Curve following in illiquid markets

In this article the problem of curve following in an illiquid market is addressed. The optimal control is characterised in terms of the solution to a coupled FBSDE involving jumps via the technique of the stochastic maximum principle. Analysing this FBSDE, we further show that there are buy and sell regions. In the case of quadratic penalty functions the FBSDE admits an explicit solution which is determined via the four step scheme. The dependence of the optimal control on the target curve is studied in detail.     

Gompertz zero-inflated cure rate regression models applied to credit risk data

In the financial market, it is important to consider that there is a proportion of customers that have settled their debt in time zero, immediately recovering their ability to pay. In this context, in this paper, we propose a survival analysis methodology that allows the insertion of times equal to zero in scenarios where credit risk is observed. The proposed model addresses the survival analysis model of the zero-inflated cure rate which incorporates the heterogeneity of three subgroups (individuals having events in the initial time, and individuals not susceptible and susceptible to the event). In our proposal, all available survival data of customers are modeled considering that the number of competitive causes follows a Poisson distribution and the baseline risk function follows a Gompertz distribution. The model parameter estimation is obtained by the maximum likelihood estimation procedure and simulation studies are conducted to evaluate the estimators' performance. The studied methodology will be applied to a credit database provided by a financial institution in Brazil.     

A higher-order large-scale regularity theory for random elliptic operators

We develop a large-scale regularity theory of higher order for divergence-form elliptic equations with heterogeneous coefficient fields a in the context of stochastic homogenization. The large-scale regularity of a-harmonic functions is encoded by Liouville principles: The space of a-harmonic functions that grow at most like a polynomial of degree k has the same dimension as in the constant-coefficient case. This result can be seen as the qualitative side of a large-scale C^k,α-regularity theory, which in the present work is developed in the form of a corresponding C^k,α-“excess decay” estimate: For a given a-harmonic function u on a ball B_R, its energy distance on some ball B_r to the above space of a-harmonic functions that grow at most like a polynomial of degree k has the natural decay in the radius r above some minimal radius r₀.

Though motivated by stochastic homogenization, the contribution of this paper is of purely deterministic nature: We work under the assumption that for the given realization a of the coefficient field, the couple (φ, σ) of scalar and vector potentials of the harmonic coordinates, where φ is the usual corrector, grows sublinearly in a mildly quantified way. We then construct “kth-order correctors” and thereby the space of a-harmonic functions that grow at most like a polynomial of degree k, establish the above excess decay, and then the corresponding Liouville principle.     

Complete Carton-13 Assignments of the Sesquiterpene Lactone 11,13,-Dihydroparthenolide Using 2D-Inadequate

The complete ¹³C NMR resonances for the sesquiterpene lactone 11,13-dihydroparthenolide were established by the application of 2D-INADEQUATE.     

Spectral theory and L∞-time decay estimates for Klein–Gordon equations on two half axes with transmission: The tunnel effect

Consider two copies N₁, N₂ of the interval [0, ∞]. Consider Klein-Gordon equations with (different) constant coefficients on ? × N_j ( = time × space). Assume the coincidence of the values of the solution at the boundary points of the N_j for all times and a transmission condition relating its first (one-sided) space derivatives at these points. Under a symmetry condition, we extend the spatial part of the equation and the transmission conditions to a self-adjoint operator (by Friedrichs extension) and reformulate our problem in terms of an abstract wave equation in a suitable Hilbert space. We derive an expansion of the solution in generalized eigenfunctions of this self-adjoint extension and show, that the L^∞-norms (in space) of the solution and its first k space derivatives at the time t decay for t → ∞ at least as const. t^¼, if the initial conditions satisfy a compatibility condition of order k derived in this paper. The loss of decay rate in comparison with the full line case (const. t^?½, cf. [28]) is caused by the tunnel effect. Further we show that an abstract wave equation in a Hilbert space with a Friedrichs extension as spatial part can always be derived from a stationarity principle for an associated action-type functional. This yields a physical legitimation of our model by the principle of stationary action and moreover a criterion for the physical interpretability of all models created by the linear interaction concept [4, 6, 8, 10], in particular for the coupling of media of different dimension (alternative to [13, 16] for similar models).     

Non-Autonomous Evolution Equations on Nonsmooth Domair

The solution of a stationary boundary value problem on a domain with conical points has singularities near these points. Here we first consider existence results in appropriate weighted Sobolev spaces in order to incorporate the singularities. We secondly use these results to prove existence, uniqueness and regularity of solutions of non-autonomous second order evolution equations on such domains.     

A two-level hedging point policy for controlling a manufacturing system with time-delay,demand uncertainty and extra capacity

This paper focuses on the production control of a manufacturing system with time-delay, demand uncertainty and extra capacity. Time-delay is a typical feature of networked manufacturing systems (NMS), because an NMS is composed of many manufacturing systems with transportation channels among them and the transportation of materials needs time. Besides this, for a manufacturing system in an NMS, the uncertainty of the demand from its downstream manufacturing system is considered; and it is assumed that there exist two-levels of demand rates, i.e., the normal one and the higher one, and that the time between the switching of demand rates are exponentially distributed. To avoid the backlog of demands, it is also assumed that extra production capacity can be used when the work-in-process (WIP) cannot buffer the high-level demands rate. For such a manufacturing system with time-delay, demand uncertainty and extra capacity, the mathematical model for its production control problem is established, with the objective of minimizing the mean costs for WIP inventory and occupation of extra production capacity. To solve the problem, a two-level hedging point policy is proposed. By analyzing the probability distribution of system states, optimal values of the two hedging levels are obtained. Finally, numerical experiments are done to verify the effectiveness of the control policy and the optimality of the hedging levels.     

Suprema of Chaos Processes and the Restricted Isometry Property

We present a new bound for suprema of a special type of chaos process indexed by a set of matrices, which is based on a chaining method. As applications we show significantly improved estimates for the restricted isometry constants of partial random circulant matrices and time‐frequency structured random matrices. In both cases the required condition on the number m of rows in terms of the sparsity s and the vector length n is m ? s log² s log² n. © 2014 Wiley Periodicals, Inc.     

Interatomic electronic decay driven by nuclear motion

The interatomic electronic decay after inner-valence ionization of a neon atom by a single photon in a neon-helium dimer is investigated. The excited neon atom relaxes via interatomic Coulombic decay and the excess energy is transferred to the helium atom and ionizes it. We show that the decay process is only possible if the dimer's bond stretches up to 6.2 ?, i.e., to more than twice the equilibrium interatomic distance of the neutral dimer. Thus, it is demonstrated that the electronic decay, taking place at such long distances, is driven by the nuclear motion.     

Skew codes of prescribed distance or rank

In this paper we generalize the notion of cyclic code and construct codes as ideals in finite quotients of non-commutative polynomial rings, so called skew polynomial rings of automorphism type. We propose a method to construct block codes of prescribed rank and a method to construct block codes of prescribed distance. Since there is no unique factorization in skew polynomial rings, there are much more ideals and therefore much more codes than in the commutative case. In particular we obtain a [40, 23, 10]₄ code by imposing a distance and a [42,14,21]₈ code by imposing a rank, which both improve by one the minimum distance of the previously best known linear codes of equal length and dimension over those fields. There is a strong connection with linear difference operators and with linearized polynomials (or q-polynomials) reviewed in the first section.