Risk-Neutral Pricing for Arbitrage Pricing Theory

Journal of Optimization Theory and Applications - We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and...     

Local Primitive Causality and the Common Cause Principle in Quantum Field Theory

If (V) is a net of local von Neumann algebras satisfying standard axioms of algebraic relativistic quantum field theory and V ₁ and V ₂ are spacelike separated spacetime regions, then the system ( (V ₁ ), (V ₂ ), ) is said to satisfy the Weak Reichenbach's Common Cause Principle iff for every pair of projections A (V ₁ ), B (V ₂ ) correlated in the normal state there exists a projection C belonging to a von Neumann algebra associated with a spacetime region V contained in the union of the backward light cones of V ₁ and V ₂ and disjoint from both V ₁ and V ₂ , a projection having the properties of a Reichenbachian common cause of the correlation between A and B. It is shown that if the net has the local primitive causality property then every local system ( (V ₁ ), (V ₂ ), ) with a locally normal and locally faithful state and suitable bounded V ₁ and V ₂ satisfies the Weak Reichenbach's Common Cause Principle.     

Strangeness production via parton cascade

We study pre-equilibrium strangeness production at RHIC energies in a new parton cascade. Starting with the turbulent glue HIJING initial conditions we investigate the interplay between mini-jet and soft beam jet gluons for strangeness production prior to hadronization, and show the importance of soft beam jet gluons in the strangeness production.     

On the multi‐colored Ramsey numbers of cycles

For a graph L and an integer k≥2, R_k(L) denotes the smallest integer N for which for any edge‐coloring of the complete graph K_N by k colors there exists a color i for which the corresponding color class contains L as a subgraph. Bondy and Erdos conjectured that, for an odd cycle C_n on n vertices, They proved the case when k = 2 and also provided an upper bound R_k(C_n)≤(k+ 2)!n. Recently, this conjecture has been verified for k = 3 if n is large. In this note, we prove that for every integer k≥4, When n is even, Sun Yongqi, Yang Yuansheng, Xu Feng, and Li Bingxi gave a construction, showing that R_k(C_n)≥(k?1)n?2k+ 4. Here we prove that if n is even, then © 2011 Wiley Periodicals, Inc. J Graph Theory 69: 169‐175, 2012     

Increment sizes of the principal value of Brownian local time

Let W be a standard Brownian motion, and define Y(t)= ∫₀ ^t ds/W(s) as Cauchy's principal value related to local time. We determine: (a) the modulus of continuity of Y in the sense of P. Lévy; (b) the large increments of Y. Received: 1 April 1999 / Revised version: 27 September 1999 / Published online: 14 June 2000     

Limsup results and LIL for partial sum processes of a Gaussian random field

Let {ξ _j ; j ∈ ℤ₊ ^d be a centered stationary Gaussian random field, where ℤ₊ ^d is the d-dimensional lattice of all points in d-dimensional Euclidean space ℝ^d, having nonnegative integer coordinates. For each j = (j ₁ , ..., jd) in ℤ₊ ^d , we denote |j| = j ₁ ... j _d and for m, n ∈ ℤ₊ ^d , define S(m, n] = Σ _m<j≤n ζ _j , σ²(|n−m|) = ES ² (m, n], S _n = S(0, n] and S ₀ = 0. Assume that σ(|n|) can be extended to a continuous function σ(t) of t > 0, which is nondecreasing and regularly varying with exponent α at b ≥ 0 for some 0 < α < 1. Under some additional conditions, we study limsup results for increments of partial sum processes and prove as well the law of the iterated logarithm for such partial sum processes. Research supported by NSERC Canada grants at Carleton University, Ottawa     

An efficient solution approach for real-world driver scheduling problems in urban bus transportation

The driver scheduling problem in public transportation is defined in the following way. There is a set of operational tasks, and the goal is to define the sequence of these tasks as shifts in such a way that every task must be assigned to a shift without overlapping. In real-world situations several additional constraints need to be considered, which makes large practical problems challenging to be solved efficiently. In practice it is also an important request with respect to a public transportation scheduling system to offer several versions of quasi-optimal solutions. In this paper we present an efficient driver scheduling solution methodology which is flexible in the above sense.     

The effect of electron correlation on the conformational space of melatonin

The pineal gland hormone melatonin regulates several physiological processes including circadian rhythm and also alleviates oxidative stress‐induced degenerative diseases. In spite of its important biological roles, no high level ab initio conformational study has been conducted to reveal its structural features. In this work, the conformational flexibility of melatonin was investigated using correlated ab initio calculations. Conformers, obtained previously at the Hartree‐Fock level (HF/6‐31G*), were fully optimized using second order Møller‐Plesset perturbation theory applying the frozen core approximation (MP2(FC)/6‐31G*). Furthermore, single‐point MP4(SDQ,FC)/6‐31G*//MP2(FC)/6‐31G* computations were performed to investigate the effect of higher order perturbation terms. The HF and MP2 conformational spaces are considerably different: the initial 128 structures converged into 102 different local minima as confirmed by frequency calculations; 28 new minima appeared and 26 previous HF local minima disappeared; no “all‐trans” C3 side chain conformations are seen at the MP2(FC) level. The MP2 global minimum conformation is stabilized by an aromatic‐side chain interaction. © 2008 Wiley Periodicals, Inc. J Comput Chem, 2008     

Direct analysis in real time mass spectrometry (DART‐MS) of highly non‐polar low molecular weight polyisobutylenes

Low molecular weight polyisobutylenes (PIB) with chlorine, olefin and succinic acid end‐groups were studied using direct analysis in real time mass spectrometry (DART‐MS). To facilitate the adduct ion formation under DART conditions, NH₄Cl as an auxiliary reagent was deposited onto the PIB surface. It was found that chlorinated adduct ions of olefin and chlorine telechelic PIBs, i.e. [M + Cl]^? up to m/z 1100, and the deprotonated polyisobutylene succinic acid [M? H]^? were formed as observed in the negative ion mode. In the positive ion mode formation of [M + NH₄]⁺, adduct ions were detected. In the tandem mass (MS/MS) spectra of [M + Cl]^?, product ions were absent, suggesting a simple dissociation of the precursor [M + Cl]^? into a Cl^? ion and a neutral M without fragmentation of the PIB backbones. However, structurally important product ions were produced from the corresponding [M + NH₄]⁺ ions, allowing us to obtain valuable information on the arm‐length distributions of the PIBs containing aromatic initiator moiety. In addition, a model was developed to interpret the oligomer distributions and the number average molecular weights observed in DART‐MS for PIBs and other polymers of low molecular weight. Copyright © 2015 John Wiley & Sons, Ltd.     

Differential linear scan voltammetry: analytical performance in comparison with pulsed voltammetry techniques

We report here on differential linear scan voltammetry, DLSV, that combines the working principles of linear scan voltammetry, LSV, and the numerous existing pulsed voltammetry techniques. DLSV preserves the information from continuous interrogation in voltage and high accuracy that LSV provides about electrochemical processes, and the much better sensitivity of differential pulsed techniques. DLSV also minimizes the background current compared to both LSV and pulsed voltammetry. An early version of DLSV, derivative stationary electrode polarography, DSEP, had been proposed in the 1960s but soon abandoned in favor of the emerging differential pulsed techniques. Relative to DSEP, DLSV takes advantage of the flexibility of discrete smoothing differentiation that was not available to early investigators. Also, DSEP had been explored in pure solutions and with reversible electrochemical reactions. DLSV is tested in this work in more challenging experimental contexts: the measurement of oxygen with a carbon fiber microelectrode in buffer, and with a gold microdisc electrode exposed to a live biological preparation. This work compares the analytical performance of DLSV and square wave voltammetry, the most popular pulsed voltammetry technique.