Student-like models for risky asset with dependence

We present a new construction of the Student and Student-like fractal activity time model for risky asset. The construction uses the diffusion processes and their superpositions and allows for specified exact Student or Student-like marginal distributions of the returns and for flexible and tractable dependence structure. The fractal activity time is asymptotically self-similar, which is a desired feature seen in practice.     

Optimal estimation of a signal perturbed by a sub-fractional Brownian motion

We consider the problem of optimal estimation of the vector parameter θ of the drift term in a sub-fractional Brownian motion. We obtain the maximum likelihood estimator as well as Bayesian estimator when the prior distribution is Gaussian.     

Singular mean-field control games

This article studies singular mean field control problems and singular mean field two-players stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium are obtained. Under some assumptions the optimality conditions for singular mean-field control are reduced to a reflected Skorohod problem, whose solution is proved to exist uniquely. Motivations are given as optimal harvesting of stochastic mean-field systems, optimal irreversible investments under uncertainty and mean-field singular investment games. In particular, a simple singular mean-field investment game is studied, where the Nash equilibrium exists but is not unique.     

Local Release of VEGF Using Fiber Mats Enables Effective Transplantation of Layered Cardiomyocyte Sheets

Cell sheet transplantation is a key tissue engineering technology. A vascular endothelial growth factor (VEGF)‐releasing fiber mat is developed for the transplantation of multilayered cardiomyocyte sheets. Poly(vinyl alcohol) fiber mats bearing poly(lactic‐co‐glycolic acid) nanoparticles that incorporate VEGF are fabricated using electrospinning and electrospray methods. Six‐layered cardiomyocyte sheets are transplanted with a VEGF‐releasing mat into athymic rats. After two weeks, these sheets produce thicker cardiomyocyte layers compared with controls lacking a VEGF‐releasing mat, and incorporate larger‐diameter blood vessels containing erythrocytes. Thus, local VEGF release near the transplanted cardiomyocytes induces vascularization, which supplies sufficient oxygen and nutrients to prevent necrosis. In contrast, cardiomyocyte sheets without a VEGF‐releasing mat do not survive in vivo, probably undergo necrosis, and are reduced in thickness. Hence, these VEGF‐releasing mats enable the transplantation of multilayered cardiomyocyte sheets in a single procedure, and should expand the potential of cell sheet transplantation for therapeutic applications.

     

Stochastic model for the nonlinear point reactor kinetics equations in the presence Newtonian temperature feedback effects

A stochastic model for the nonlinear point reactor kinetics equations with Newtonian temperature feedback and multi-group of precursor delayed neutrons is presented. This model is a couple of the stiff stochastic nonlinear differential equations. The matrix formula of this stochastic nonlinear model is solved by the analytical exponential technique (AET). This proposed technique is based on the integration factor, Euler’s method and the exponential function of the coefficient matrix. This exponential function is determined via the eigenvalues and corresponding eigenvectors of the coefficient matrix. The mean neutron population of the stochastic nonlinear model in the presence Newtonian temperature feedback and six-groups of delayed neutrons is computed for various cases of the external reactivity. The numerical results of the analytical exponential technique are compared with the results of the Euler–Maruyama method and the deterministic results. This comparison confirms that the AET for stochastic nonlinear model is efficient to study the natural behavior of neutron population in the presence temperature feedback effects and multi-group of precursor delayed neutrons.     

A joint Laplace transform for pre-exit diffusion of occupation times

For a < r < b, the approach of Li and Zhou (2014) is adopted to find joint Laplace transforms of occupation times over intervals (a, r) and (r, b) for a time homogeneous diffusion process before it first exits from either a or b. The results are expressed in terms of solutions to the differential equations associated with the diffusions generator. Applying these results, we obtain more explicit expressions on the joint Laplace transforms of occupation times for Brownian motion with drift, Brownian motion with alternating drift and skew Brownian motion, respectively.     

PERSISTENCE AND EXTINCTION OF A STOCHASTIC SIS EPIDEMIC MODEL WITH DOUBLE EPIDEMIC HYPOTHESIS

In this paper, we aim at dynamical behaviors of a stochastic SIS epidemic model with double epidemic hypothesis. Sufficient conditions for the extinction and persistence in mean are derived via constructing suitable functions. We obtain a threshold of stochastic SIS epidemic model, which determines how the diseases spread when the white noises are small. Numerical simulations are used to illustrate the efficiency of the main results of this article.     

A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic

We consider a family of non-deterministic fluid models that can be approximated under heavy traffic conditions by a multidimensional reflected fractional Brownian motion (rfBm). Specifically, we prove a heavy traffic limit theorem for multi-station fluid models with feedback and non-deterministic arrival process generated by a large enough number of heavy tailed ON/OFF sources, say N$N$. Scaling in time by a factor r$r$ and in state space conveniently, and letting N$N$ and r$r$ approach infinity (in this order) we prove that the scaled immediate workload process converges in some sense to a rfBm.     

Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps

In this paper, we study the existence and uniqueness of mild solutions to semilinear backward stochastic evolution equations driven by the cylindrical I$I$-Brownian motion and the Poisson point process in a Hilbert space with non-Lipschitzian coefficients by the successive approximation.     

Intersection Local Time for Two Independent Fractional Brownian Motions

Let B ^H and be two independent, d-dimensional fractional Brownian motions with Hurst parameter H∈(0,1). Assume d≥2. We prove that the intersection local time of B ^H and