On some examples of duality groups

In [1, 3] it was shown: Theorem A. If G is the fundamental group of a finite graph of λ-dimensional duality groups with |G _o(e) : G _e | < ∞ and |G _τ(e) : G _e | < ∞ for every edge e of the corresponding G-tree, then G is an (λ + 1)-dimensional duality group. Here we use the methods of Brown and Geoghegan in [3] to obtain examples of duality groups under weaker conditions than those of Theorem A. Received: 5 June 2007     

Drawdowns and the Speed of Market Crash

In this paper we examine the probabilistic behavior of two quantities closely related to market crashes. The first is the drawdown of an asset and the second is the duration of time between the last reset of the maximum before the drawdown and the time of the drawdown. The former is the first time the current drop of an investor??s wealth from its historical maximum reaches a pre-specified level and has been used extensively as a path-dependent measure of a market crash in the financial risk management literature. The latter is the speed at which the drawdown occurs and thus provides a measure of how fast a market crash takes place. We call this the speed of market crash. In this work we derive the joint Laplace transform of the last visit time of the maximum of a process preceding the drawdown, the speed of market crash, and the maximum of the process under general diffusion dynamics. We discuss applications of these results in the pricing of insurance claims related to the drawdown and its speed. Our applications are developed under the drifted Brownian motion model and the constant elasticity of variance (CEV) model.     

The stochastic economic lot sizing problem for non-stop multi-grade production with sequence-restricted setup changeovers

We study a variant of the stochastic economic lot scheduling problem (SELSP) encountered in process industries, in which a single production facility must produce several different grades of a family of products to meet random stationary demand for each grade from a common finished-goods (FG) inventory buffer that has limited storage capacity. When the facility is set up to produce a particular grade, the only allowable changeovers are from that grade to the next lower or higher grade. Raw material is always available, and the production facility produces continuously at a constant rate even during changeover transitions. All changeover times are constant and equal to each other, and demand that cannot be satisfied directly from inventory is lost. There is a changeover cost per changeover occasion, a spill-over cost per unit of product in excess whenever there is not enough space in the FG buffer to store the produced grade, and a lost-sales cost per unit short whenever there is not enough FG inventory to satisfy the demand. We model the SELSP as a discrete-time Markov decision process (MDP), where in each time period the decision is whether to initiate a changeover to a neighboring grade or keep the set up of the production facility unchanged, based on the current state of the system, which is defined by the current set up of the facility and the FG inventory levels of all the grades. The goal is to minimize the (long-run) expected average cost per period. For problems with more than three grades, we develop a heuristic solution procedure which is based on decomposing the original multi-grade problem into several 3-grade MDP sub-problems, numerically solving each sub-problem using value iteration, and constructing the final policy for the original problem by combining parts of the optimal policies of the sub-problems. We present numerical results for problem examples with 2–5 grades. For the 2- and 3-grade examples, we numerically solve the exact MDP problem using value iteration to obtain insights into the structure of the optimal changeover policy. For the 4- and 5-grade examples, we compare the performance of the decomposition-based heuristic (DBH) solution procedure against that obtained by numerically solving the exact problem. We also compare the performance of the DBH method against the performance of three simpler parameterized heuristics. Finally, we compare the performance of the DBH and the exact solution procedures for the case where the FG inventory storage consists of a number of separate general-purpose silos capable of storing any grade as long as it is not mixed with any other grade.     

Use of fat suppression in R₂ relaxometry with MRI for the quantification of tissue iron overload in beta-thalassemic patients

Purpose

To assess the performance and results of R₂ relaxometry using a fat-suppressed (FS) multiecho sequence and compare these to conventional R₂ relaxometry in estimating tissue iron overload.

Materials and Methods

Relaxation rate values (R₂=1/T2) of the liver, spleen, pancreas and vertebral bone marrow (VBM) were estimated in 21 patients with β-thalassemia major, using a respiratory-triggered 16-echo Carr-Purcell-Meiboom-Gill (CPMG) spin-echo sequence before (R₂) and after (R₂ FS) the application of chemically selective fat suppression.

Results

Hepatic and splenic R₂ FS values correlated with respective R₂ values (r=0.98 and r=0.96, P<.001), whereas correlations between R₂ FS and R₂ values for pancreas and VBM were not statistically significant. Bland–Altman plots show disagreement between R₂ and R₂ FS values, particularly for pancreas and VBM. Hepatic, pancreatic and VBM R₂ FS values correlated with serum ferritin (r=0.88, P<.001; r=0.51, P<.003; and r=0.75, P<.002, respectively). Hepatic R₂ FS values correlated with splenic R₂ FS (r=0.77, P<.03), pancreatic R₂ FS (r=0.61, P<.006) and VBM R₂ FS values (r=0.70, P<.001), whereas pancreatic R₂ FS values correlated also with VMB R₂ FS values. On the contrary, among the R₂ values of the above tissues, obtained without fat suppression, only hepatic R₂ values correlated with serum ferritin, whereas no correlation was documented between hepatic and pancreatic or VBM R₂ values. The application of fat suppression did not improve breathing or flow artifacts.

Conclusion

Application of fat suppression in the standard CPMG sequence improved the capability of MRI in noninvasive quantification of iron, particularly in lipid-rich tissues, such as vertebral bone marrow (VBM) and pancreas.     

Drawdowns and Rallies in a Finite Time-horizon

In this work we derive the probability that a rally of a units precedes a drawdown of equal units in a random walk model and its continuous equivalent, a Brownian motion model in the presence of a finite time-horizon. A rally is defined as the difference of the present value of the holdings of an investor and its historical minimum, while the drawdown is defined as the difference of the historical maximum and its present value. We discuss applications of these results in finance and in particular risk management.     

19F double resonance in the presence of chemical exchange

The ¹⁹F N.M.R. spectra of CF₂BrCClBr₂ in CS₂ from 20°c to -80°c are reported. Computer-fitting of the experimental spectra using the density matrix formalism of Alexander yields the chemical exchange correlation times and produces a computed internal rotation barrier for trans →gauche of 39·7 ± 0·5 kJ mol^-1 (9·5±0·1 kcal/mole). Results of double resonance studies on the -80°c spectrum upon irradiation of the various peaks with a strong r.f. field are presented. The density matrix equations in the presence of chemical exchange and several relaxation mechanisms were solved to obtain theoretical changes in peak intensities on irradiation. The indirect spin saturation data and their relation to the rate of internal rotation and the relaxation mechanism are discussed. Random field relaxation is shown to be the important relaxation mechanism in the system. The strong irradiation of one component of a strongly coupled spin multiplet with intramolecular exchange causes indirect saturation of the transitions connecting energy levels that have the same m _I values as the one being irradiated whereas the intensities of other transitions are only slightly affected. It appears therefore to be an important complement to the spin-tickling technique in determining energy level diagrams and relative signs of coupling constants.     

Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups

This paper studies drawdown and drawup processes in a general diffusion model. The main result is a formula for the joint distribution of the running minimum and the running maximum of the process stopped at the time of the first drop of size a$a$. As a consequence, we obtain the probabilities that a drawdown of size a$a$ precedes a drawup of size b$b$ and vice versa. The results are applied to several examples of diffusion processes, such as drifted Brownian motion, Ornstein–Uhlenbeck process, and Cox–Ingersoll–Ross process.     

Periodicity in Group Cohomology and Complete Resolutions

A group G is said to have periodic cohomology with period qafter k steps, if the functors Hⁱ(G, –) and H^i+q(G, –)are naturally equivalent for all i > k. Mislin and the authorhave conjectured that periodicity in cohomology after some stepsis the algebraic characterization of those groups G that admita finite-dimensional, free G-CW-complex, homotopy equivalentto a sphere. This conjecture was proved by Adem and Smith underthe extra hypothesis that the periodicity isomorphisms are givenby the cup product with an element in H^q(G,Z). It is expectedthat the periodicity isomorphisms will always be given by thecup product with an element in H^q(G,Z); this paper shows thatthis is the case if and only if the group G admits a completeresolution and its complete cohomology is calculated via completeresolutions. It is also shown that having the periodicity isomorphismsgiven by the cup product with an element in H^q(G,Z) is equivalentto silp G being finite, where silp G is the supremum of theinjective lengths of the projective ZG-modules. 2000 MathematicsSubject Classification 20J05, 57S25.