feedback linearization. Systems & Control Letters, 21, 277-283]. The second and the third are the generalizations of known results due respectively to [Aranda-Bricaire, E., Moog, C. H., Pomet, J. B. (1995). A linear algebraic framework for dynamic feedback linearization. IEEE Transactions on Automatic Control, 40, 127-132] and to [Jakubczyk, B., Respondek, W. (1980). On linearization of control systems. Bulletin del` Academie Polonaise des Sciences. Serie des Sciences Mathematiques, 28, 517-522]. The proofs of the second and third conditions are established by showing the equivalence between these three conditions. The results are re-stated in the infinite dimensional geometric approach of [Fliess, M., Levine J., Martin, P., Rouchon, P. (1999). A Lie-Backlund approach to equivalence and flatness of nonlinear systems. IEEE Transactions on Automatic Control, 44(5), 922-937]. (C) 2008 Elsevier Ltd. All rights reserved.

Synaptic compensation on Hopfield network: implications for memory rehabilitation

The discrete-time neural network proposed by Hopfield can be used for storing and recognizing binary patterns. Here, we investigate how the performance of this network on pattern recognition task is altered when neurons are removed and the weights of the synapses corresponding to these deleted neurons are divided among the remaining synapses. Five distinct ways of distributing such weights are evaluated. We speculate how this numerical work about synaptic compensation may help to guide experimental studies on memory rehabilitation interventions.

Adequacy of Cold Rolling Models to Upgrade Set-up Generation Systems

This paper presents two strategies for the upgrade of set-up generation systems for tandem cold mills. Even though these mills have been modernized mainly due to quality requests, their upgrades may be made intending to replace pre-calculated reference tables. In this case, Bryant and Osborn mill model without adaptive technique is proposed. As a more demanding modernization, Bland and Ford model including adaptation is recommended, although it requires a more complex computational hardware. Advantages and disadvantages of these two systems are compared and discussed and experimental results obtained from an industrial cold mill are shown.

Numerical study of tensile tests conducted on systems with elastic-plastic films deposited onto elastic-plastic substrates

In this work, a series of two-dimensional plane-strain finite element analyses was conducted to further understand the stress distribution during tensile tests on coated systems. Besides the film and the substrate, the finite element model also considered a number of cracks perpendicular to the film/substrate interface. Different from analyses commonly found in the literature, the mechanical behavior of both film and substrate was considered elastic-perfectly plastic in part of the analyses. Together with the film yield stress and the number of film cracks, other variables that were considered were crack tip geometry, the distance between two consecutive cracks and the presence of an interlayer. The analysis was based on the normal stresses parallel to the loading axis (sigma(xx)), which are responsible for cohesive failures that are observed in the film during this type of test. Results indicated that some configurations studied in this work have significantly reduced the value of sigma(xx) at the film/substrate interface and close to the pre-defined crack tips. Furthermore, in all the cases studied the values of sigma(xx) were systematically larger at the film/substrate interface than at the film surface. (C) 2010 Elsevier B.V. All rights reserved.

Dynamic positioning systems: An experimental analysis of sliding mode control

Vessel dynamic positioning (DP) systems are based on conventional PID-type controllers and an extended Kalman filter. However, they present a difficult tuning procedure, and the closed-loop performance varies with environmental or loading conditions since the dynamics of the vessel are eminently nonlinear. Gain scheduling is normally used to address the nonlinearity of the system. To overcome these problems, a sliding mode control was evaluated. This controller is robust to variations in environmental and loading conditions, it maintains performance and stability for a large range of conditions, and presents an easy tuning methodology. The performance of the controller was evaluated numerically and experimentally in order to address its effectiveness. The results are compared with those obtained from conventional PID controller. (c) 2010 Elsevier Ltd. All rights reserved.

Water Treatment Plant Sludge Discharge to Wastewater Treatment Works: Effects on the Operation of Upflow Anaerobic Sludge Blanket Reactor and Activated Sludge Systems

This experiment examined the effects of the discharge of water treatment plant (WTP) sludge into the following three types of wastewater treatment systems: a pilot-scale upflow anaerobic sludge blanket (UASB) reactor, a pilot-scale activated sludge system, and a full-scale activated sludge sequencing batch reactor (SBR). The UASB reactor received 50 mg of suspended solids ( SS) of WTP sludge per liter of wastewater in the first phase, and, in the second phase, it received 75 mg SS/L. The pilot-scale activated sludge system received 25 and 50 mg SS/L in the first and second phases, respectively. The full-scale WWTP ( SBR) received approximately 74 mg SS/L. The results of the experiments showed that, despite some negative effects on nitrification, there were positive effects on phosphorus removal, and, furthermore, there was the addition of solids in all systems. Water Environ. Res., 82, 392 ( 2010).

On state representations of time-varying nonlinear systems

This work considers a nonlinear time-varying system described by a state representation, with input u and state x. A given set of functions v, which is not necessarily the original input u of the system, is the (new) input candidate. The main result provides necessary and sufficient conditions for the existence of a local classical state space representation with input v. These conditions rely on integrability tests that are based on a derived flag. As a byproduct, one obtains a sufficient condition of differential flatness of nonlinear systems. (C) 2009 Elsevier Ltd. All rights reserved.

Meat quality of broilers from different rearing systems

Color, pH, shear force, water-holding capacity, chemical composition, cholesterol content, and fatty acid profile from conventional, free-range and alternative broiler breast meat were determined in order to evaluate differences in the quality of broiler meat produced under different systems. Broilers reared in a conventional system had the highest lipid content (1.3%) but lower proportions of polyunsaturated (17.3%) and omega-3 fatty acids (0.3%) (p<0.05) compared to free-range and alternative broilers. On the other hand, free-range broilers had a lower cholesterol content (48.6 mg center dot 100 g(-1)) and lower pH (5.7 1) while broilers raised in an alternative system had a higher shear force (2.33 kgf) and lower yellowness value (b* value = 3.15) when compared to the other rearing systems (p<0.05).

New approaches to underground systems in Brazilian Smilax species (Smilacaceae)

MARTINS, A. R. (Institute of Biology, State University of Campinas - UNICAMP, 13083-970, Campinas, SP, Brazil), N. PUT, (Division of Biology and Education, University of Vechta, 49377 Vechta, Germany), A. N. SOARES, A.B BOMB, and B. APPEZZATO DA GLORIA (Biological Science Department, Escola Superior de Agricultura `Luiz de Queiroz`, University of Sao Paulo, 13418-900, Piracicaba, SP, Brazil). J. Torrey Bot. Soc. 137: 220-235. 2010.-New approaches to underground systems in Brazilian Smilax species (Smilacaceae). Scientific studies show that the watery extract of the thickened underground stem and its adventitious roots of the genus Smilax can act as a therapeutic agent in immunoinflammatory disorders, such as rheumatic arthritis. Brazilians have used this genus of plants in folk medicine, however it is very hard to identify these species, since the morphology of the underground systems is very similar in this group. For better identification of those systems, we studied six species of Smilax L. (S. brasiliensis, S. campestris, S. cissoides, S. goyazana, S. oblongifolia and S. rufescens), collected in different regions of Brazil with different physiognomies and soil characteristics. The main purpose is to describe the morpho-anatomy of the underground systems and to analyze if their structure depends on environmental conditions. The underground stem (rhizophore) is of brown color and it is knotty, massive, slender (S. rufescens) or tuberous (S. brasiliensis, S. campestris, S. cissoides, S. goyazana and S. oblongifolia). The tuberization is a result of primary thickened meristem (PTM) activity. The color and thickness of the adventitious roots change during development because the epidermis and outer cortex are disposed of, so the inner cortex becomes the new covering tissue with lignified and dark color cells. There are differences in starch grain shapes in mature roots. The chemical attributes of the soil are very similar in all studied environments and, even when soil characteristics varied, all the species` underground system was distributed close to the soil surface (10 to 15 cm deep). The species exhibited clonal growth hence their underground system functions as storage structures and the axillary buds can sprout into new stems. Only Smilax rufescens, collected in sandy soil of Restinga, has vegetative dispersal due to the runners.

Occurrence of secretory structures in underground systems of seven Asteraceae species

In contrast with the abundance of anatomical studies of secretory structures on aerial vegetative organs of Asteraceae species, the information about secretory structures on thickened subterranean organs is sparse. The aim of this study was to investigate the occurrence of secretory structures on thickened and nonthickened subterranean organs of seven Asteraceae species from three tribes: Eupatorieae (Chromolaena squalida and Gyptis lanigera), Vernonieae (Chresta sphaerocephala, Lessingianthus bardanoides, L. glabratus and Orthopappus angustifolius), and Plucheeae (Pterocaulon angustifolium). The specimens were collected in areas of cerrado, from the State of Sao Paulo, Brazil. All species of the tribe Vernonieae studied exhibited endodermic cells, other than the epithelial cells of the canal, with secretory activity in the roots. In C. sphaerocephala roots, two types of endodermic cell were found, but only one had secretory activity. Secretory canals were found in the tuberous and nontuberous roots of all studied species. These data agree with the results from the literature for Asteraceae species. Here, we describe for the first time in Asteraceae the presence of secretory idioblasts in C. sphaerocephala. Secretory trichomes are present in the Orthopappus angustifolius rhizophore. Histochemical tests have shown that all types of secretory structure possess substances containing lipids. (C) 2008 The Linnean Society of London.

Underground systems of Asteraceae species from the Brazilian Cerrado

Underground systems of Asteraceac species from the Brazilian Cerrado. The aim or this study was to describe the underground systems structure, the origin of the shoot buds, and to identify the storage reserve of seven Asteraceae species in order to understand the adaptive strategies of these species in burned Cerrado areas and their higher frequency in the floristic Surveys for herbaceous and undershrub layers of this biome. The subterranean systems types-diffuse underground system, rhizophore, tuberous roots, and xylopodium-varied among the studied species, but all of them have high shoot bud-forming potential. Fructans of the inulin type were detected as storage substances. The presence of these characteristics on the underground systems Could explain the frequency of these species in the floristic surveys from the Brazilian Cerrado, in which Fire and seasonal drought are frequent. It is possible that the belowground bud banks in the Cerrado biome are as important as demonstrated in North American prairies where fire is also frequent. However, in the Cerrado, as demonstrated here, there are types of underground systems other than rhizomes that are usually described in the prairie. Understanding the anatomical features of these plants is one of the steps to appropriate conservation management of these species in the Cerrado.

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.