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.     

Packing Non-Zero A-Paths In Group-Labelled Graphs

Let G=(V,E) be an oriented graph whose edges are labelled by the elements of a group Γ and let A⊂V. An A-path is a path whose ends are both in A. The weight of a path P in G is the sum of the group values on forward oriented arcs minus the sum of the backward oriented arcs in P. (If Γ is not abelian, we sum the labels in their order along the path.) We are interested in the maximum number of vertex-disjoint A-paths each of non-zero weight. When A = V this problem is equivalent to the maximum matching problem. The general case also includes Mader's S-paths problem. We prove that for any positive integer k, either there are k vertex-disjoint A-paths each of non-zero weight, or there is a set of at most 2k −2 vertices that meets each of the non-zero A-paths. This result is obtained as a consequence of an exact min-max theorem. These results were obtained at a workshop on Structural Graph Theory at the PIMS Institute in Vancouver, Canada. This research was partially conducted during the period the first author served as a Clay Mathematics Institute Long-Term Prize Fellow.     

Isothermal crystallization kinetics of poly(3‐hydroxybutyrate)/layered double hydroxide nanocomposites

Poly(3‐hydroxybutyrate) (PHB)/layered double hydroxides (LDHs) nanocomposites were prepared by mixing PHB and poly(ethylene glycol) phosphonates (PEOPAs)‐modified LDH (PMLDH) in chloroform solution. Both X‐ray diffraction data and TEM micrographs of PHB/PMLDH nanocomposites indicate that the PMLDHs are randomly dispersed and exfoliated into the PHB matrix. In this study, the effect of PMLDH on the isothermal crystallization behavior of PHB was investigated using a differential scanning calorimeter (DSC) and polarized optical microscopy. Isothermal crystallization results of PHB/PMLDH nanocomposites show that the addition of 2 wt % PMLDH into PHB induced more heterogeneous nucleation in the crystallization significantly increasing the crystallization rate and reducing their activation energy. By adding more PMLDH into the PHB probably causes more steric hindrance of the diffusion of PHB, reducing the transportation ability of polymer chains during crystallization, thus increasing the activation energy. The correlation among crystallization kinetics, melting behavior and crystalline structure of PHB/PMLDH nanocomposites can also be discussed. © 2006 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 44: 3337–3347, 2006     

An implicit method for linear ill‐posed problems with perturbed operators

An implicit iterative method is applied to solving linear ill‐posed problems with perturbed operators. It is proved that the optimal convergence rate can be obtained after choosing suitable number of iterations. A generalized Morozov's discrepancy principle is proposed for the problems, and then the optimal convergence rate can also be obtained by an a posteriori strategy. The convergence results show that the algorithm is a robust regularization method. Copyright © 2006 John Wiley & Sons, Ltd.     

Almost global existence for Hamiltonian semilinear Klein‐Gordon equations with small Cauchy data on Zoll manifolds

This paper is devoted to the proof of almost global existence results for Klein‐Gordon equations on Zoll manifolds (e.g., spheres of arbitrary dimension) with Hamiltonian nonlinearities, when the Cauchy data are smooth and small. The proof relies on Birkhoff normal form methods and on the specific distribution of eigenvalues of the Laplacian perturbed by a potential on Zoll manifolds. © 2007 Wiley Periodicals, Inc.     

Characterization of NOx species in dehydrated and hydrated Na- and Ba-Y, FAU zeolites formed in NO2 adsorption

Adsorbed ionic NO_x species formed upon the interaction of NO₂ with dehydrated or hydrated Na- and Ba-Y, FAU zeolites were characterized using FT-IR/TPD, solid state NMR, and XANES techniques. NO₂ disproportionates on both dehydrated catalyst materials forming NO⁺ and NO₃⁻ species. These ionic species are stabilized by their interactions with the negatively charged zeolite framework and the charge compensating cations (Na⁺ and Ba²⁺), respectively. Although the nature of the adsorbed NO_x species formed on the two catalysts is similar, their thermal stabilities are strongly dependent on the charge compensating cations. In the presence of water in the channels of these zeolite materials new paths open for reactions between NO⁺ and H₂O, and NO₂ and H₂O, resulting in significant changes in the adsorbed ionic species observed. These combined spectroscopic investigations afforded the understanding of the interactions between water and NO₂ on these zeolite catalysts.     

Studies on calcium‐containing poly(urethane ether)s

The calcium salt of mono(hydroxyethoxyethyl)phthalate [Ca(HEEP)₂] was synthesized by the reaction of diethylene glycol, phthalic anhydride, and calcium acetate. Calcium‐containing poly(urethane ether)s (PUEs) were synthesized by the reaction of hexamethylene diisocyanate (HMDI) or tolylene 2,4‐diisocyanate (TDI) with a mixture of Ca(HEEP)₂ and poly(ethylene glycol) (PEG₃₀₀ or PEG₄₀₀) with di‐n‐butyltin dilaurate as a catalyst. A series of calcium‐containing PUEs of different compositions were synthesized with Ca(HEEP)₂/PEG₃₀₀ (or PEG₄₀₀)/diisocyanate (HMDI or TDI) molar ratios of 2:2:4, 3:1:4, and 1:3:4 so that the coating properties of the PUEs could be studied. Blank PUEs without calcium‐containing ionic diols were also prepared by the reaction of PEG₃₀₀ or PEG₄₀₀ with HMDI or TDI. The PUEs were well characterized by Fourier transform infrared, ¹H and ¹³C NMR, solid‐state cross‐polarity/magic‐angle‐spinning ¹³C NMR, viscosity, solubility, and X‐ray diffraction studies. The thermal properties of the polymers were also studied with thermogravimetric analysis and differential scanning calorimetry. The PUEs were applied as top coats on acrylic‐coated leather, and their physicomechanical properties were also studied. The coating properties of PUEs, such as the tensile strength, elongation at break, tear strength, water vapor permeability, flexing endurance, cold crack resistance, abrasion resistance, color fastness, and adhesive strength, were better than the standard values. © 2003 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 41: 2865–2878, 2003