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.

Network of phase-locking oscillators and a possible model for neural synchronization

In order to model the synchronization of brain signals, a three-node fully-connected network is presented. The nodes are considered to be voltage control oscillator neurons (VCON) allowing to conjecture about how the whole process depends on synaptic gains, free-running frequencies and delays. The VCON, represented by phase-locked loops (PLL), are fully-connected and, as a consequence, an asymptotically stable synchronous state appears. Here, an expression for the synchronous state frequency is derived and the parameter dependence of its stability is discussed. Numerical simulations are performed providing conditions for the use of the derived formulae. Model differential equations are hard to be analytically treated, but some simplifying assumptions combined with simulations provide an alternative formulation for the long-term behavior of the fully-connected VCON network. Regarding this kind of network as models for brain frequency signal processing, with each PLL representing a neuron (VCON), conditions for their synchronization are proposed, considering the different bands of brain activity signals and relating them to synaptic gains, delays and free-running frequencies. For the delta waves, the synchronous state depends strongly on the delays. However, for alpha, beta and theta waves, the free-running individual frequencies determine the synchronous state. (C) 2011 Elsevier B.V. All rights reserved.

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

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.

Singular Perturbation for the Discounted Continuous Control of Piecewise Deterministic Markov Processes

This paper deals with the expected discounted continuous control of piecewise deterministic Markov processes (PDMP`s) using a singular perturbation approach for dealing with rapidly oscillating parameters. The state space of the PDMP is written as the product of a finite set and a subset of the Euclidean space a""e (n) . The discrete part of the state, called the regime, characterizes the mode of operation of the physical system under consideration, and is supposed to have a fast (associated to a small parameter epsilon > 0) and a slow behavior. By using a similar approach as developed in Yin and Zhang (Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach, Applications of Mathematics, vol. 37, Springer, New York, 1998, Chaps. 1 and 3) the idea in this paper is to reduce the number of regimes by considering an averaged model in which the regimes within the same class are aggregated through the quasi-stationary distribution so that the different states in this class are replaced by a single one. The main goal is to show that the value function of the control problem for the system driven by the perturbed Markov chain converges to the value function of this limit control problem as epsilon goes to zero. This convergence is obtained by, roughly speaking, showing that the infimum and supremum limits of the value functions satisfy two optimality inequalities as epsilon goes to zero. This enables us to show the result by invoking a uniqueness argument, without needing any kind of Lipschitz continuity condition.

Cardiovascular Simulator Improvement: Pressure Versus Volume Loop Assessment

This article presents improvement on a physical cardiovascular simulator (PCS) system. Intraventricular pressure versus intraventricular volume (PxV) loop was obtained to evaluate performance of a pulsatile chamber mimicking the human left ventricle. PxV loop shows heart contractility and is normally used to evaluate heart performance. In many heart diseases, the stroke volume decreases because of low heart contractility. This pathological situation must be simulated by the PCS in order to evaluate the assistance provided by a ventricular assist device (VAD). The PCS system is automatically controlled by a computer and is an auxiliary tool for VAD control strategies development. This PCS system is according to a Windkessel model where lumped parameters are used for cardiovascular system analysis. Peripheral resistance, arteries compliance, and fluid inertance are simulated. The simulator has an actuator with a roller screw and brushless direct current motor, and the stroke volume is regulated by the actuator displacement. Internal pressure and volume measurements are monitored to obtain the PxV loop. Left chamber internal pressure is directly obtained by pressure transducer; however, internal volume has been obtained indirectly by using a linear variable differential transformer, which senses the diaphragm displacement. Correlations between the internal volume and diaphragm position are made. LabVIEW integrates these signals and shows the pressure versus internal volume loop. The results that have been obtained from the PCS system show PxV loops at different ventricle elastances, making possible the simulation of pathological situations. A preliminary test with a pulsatile VAD attached to PCS system was made.

Three-Dimensional Stress Distribution in the Human Periodontal Ligament in Masticatory, Parafunctional, and Trauma Loads: Finite Element Analysis

Background: The presence of the periodontal ligament (PDL) makes it possible to absorb and distribute loads produced during masticatory function and other tooth contacts into the alveolar process via the alveolar bone proper. However, several factors affect the integrity of periodontal structures causing the destruction of the connective matrix and cells, the loss of fibrous attachment, and the resorption of alveolar bone. Methods: The purpose of this study was to evaluate the stress distribution by finite element analysis in a PDL in three-dimensional models of the upper central incisor under three different load conditions: 100 N occlusal loading at 45 degrees (model 1: masticatory load); 500 N at the incisal edge at 45 degrees (model 2: parafunctional habit); and 800 N at the buccal surface at 90 degrees (model 3: trauma case). The models were built from computed tomography scans. Results: The stress distribution was quite different among the models. The most significant values (harmful) of tensile and compressive stresses were observed in models 2 and 3, with similarly distinct patterns of stress distributions along the PDL. Tensile stresses were observed along the internal and external aspects of the PDL, mostly at the cervical and middle thirds. Conclusions: The stress generation in these models may affect the integrity of periodontal structures. A better understanding of the biomechanical behavior of the PDL under physiologic and traumatic loading conditions might enhance the understanding of the biologic reaction of the PDL in health and disease. J Periodontol 2009;80:1859-1867.

Transmission of Methylobacterium mesophilicum by Bucephalogonia xanthophis for Paratransgenic Control Strategy of Citrus Variegated Chlorosis

Methylobacterium mesophilicum, originally isolated as an endophytic bacterium from citrus plants, was genetically transformed to express green fluorescent protein (GFP). The GFP-labeled strain of M. mesophilicum was inoculated into Catharanthus roseus (model plant) seedlings and further observed colonizing its xylem vessels. The transmission of this endophyte by Bucephalogonia xanthophis, one of the insect vectors that transmit Xylella fastidiosa subsp. pauca, was verified by insects feeding from fluids containing the GFP bacterium followed by transmission to plants and isolating the endophyte from C. roseus plants. Forty-five days after inoculation, the plants exhibited endophytic colonization by M. mesophilicum, confirming this bacterium as a nonpathogenic, xylem-associated endophyte. Our data demonstrate that M. mesophilicum not only occupy the same niche of X. fastidiosa subsp. pauca inside plants but also may be transmitted by B. xanthophis. The transmission, colonization, and genetic manipulation of M. mesophilicum is a prerequisite to examining the potential use of symbiotic control to interrupt the transmission of X. fastidiosa subsp. pauca, the bacterial pathogen causing Citrus variegated chlorosis by insect vectors.

Time course proteomic profiling of human myocardial infarction plasma samples: An approach to new biomarker discovery

Background: The aim of this study was to identify novel candidate biomarker proteins differentially expressed in the plasma of patients with early stage acute myocardial infarction (AMI) using SELDI-TOF-MS as a high throughput screening technology. Methods: Ten individuals with recent acute ischemic-type chest pain (< 12 h duration) and ST-segment elevation AMI (1STEMI) and after a second AMI (2STEMI) were selected. Blood samples were drawn at six times after STEMI diagnosis. The first stage (T(0)) was in Emergency Unit before receiving any medication, the second was just after primary angioplasty (T(2)), and the next four stages occurred at 12 h intervals after T(0). Individuals (n = 7) with similar risk factors for cardiovascular disease and normal ergometric test were selected as a control group (CG). Plasma proteomic profiling analysis was performed using the top-down (i.e. intact proteins) SELDI-TOF-MS, after processing in a Multiple Affinity Removal Spin Cartridge System (Agilent). Results: Compared with the CG, the 1STEMI group exhibited 510 differentially expressed protein peaks in the first 48 h after the AMI (p < 0.05). The 2STEMI group, had similar to 85% fewer differently expressed protein peaks than those without previous history of AMI (76, p < 0.05). Among the 16 differentially-regulated protein peaks common to both STEMI cohorts (compared with the CG at T(0)), 6 peaks were persistently down-regulated at more than one time-stage, and also were inversed correlated with serum protein markers (cTnI, CK and CKMB) during 48 h-period after IAM. Conclusions: Proteomic analysis by SELDI-TOF-MS technology combined with bioinformatics tools demonstrated differential expression during a 48 h time course suggests a potential role of some of these proteins as biomarkers for the very early stages of AMI, as well as for monitoring early cardiac ischemic recovery. (C) 2011 Elsevier B.V. All rights reserved.

Study of lymphocyte subpopulations in bone marrow in a model of protein-energy malnutrition

Objective: Protein-energy malnutrition (PEM) is an important public health problem affecting millions of people worldwide. Hematopoietic tissue requires a high nutrient supply, and a reduction in leukocytes, especially lymphocytes, suggests that some nutritional deficiencies might be altering bone marrow function and decreasing its ability to produce lymphocytes. In this study, we evaluated the effect that PEM has on lymphocyte subtypes and the cell cycle of CD5(+) cells. Methods: Swiss mice were subjected to PEM using a low-protein diet containing 4% protein. When the experimental group had lost about 20% of their original body weight, we collected blood and bone marrow cells and evaluated the hemogram, the myelogram, bone marrow lymphoid markers using flow cytometry, and the cell cycle in CD5(+) bone marrow. Results: Malnourished animals presented anemia, reticulocytopenia, and leukopenia with lymphopenia. The bone marrow was hypocellular, and flow cytometric analyses of bone marrow cells showed cells that were CD45(+) (91.2%), CD2(+) (84.9%), CD5(+) (37.3%), CD3(+) (23.5%), CD19(+) (43.3%), CD22(+) (34.7%), CD19(+)/CD2(+) (51.2%), CD19(+)/CD3(+)(24.0%), CD19(+)/CD5(+) (13.2%), CD22(+)/CD2(+) (40.1%), CD22(+)/CD3(+) (30.3%), and CD22(+)/CD5(+) (1.1%) in malnourished animals and CD45(+) (97.5%), CD2(+) (42.9%), CD5(+) (91.5%), CD3(+) (92.0%), CD19(+) (52.0%), CD22(+) (75.6%), CD19(+)/CD2(+) (62.0%), CD19(+)/CD3(+) (55.4%), CD19(+)/CO5(+) (6.7%), CD22(+)/CD2(+) (70.3%), CD22(+)/CD3(+) (55.9%), and CD22(+)/ CD5(+) (8.4%) in control animals. Malnourished animals also presented more CD5(+) cells in the G0 phase of cell cycle development. Conclusion: Malnourished animals presented bone marrow hypoplasia, maturation interruption, prominent lymphopenia with depletion in the lymphoid lineage, and changes in cellular development. We suggest that these changes are some of the primary causes of lymphopenia in cases of PEM and partly explain the increase in susceptibility to infections found in malnourished individuals. Published by Elsevier Inc.

Increased class A scavenger receptor and glomerular lipid precede mesangial matrix expansion in the bGH mouse model

Objective: Elevated neutral lipid content and mRNA expression of class A scavenger receptor (SRA) have been found in the renal cortex of the bovine growth hormone (bGH) mouse model of progressive glomerulosclerosis (GS). We hypothesize that the increased expression of SRA precedes glomerular scarring in this model. Design: Real time RT-PCR and immunofluorescence were employed to measure SRA and collagen types I and IV in the bGH transgenic and control mice at 5 and 12 weeks (wk) of age to determine the chronology of change in SRA expression in relation to glomerular scarring. Alternative mechanisms for increasing glomerular lipid were assessed by measuring mRNA expression levels of low-density lipoprotein receptor (LDL-r), 3-hydroxy-3-methylglutaryl coenzyme A reductase (HMGR), and ATP-binding cassette transporter A1 (ABCA1). In addition, the involvement of macrophages in early GS was assessed by CD68 mRNA expression in kidney cortex. Results: Both mRNA and protein levels of SRA were significantly increased in 5-wk bGH compared with control mice, whereas the expression of collagen I and IV was unaltered. Unchanged levels of LDL-r and HMGR mRNA indicate that neither regulated cholesterol uptake via LDL-r nor the cholesterol synthetic pathway played a role in the early lipid increase. The finding of increased ABCA1 expression was an indicator of excess intracellular lipid in the renal cortex of bGH mice at 5 wk. CD68 expression in bGH did not differ significantly from that of controls at 5 wk suggesting that cortical macrophage infiltration was not increased in bGH mice at this time point. Conclusion: An early increase in SRA mRNA and protein expression in the bGH kidney precedes glomerular scarring and is independent of macrophage influx. Published by Elsevier Ltd. on behalf of Growth Hormone Research Society.

RECK-Mediated Inhibition of Glioma Migration and Invasion

RECK is an anti-tumoral gene whose activity has been associated with its inhibitory effects regulating MMP-2, MMP-9, and MT1-MMP. RECK level decreases as gliobastoma progresses, varying from less invasive grade II gliomas to very invasive human glioblastoma multiforme (GBM). Since RECK expression and glioma invasiveness show an inverse correlation, the aim of the present study is to investigate whether RECK expression would inhibit glioma invasive behavior. We conducted this study to explore forced RECK expression in the highly invasive T98G human GBM cell line. Expression levels as well as protein levels of RECK, MMP-2, MMP-9, and MT1-MMP were assessed by qPCR and immunoblotting in T98G/RECK+ cells. The invasion and migration capacity of RECK+ cells was inhibited in transwell and wound assays. Dramatic cytoskeleton modifications were observed in the T98G/RECK+ cells, when compared to control cells, such as the abundance of stress fibers (contractile actin-myosin II bundles) and alteration of lamellipodia. T98G/RECK+ cells also displayed phosphorylatecl focal adhesion kinase (P-FAK) in mature focal adhesions associated with stress fibers; whereas P-FAK in control cells was mostly associated with immature focal complexes. Interestingly, the RECK protein was predominantly localized at the leading edge of migrating cells, associated with membrane ruffles. Unexpectedly, introduced expression of RECK effectively inhibited the invasive process through rearrangement of actin filaments, promoting a decrease in migratory ability. This work has associated RECK tumor-suppressing activity with the inhibition of motility and invasion in this GBM model, which are two glioma characteristics responsible for the inefficiency of current available treatments. J. Cell. Biochem. 110: 52-61, 2010. (C) 2010 Wiley-Liss. Inc.

Influence of a probiotic soy product on fecal microbiota and its association with cardiovascular risk factors in an animal model

Background: Previous work showed that daily ingestion of an aqueous soy extract fermented with Enterococcus faecium CRL 183 and Lactobacillus helveticus 416, supplemented or not with isoflavones, reduced the total cholesterol and non-HDL-cholesterol levels, increased the high-density lipoprotein (HDL) concentration and inhibited the raising of autoantibody against oxidized low-density lipoprotein (ox-LDL Ab) and the development of atherosclerotic lesions. Objective: The aim of this study was to characterize the fecal microbiota in order to investigate the possible correlation between fecal microbiota, serum lipid parameters and atherosclerotic lesion development in rabbits with induced hypercholesterolemia, that ingested the aqueous soy extract fermented with Enterococcus faecium CRL 183 and Lactobacillus helveticus 416. Methods: The rabbits were randomly allocated to five experimental groups (n = 6): control (C), hypercholesterolemic (H), hypercholesterolemic plus unfermented soy product (HUF), hypercholesterolemic plus fermented soy product (HF) and hypercholesterolemic plus isoflavone-supplemented fermented soy product (HIF). Lipid parameters and microbiota composition were analyzed on days 0 and 60 of the treatment and the atherosclerotic lesions were quantified at the end of the experiment. The fecal microbiota was characterized by enumerating the Lactobacillus spp., Bifidobacterium spp., Enterococcus spp., Enterobacteria and Clostridium spp. populations. Results: After 60 days of the experiment, intake of the probiotic soy product was correlated with significant increases (P < 0.05) on Lactobacillus spp., Bifidobacterium spp. and Enterococcus spp. and a decrease in the Enterobacteria population. A strong correlation was observed between microbiota composition and lipid profile. Populations of Enterococcus spp., Lactobacillus spp. and Bifidobacterium spp. were negatively correlated with total cholesterol, non-HDL-cholesterol, autoantibodies against oxidized LDL (ox-LDL Ab) and lesion size. HDL-C levels were positively correlated with Lactobacillus spp., Bifidobacterium spp., and Enterococcus spp. populations. Conclusion: In conclusion, daily ingestion of the probiotic soy product, supplemented or not with isoflavones, may contribute to a beneficial balance of the fecal microbiota and this modulation is associated with an improved cholesterol profile and inhibition of atherosclerotic lesion development.