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)).

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.

Comparison of friction models applied to a control valve

Eight different models to represent the effect of friction in control valves are presented: four models based on physical principles and four empirical ones. The physical models, both static and dynamic, have the same structure. The models are implemented in Simulink/Matlab (R) and compared, using different friction coefficients and input signals. Three of the models were able to reproduce the stick-slip phenomenon and passed all the tests, which were applied following ISA standards. (C) 2008 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.

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.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Comparison of the Salmonella/Microsome Microsuspension Assay with the new Microplate Fluctuation Protocol for Testing the Mutagenicity of Environmental Samples

The objective of this study was to compare the responses of the Salmonella/microsome microsuspension assay with the new microplate fluctuation protocol (MPF) for the evaluation of the mutagenic activity of environmental samples. Organic extracts of total particulate atmospheric air samples, surface waters, and effluents were tested in dose-response experiments. The assays were performed with strain TA98 in the absence and presence of S9 mix. Both protocols produced similar results, despite the fact that the maximum score of the MPF is limited to 48 wells, whereas in the regular plate assay it is possible to count up to 1,500 colonies using an automatic counter. Similar sensitivities based on the lowest dose that resulted in a positive response were obtained for both assays. The MPF procedure is less laborious (e.g., all-liquid format, use of multi-channel pipettors) and allows for automation of the pipetting and dispensing steps, thus, reducing time of the analysis which is particularly important in environmental quality monitoring programs or in effect-directed analysis. The results show that the MPF procedure is a promising tool to test environmental samples for mutagenic activity. Environ. Mol. Mutagen. 51:31-38, 2010. (C) 2009 Wiley-Liss, Inc.

Redefining functional models of basal ganglia organisation: Role for the posteroventral pallidum in linguistic processing?

Traditionally the basal ganglia have been implicated in motor behavior, as they are involved in both the execution of automatic actions and the modification of ongoing actions in novel contexts. Corresponding to cognition, the role of the basal ganglia has not been defined as explicitly. Relative to linguistic processes, contemporary theories of subcortical participation in language have endorsed a role for the globus pallidus internus (GPi) in the control of lexical-semantic operations. However, attempts to empirically validate these postulates have been largely limited to neuropsychological investigations of verbal fluency abilities subsequent to pallidotomy. We evaluated the impact of bilateral posteroventral pallidotomy (BPVP) on language function across a range of general and high-level linguistic abilities, and validated/extended working theories of pallidal participation in language. Comprehensive linguistic profiles were compiled up to 1 month before and 3 months after BPVP in 6 subjects with Parkinson's disease (PD). Commensurate linguistic profiles were also gathered over a 3-month period for a nonsurgical control cohort of 16 subjects with PD and a group of 16 non-neurologically impaired controls (NC). Nonparametric between-groups comparisons were conducted and reliable change indices calculated, relative to baseline/3-month follow-up difference scores. Group-wise statistical comparisons between the three groups failed to reveal significant postoperative changes in language performance. Case-by-case data analysis relative to clinically consequential change indices revealed reliable alterations in performance across several language variables as a consequence of BPVP. These findings lend support to models of subcortical participation in language, which promote a role for the GPi in lexical-semantic manipulation mechanisms. Concomitant improvements and decrements in postoperative performance were interpreted within the context of additive and subtractive postlesional effects. Relative to parkinsonian cohorts, clinically reliable versus statistically significant changes on a case by case basis may provide the most accurate method of characterizing the way in which pathophysiologically divergent basal ganglia linguistic circuits respond to BPVP.

Discourse priming of homophones in individuals with dominant subcortical lesions, cortical lesions, and Parkinson’s disease

An on-line priming experiment was used to investigate discourse-level processing in four matched groups of subjects: individuals with nonthalamic subcortical lesions (NSL) ( n =10), normal control subjects ( n =10), subjects with Parkinsons disease (PD) ( n =10), and subjects with cortical lesions ( n =10). Subjects listened to paragraphs that ended in lexical ambiguities, and then made speeded lexical decisions on visual letter strings that were: nonwords, matched control words, contextually appropriate associates of the lexical ambiguity, contextually inappropriate associates of the ambiguity, and inferences (representing information which could be drawn from the paragraphs but was not explicitly stated). Targets were presented at an interstimulus interval (ISI) of 0 or 1000ms. NSL and PD subjects demonstrated priming for appropriate and inappropriate associates at the short ISI, similar to control subjects and cortical lesion subjects, but were unable to demonstrate selective priming of the appropriate associate and inference words at the long ISI. These results imply intact automatic lexical processing and a breakdown in discourse-based meaning selection and inference development via attentional/strategic mechanisms.

A Nonstationary Model of Newborn EEG

The detection of seizure in the newborn is a critical aspect of neurological research. Current automatic detection techniques are difficult to assess due to the problems associated with acquiring and labelling newborn electroencephalogram (EEG) data. A realistic model for newborn EEG would allow confident development, assessment and comparison of these detection techniques. This paper presents a model for newborn EEG that accounts for its self-similar and non-stationary nature. The model consists of background and seizure sub-models. The newborn EEG background model is based on the short-time power spectrum with a time-varying power law. The relationship between the fractal dimension and the power law of a power spectrum is utilized for accurate estimation of the short-time power law exponent. The newborn EEG seizure model is based on a well-known time-frequency signal model. This model addresses all significant time-frequency characteristics of newborn EEG seizure which include; multiple components or harmonics, piecewise linear instantaneous frequency laws and harmonic amplitude modulation. Estimates of the parameters of both models are shown to be random and are modelled using the data from a total of 500 background epochs and 204 seizure epochs. The newborn EEG background and seizure models are validated against real newborn EEG data using the correlation coefficient. The results show that the output of the proposed models has a higher correlation with real newborn EEG than currently accepted models (a 10% and 38% improvement for background and seizure models, respectively).

The attentional demands of preferred and non-preferred gait patterns

The purpose of this study was to determine the attentional demands of natural and imposed gait, as well as the attentional costs of transitions between the walking and running co-ordination patterns. Seven healthy young men and four healthy young women undertook an auditory probe reaction time task concurrently with self-selected gait (Experiment 1) and imposed walking and running (Experiment 2) at different speeds on a motor-driven treadmill. In Experiment 1, where participants were free to choose their own movement pattern to match the speed of travel of the treadmill, normal gait control was shown to have a significant attentional cost, and hence not be automatic in the classical sense. However, this attentional cost did not differ between the two gait modes or at the transition point. In Experiment 2, where participants were required to maintain specific gait modes regardless of the treadmill speed, the maintenance of walking at speeds normally associated with running was found to have an attentional cost whereas this was not the case for running at normal walking speeds. Collectively the findings support a model of gait control in which the normal switching between gait modes is determined with minimal attention demand and in which it is possible to sustain non-preferred gait modes although, in the case of walking, only at a significant attentional/cognitive cost. © 2002 Elsevier Science B.V. All rights reserved.

Strategies of accommodation: Development of a coding system for conversational interaction

This study describes a coding system developed to operationalize the sociolinguistic strategies proposed by communication accommodation theory (CAT) in an academic context. Fifty interactions between two students (of Australian or Chinese ethnic background) or a student and faculty member were videotaped. A turn- and episode-based coding system was developed, focusing on verbal and nonverbal behavior. The development of this system is described in detail, before results are presented. Results indicated that status was the main influence on choice of strategies, particularly the extent and type of discourse management and interpersonal control. Participants' sew and ethnicity also played a role: Male participants made more use of interpretability (largely questions), whereas female participants used discourse management to develop a shared perspective. The results make clear that there is no automatic correspondence between behaviors and the strategies they constitute, and they point to the appropriateness of conceptualizing behavior and strategies separately in CAT.

Movement-related potentials in Parkinson's disease: External cues and attentional strategies

Hypokinetic movement can be greatly improved in Parkinson's disease patients by the provision of external cues to guide movement. It has recently been reported, however, that movement performance in parkinsonian patients can be similarly improved in the absence of external cues by using attentional strategies, whereby patients are instructed to consciously attend to particular aspects of the movement which would normally be controlled automatically. To study the neurophysiological basis of such improvements in performance associated with the use of attentional strategies, movement-related cortical potentials were examined in Parkinson's disease and control subjects using a reaction time paradigm. One group of subjects were explicitly instructed to concentrate on internally timed responses to anticipate the presentation of a predictably timed go signal. Other subjects were given no such instruction regarding attentional strategies. Early-stage premovement activity of movement-related potentials was significantly increased in amplitude and reaction times were significantly faster for Parkinson's disease subjects when instructed to direct their attention toward internally generating responses rather than relying on external cues. It is therefore suggested that the use of attentional strategies may allow movement to be mediated by less automatic and more conscious attentional motor control processes which may be less impaired by basal ganglia dysfunction, and thereby improve movement performance in Parkinson's disease.

Stereotype distinctiveness: How counterstereotypic behavior shapes the self-concept

Three experiments examined the relationship between distinctiveness and self-schematicity. Experiment I revealed that people were more likely to be self-schematic in domains of strong performance when they felt distinct from family and peers in those domains. Experiments 2 and 3 extended this finding into the arena of stereotypes by demonstrating that people were more likely to be self-schematic in domains of strong performance when their performance was counterstereotypic rather than stereotypic. In particular, African Americans and women were more likely to be schematic for intelligence than Caucasians and men if they performed well academically, whereas Caucasians-especially men-were more likely than African Americans to be schematic for athletics if they performed well athletically. These results suggest that counterstereotypic behavior plays a uniquely powerful role in the development of the self-concept.