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 the convergence of successive Galerkin approximation for nonlinear output feedback H(infinity) control

Although the formulation of the nonlinear theory of H(infinity) control has been well developed, solving the Hamilton-Jacobi-Isaacs equation remains a challenge and is the major bottleneck for practical application of the theory. Several numerical methods have been proposed for its solution. In this paper, results on convergence and stability for a successive Galerkin approximation approach for nonlinear H(infinity) control via output feedback are presented. An example is presented illustrating the application of the algorithm.

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.

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.

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.

Postural control during kneeling

Postural control was studied when the subject was kneeling with erect trunk in a quiet posture and compared to that obtained during quiet standing. The analysis was based on the center of pressure motion in the sagittal plane (CPx), both in the time and in the frequency domains. One could assume that postural control during kneeling would be poorer than in standing because it is a less natural posture. This could cause a higher CPx variability. The power spectral density (PSD) of the CPx obtained from the experimental data in the kneeling position (KN) showed a significant decrease at frequencies below 0.3 Hz compared to upright (UP) (P < 0.01), which indicates less sway in KN. Conversely, there was an increase in fast postural oscillations (above 0.7 Hz) during KN compared to UP (P < 0.05). The root mean square (RMS) of the CPx was higher for UP (P < 0.01) while the mean velocity (MV) was higher during KN (P < 0.05). Lack of vision had a significant effect on the PSD and the parameters estimated from the CPx in both positions. We also sought to verify whether the changes in the PSD of the CPx found between the UP and KN positions were exclusively due to biomechanical factors (e.g., lowered center of gravity), or also reflected changes in the neural processes involved in the control of balance. To reach this goal, besides the experimental approach, a simple feedback model (a PID neural system, with added neural noise and controlling an inverted pendulum) was used to simulate postural sway in both conditions (in KN the pendulum was shortened, the mass and the moment of inertia were decreased). A parameter optimization method was used to fit the CPx power spectrum given by the model to that obtained experimentally. The results indicated that the changed anthropometric parameters in KN would indeed cause a large decrease in the power spectrum at low frequencies. However, the model fitting also showed that there were considerable changes also in the neural subsystem when the subject went from standing to kneeling. There was a lowering of the proportional and derivative gains and an increase in the neural noise power. Additional increases in the neural noise power were found also when the subject closed his eyes.

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.

A new technique to control brushless motor for blood pump application

This article presents a back-electromotive force (BEMF)-based technique of detection for sensorless brushless direct current motor (BLDCM) drivers. The BLDCM has been chosen as the energy converter in rotary or pulsatile blood pumps that use electrical motors for pumping. However, in order to operate properly, the BLDCM driver needs to know the shaft position. Usually, that information is obtained through a set of Hall sensors assembled close to the rotor and connected to the electronic controller by wires. Sometimes, a large distance between the motor and controller makes the system susceptible to interference on the sensor signal because of winding current switching. Thus, the goal of the sensorless technique presented in this study is to avoid this problem. First, the operation of BLDCM was evaluated on the electronic simulator PSpice. Then, a BEMF detector circuitry was assembled in our laboratories. For the tests, a sensor-dependent system was assembled where the direct comparison between the Hall sensors signals and the detected signals was performed. The obtained results showed that the output sensorless detector signals are very similar to the Hall signals at speeds of more than 2500 rpm. Therefore, the sensorless technique is recommended as a responsible or redundant system to be used in rotary blood pumps.

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.

Closed-loop model re-identification of processes under MPC with zone control

This work deals with a procedure for model re-identification of a process in closed loop with ail already existing commercial MPC. The controller considered here has a two-layer structure where the upper layer performs a target calculation based on a simplified steady-state optimization of the process. Here, it is proposed a methodology where a test signal is introduced in a tuning parameter of the target calculation layer. When the outputs are controlled by zones instead of at fixed set points, the approach allows the continuous operation of the process without an excessive disruption of the operating objectives as process constraints and product specifications remain satisfied during the identification test. The application of the method is illustrated through the simulation of two processes of the oil refining industry. (c) 2008 Elsevier Ltd. All rights reserved.

Allelopathic potential of bark and leaves of Esenbeckia leiocarpa Engl. (Rutaceae)

We investigated the inhibitory potential of aqueous extracts of bark and leaves of Esenbeckia leiocarpa Engl. on lettuce germination and early seedling growth. We compared the effects of four concentrations (100, 75, 50 and 25%) of each extract to water and polyethylene glycol (PEG 6000) solution controls for four replicates of 50 seeds tor germination and four replicates of ten seedlings for seedling growth. The inhibitory effects of E. leiocarpa extracts on the percentage of germination and on the germination speed seemed to be inure than simply an osmotic effect, except for the percentage of seeds germinated in bark extracts. When compared to water control. both bark and leaf extracts delayed germination, and leaf extracts also affected the percentage of germinated seeds. Leaf ex tracts of all concentrations strongly inhibited the development of seedlings and caused them some degree of abnormality; bark extracts also caused abnormalities and reduced seedling growth. Root development was more sensitive to the extracts than hypocotyl growth. The negative effects of leaf extracts on germination and seedling growth were more pronounced than those of bark extracts, and the overall effects of both extracts were positively correlated with extract concentrations.

Impact of seedling removal on regenerating community structure of a seasonal semideciduous forest

(Impact of seedling removal on regenerating community structure of a seasonal semideciduous forest). Transplanting seedlings and saplings from natural forests has been considered an alternative to producing saplings of native species for forest restoration purposes, but the possible impact of this procedure on plant community regeneration has not been investigated. This work evaluates the impact of different treatments of shrub and tree-seedling (up to 30 cm) removal from a seasonal semideciduous forest fragment located in southeastern Brazil on the natural regeneration process. Eighty 2x2 m plots were installed in two habitats (forest edge and interior) and submitted to four seedling-removal treatments (I, II - 100% removal with or without soil mixing; III - 50% removal without soil mixing: and IV - control treatment Without seedling removal). Regeneration density and richness were evaluated before treatment as well as 6, 12 and 18 months later. The results were compared among treatments for each evaluation period and among periods within treatments. There were similarities between edge and interior. The natural regeneration process did not improve with soil mixing. Plots submitted to seedling removal partially recovered plant density; however, these plots had lower species richness when compared to the control and to the initial values before treatment. Seedling removal has a negative impact on the regeneration process of low-density species, thus the use of natural regeneration as a sapling source for forest restoration purposes should focus only on high-density species with well-known regeneration strategies and not on the community as a whole.

On estimation and influence diagnostics for zero-inflated negative binomial regression models

The zero-inflated negative binomial model is used to account for overdispersion detected in data that are initially analyzed under the zero-Inflated Poisson model A frequentist analysis a jackknife estimator and a non-parametric bootstrap for parameter estimation of zero-inflated negative binomial regression models are considered In addition an EM-type algorithm is developed for performing maximum likelihood estimation Then the appropriate matrices for assessing local influence on the parameter estimates under different perturbation schemes and some ways to perform global influence analysis are derived In order to study departures from the error assumption as well as the presence of outliers residual analysis based on the standardized Pearson residuals is discussed The relevance of the approach is illustrated with a real data set where It is shown that zero-inflated negative binomial regression models seems to fit the data better than the Poisson counterpart (C) 2010 Elsevier B V All rights reserved

Why don`t our stands grow even faster? Control of production and carbon cycling in eucalypt plantations

The growth of Eucalyptus stands varies several fold across sites, under the influence of resource availability, stand age and stand structure. We describe a series of related studies that aim to understand the mechanisms that drive this great range in stand growth rates. In a seven-year study in Hawaii of Eucalyptus saligna at a site that was not water limited, we showed that nutrient availability differences led to a two-fold difference in stand wood production. Increasing nutrient supply in mid-rotation raised productivity to the level attained in continuously fertilised plots. Fertility affected the age-related decline in wood and foliage production; production in the intensive fertility treatments declined more slowly than in the minimal fertility treatments. The decline in stem production was driven largely by a decline in canopy photosynthesis. Over time, the fraction of canopy photosynthesis partitioned to below-ground allocation increased, as did foliar respiration, further reducing wood production. The reason for the decline in photosynthesis was uncertain, but it was not caused by nutrient limitation, a decline in leaf area or in photosynthetic capacity, or by hydraulic limitation. Most of the increase in carbon stored from conversion of the sugarcane plantation to Eucalyptus plantation was in the above-ground woody biomass. Soil carbon showed no net change. This study and other studies on carbon allocation showed that resource availability changes the fraction of annual photosynthesis used below-ground and for wood production. High resources (nutrition or water) decrease the partitioning below-ground and increase partitioning to wood production. Annual foliage and wood respiration and foliage production as a fraction of annual photosynthesis was remarkably constant across a wide range of fertility treatments and forest age. In the Brazil Eucalyptus Productivity Project, stand structure was manipulated by planting clonal Eucalyptus all at once or in three groups at three-monthly intervals, producing a stand where trees did not segregate into dominants and one that had strong dominance. The uneven stand structure reduced production 10-15% throughout the rotation.