Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

Time reversal for infinite-dimensional diffusions

Summary In this paper we analize the reversibility of the diffusion property for the solution of certain infinite-dimensional systems of stochastic differential equations. Necessary and sufficient conditions ensuring this reversibility are given. The proofs use the techniques of the stochastic calculus of variations.This work was partly done when the first author was visiting the Centre de Recerca Matemàtica at Barcelona     

Quasi sure analysis and Stratonovich anticipative stochastic differential equations

Summary Consider a stochastic differential equation on ^d with smooth and bounded coefficients. We apply the techniques of the quasi-sure analysis to show that this equation can be solved pathwise out of a slim set. Furthermore, we can restrict the equation to the level sets of a nondegenerate and smooth random variable, and this provides a method to construct the solution to an anticipating stochastic differential equation with smooth and nondegenerate initial condition.     

Smoothness of Brownian local times and related functionals

In this paper we show that the local time of the Brownian motion belongs to the Sobolev space for any p2 and 0<<1/p. In order to prove this result we first discuss the smoothness and integrability properties of the composition of the Dirac function with a Wiener integral W(h), and we show that this composition belongs to , for any >0 and p>1 such that +1/p>1.     

Determinant of a matrix that commutes with a Jordan matrix

Given a Jordan matrix J, we obtain an explicit formula for the determinant of any matrix T that commutes with it.     

Bassianolone: an antimicrobial precursor of cephalosporolides E and F from the entomoparasitic fungus Beauveria bassiana

We have established the chemical structure of (+)-bassianolone (3), the antimicrobial compound precursor of cephalosporolides E and F, and that of the furan metabolite 4 from the entomopathogenic fungus Beauveria bassiana.     

A system of grabbing particles related to Galton‐Watson trees

We consider a system of particles with arms that are activated randomly to grab other particles as a toy model for polymerization. We assume that the following two rules are fulfilled: once a particle has been grabbed then it cannot be grabbed again, and an arm cannot grab a particle that belongs to its own cluster. We are interested in the shape of a typical polymer in the situation when the initial number of monomers is large and the numbers of arms of monomers are given by i.i.d. random variables. Our main result is a limit theorem for the empirical distribution of polymers, where limit is expressed in terms of a Galton‐Watson tree. © 2010 Wiley Periodicals, Inc. Random Struct. Alg., 2010     

Central limit theorems for multiple stochastic integrals and Malliavin calculus

We give a new characterization for the convergence in distribution to a standard normal law of a sequence of multiple stochastic integrals of a fixed order with variance one, in terms of the Malliavin derivatives of the sequence. We also give a new proof of the main theorem in [D. Nualart, G. Peccati, Central limit theorems for sequences of multiple stochastic integrals, Ann. Probab. 33 (2005) 177–193] using techniques of Malliavin calculus. Finally, we extend our result to the multidimensional case and prove a weak convergence result for a sequence of square integrable random vectors, giving an application.     

Stochastic scalar conservation laws

We introduce a notion of stochastic entropic solution à la Kruzkov, but with Ito's calculus replacing deterministic calculus. This results in a rich family of stochastic inequalities defining what we mean by a solution. A uniqueness theory is then developed following a stochastic generalization of L¹ contraction estimate. An existence theory is also developed by adapting compensated compactness arguments to stochastic setting. We use approximating models of vanishing viscosity solution type for the construction. While the uniqueness result applies to any spatial dimensions, the existence result, in the absence of special structural assumptions, is restricted to one spatial dimension only.     

Computer controlled-flow injection potentiometric system based on virtual instrumentation for the monitoring of metal-biosorption processes

A completely automated flow-injection system was developed for the monitoring of biosorption studies of Cu(II) ion on vegetable waste by-products. The system employed flow-through Cu(II)-selective electrodes, of epoxy-resin-CuS/Ag₂S heterogeneous crystalline type, and computer controlled pumps and valves for the flow operation. Computer automation was done through a specially devised virtual instrument, which commanded and periodically calibrated the system, allowing for the monitoring of Cu(II) ions between 0.6 and 6530 mg L⁻¹ at a typical frequency of 15 h⁻¹. Grape stalk wastes were used as biosorbent to remove Cu(II) ions in a fixed-bed column with a sorption capacity of 5.46 mg g⁻¹, obtained by the developed flow system, while the reference determination performed by FAAS technique supplied a comparable value of 5.41 mg g⁻¹.