A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time‐dependent parameters

In a fairly recent paper (2008 American Control Conference, June 11‐13, 1035‐1039), the problem of dealing with trading in optimal pairs was treated from the viewpoint of stochastic control. The analysis of the subsequent nonlinear evolution partial differential equation was based upon a succession of Ansätze, which can lead to a solution of the terminal‐value problem. Through an application of the Lie Theory of Continuous Groups to this equation, we show that the Ansätze are based upon the underlying symmetries of the equation (their (14)). We solve the problem in a more general context by allowing the parameters to be explicitly time dependent. The extension means thatmore realistic problems are amenable to the samemode of solution. Copyright © 2014 JohnWiley & Sons, Ltd.     

Thermal,chemical, and mineralogical characterization of ceramic tobacco pipes from Cyprus

This study is focused on simultaneous thermoanalytical investigations by TG/DTG-DTA technique applied for characterization of samples collected from archaeological site of Nicosia, Cyprus, dating to seventeenth century and gave new information on the firing technology. The ceramic samples derived from Ottomanic tobacco pipes were characterized by the related techniques such as X-ray powder diffraction for the mineralogical composition, and inductively coupled plasma-atomic emission spectrometry and micro-X-ray fluorescence spectroscopic analysis for the chemical content. It was found that they consisted mainly of quartz, calcite, feldspars, and micas. For the majority of the investigated ceramic samples, the thermal behavior investigation collaborates with their mineralogical findings, and resulted to the firing temperature at ~700 °C, due to the existence of calcite. Only in two samples with very high content in quartz, absence of calcite, low amounts of adsorbed water and of total mass loss, and absence of micas, the firing process resulted up to 1000 °C.     

On the spectrum of the Laplacian

In this article we prove a generalization of Weyl’s criterion for the essential spectrum of a self-adjoint operator on a Hilbert space. We then apply this criterion to the Laplacian on functions over open manifolds and get new results for its essential spectrum.     

The Yang-Mills Heat Semigroup on Three-Manifolds with Boundary

Long time existence and uniqueness of solutions to the Yang-Mills heat equation is proven over a compact 3-manifold with smooth boundary. The initial data is taken to be a Lie algebra valued connection form in the Sobolev space H ₁. Three kinds of boundary conditions are explored, Dirichlet type, Neumann type and Marini boundary conditions. The last is a nonlinear boundary condition, specified by setting the normal component of the curvature to zero on the boundary. The Yang-Mills heat equation is a weakly parabolic nonlinear equation. We use gauge symmetry breaking to convert it to a parabolic equation and then gauge transform the solution of the parabolic equation back to a solution of the original equation. Apriori estimates are developed by first establishing a gauge invariant version of the Gaffney-Friedrichs inequality. A gauge invariant regularization procedure for solutions is also established. Uniqueness holds upon imposition of boundary conditions on only two of the three components of the connection form because of weak parabolicity. This work is motivated by possible applications to quantum field theory.     

Dissymetry of critical exponants in YBCO

We report on measurements of the specific heat of μg-size YBCO single crystals very close to the superconducting transition in zero field. Detailed data points are obtained down to reduced temperatures of 10^?5. Analysis of the derivative of the specific heat yields the critical exponents in an unambiguous way. α+ is positive ～0.5; α- is negative ～ ?0.3. The value of α+ is consistent with gaussian fluctuations above Tc, however the value of α- is inconsistent with either gaussian fluctuations or the 3DXY model.     

The microscopic investigation of structures of moving flux lines by neutron and muon techniques

We have used a variety of microscopic techniques to reveal the structure and motion of flux line arrangements, when the flux lines in low T _c type II superconductors are caused to move by a transport current. Using small-angle neutron scattering by the flux line lattice (FLL), we are able to demonstrate directly the alignment by motion of the nearest-neighbor FLL direction. This tends to be parallel to the direction of flux line motion, as had been suspected from two-dimensional simulations. We also see the destruction of the ordered FLL by plastic flow and the bending of flux lines. Another technique that our collaboration has employed is the direct measurement of flux line motion, using the ultra-high-resolution spectroscopy of the neutron spin-echo technique to observe the energy change of neutrons diffracted by moving flux lines. The muon spin rotation (μSR) technique gives the distribution of values of magnetic field within the FLL. We have recently succeeded in performing μSR measurements while the FLL is moving. Such measurements give complementary information about the local speed and orientation of the FLL motion. We conclude by discussing the possible application of this technique to thin film superconductors.     

Experimental study of the inclusiveη-spectrum fromp \bar p annihilations at rest in liquid hydrogen

The inclusive η-momentum spectrum from \(\bar p\) annihilations at rest in liquid hydrogen was measured at LEAR. Branching ratios were obtained for $$\begin{gathered} p\bar p \to \eta \omega \left( {1.04_{ - 0.10}^{ + 0.09} } \right)\% ,\eta \rho ^0 \left( {0.53_{ - 0.08}^{ + 0.20} } \right)\% , \hfill \\ \pi a_2 \left( {8.49_{ - 1.10}^{ + 1.05} } \right)\% ,\eta \pi ^0 \left( {1.33 \pm 0.27} \right) \times 10^{ - 4} , \hfill \\ \end{gathered} $$ , and ηη(8.1±3.1)×10^?5. An upper limit for \(p\bar p \to \eta \eta '\) of 1.8×10^?4 at 95% CL was found. The ratio of the branching ratios is BR(η?)/BR(ηω)=0.51 _?0.06 ^+0.20 . For the ratio of branching ratios into two pseudoscalar mesons, we have BR(ηπ⁰)/BR(π⁰π⁰)=0.65±0.14, BR(ηη)/BR(π⁰π⁰), BR(η η ^′ )/BR(π⁰π⁰) at 95% CL, and BR(ηη)/BR(ηπ⁰).     

On conditions for optimality in least pth approximation withp → ∞

This paper presents a theoretical discussion of the necessary and sufficient conditions for optimality in generalized nonlinear leastpth approximation problems forp . In the limit, the conditions for a minimax approximation are derived, as is to be expected. Numerical examples involving the modeling of a linear time-invariant fourth-order system by a second-order model and the design of quarter-wave transmission-line transformers illustrate the results.This work was supported by the National Research Council of Canada under Grant No. A7239 and by a Frederick Gardner Cottrell Grant from the Research Corporation. This paper was presented at the 9th Annual Allerton Conference on Circuit and System Theory, Urbana, Illinois, October 6–8, 1971. The authors thank Mrs. J. R. Popovi for helping to correct Example 4.1.     

Hybrid artificial neural networks for efficient valuation of real options and financial derivatives

A hybrid valuation methodology is proposed and tested for improving the efficiency of contingent claims pricing by combining Artificial Neural Networks (ANN) and conventional parametric option pricing techniques. With one application on financial derivatives and one on real options the methods superiority is demonstrated. The resulting efficiency is instrumental for real time applications.MSC code: 90-08 Acknowledgements: Both authors are thankful for partial financial support to the HERMES European Center of Excellence on Computational Finance and Economics of the University of Cyprus and a University of Cyprus grant for research in ANNs and Derivatives, and to the anonymous referees for their helpful comments and discussions.     

Condenser for Koehler-like illumination in transmission x-ray microscopes at undulator sources

We report on a novel condenser for full-field transmission x-ray microscopes that use synchrotron radiation from an undulator source. The condenser produces a Koehler-like homogeneous intensity distribution in the sample plane and eliminates object illumination problems connected with the high degree of spatial coherence in an undulator beam. The optic consists of a large number of small linear diffraction gratings and is therefore relatively easy to manufacture. First imaging experiments with a prototype condenser were successfully performed with the Twinmic x-ray microscope at the Elettra synchrotron facility in Italy.