Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

   Abstract. This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature.     

Modification of surface properties of electrospun polyamide nanofibers by means of a perfluorinated acridine

Polyamide 6 (PA6) nanofibers were prepared from formic acid solutions by using electrospinning technique. The fibers were smooth, defects free and with diameters smaller than 200 nm. Small amounts of a perfluorinated acridine were added as dopant to the feed solution to modify the wettability of the fibers. The effect of doping on the contact angle values is well apparent. The contact angle values go from 50° of pure PA6 to 120° when 6% of acridine is added. A comparison between fibers and films of pure and doped polyamide 6 was carried out in order to determine the effect of morphology on wettability. Thermal annealing near the T_g of the polymer promoted the segregation of the molecules to the surface, reaching contact angles of 131° with smaller amounts (4%) of acridine. The surface segregation was also promoted by time aging.     

一维接触过程的光滑性与稳定性

本文证明了一维接触过程在适当的小扰动下，其极点平稳分布除在临界点λ＿ｃ处外总是光滑的．特别，一维接触过程本身的极点平稳分布关于其参数除在临界点处外总是光滑的．     

多站远程无线控制信号系统通信软件的开发

多站远程无线控制系统是以计算机为中心控制 ,用多个信号源作为下位机通过无线模块进行通信 ,文中介绍了通过无线数传模块实现无线通讯以及ActiveX控件的使用方法 ,提出了使系统应用程序更安全可靠 ,效率更高 ,维护更加方便的几种措施。     

Reservoir operations optimization via fuzzy criterion decision processes

In this paper, we propose the treatment of complex reservoir operation problems via our newly developed tool of fuzzy criterion decision processes. This novel approach has been shown to be a more flexible and useful analysis tool especially when it is desirable to incorporate an expert’s knowledge into the decision models. Additionally, it has been demonstrated that this form of decision models will usually result in an optimal solution, which guarantees the highest satisfactory degree. We provide a practical exemplification procedure for the models presented as well as an application example.     

Atom transfer radical polymerization directly from poly(vinylidene fluoride): Surface and antifouling properties

The direct preparation of grafting polymer brushes from commercial poly (vinylidene fluoride) (PVDF) films with surface‐initiated atom transfer radical polymerization (ATRP) is demonstrated. The direct initiation of the secondary fluorinated site of PVDF facilitated grafting of the hydrophilic monomers from the PVDF surface. Homopolymer brushes of 2‐(N,N‐dimethylamino)ethyl methacrylate (DMAEMA) and poly (ethylene glycol) monomethacrylate (PEGMA) were prepared by ATRP from the PVDF surface. The chemical composition and surface topography of the graft‐functionalized PVDF surfaces were characterized by X‐ray photoelectron spectroscopy, attenuated total reflectance/Fourier transform infrared spectroscopy, and atomic force microscopy. A kinetic study revealed a linear increase in the graft concentration of poly[2‐(N,N‐dimethylamino)ethyl methacrylate] (PDMAEMA) and poly[poly(ethylene glycol) monomethacrylate] (PPEGMA) with the reaction time, indicating that the chain growth from the surface was consistent with a controlled or living process. The living chain ends were used as macroinitiators for the synthesis of diblock copolymer brushes. The water contact angles on PVDF films were reduced by the surface grafting of DMAEMA and PEGMA. Protein adsorption experiments revealed a substantial antifouling property of PPEGMA‐grafted PVDF films and PDMAEMA‐grafted PVDF films in comparison with the pristine PVDF surface. © 2006 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 44: 3434–3443, 2006     

On the multi-attribute stopping problem with general value functions

We examine a sequential selection problem in which a single option must be selected. Each option's value is a function of its attributes, whose precise values can be ascertained at a given cost. We prove the optimality of a threshold stopping rule for a general class of objective functions.     

Radiation induced synthesis and swelling characterization of thermo-responsive N-isopropylacrylamide-co-ionic hydrogels

Two-component thermo-responsive hydrogels poly(N-isopropylacrylamide)-co-vinylbenzyltrimethylammonium chloride (NIPA-co-VBT) and poly(N-isopropylacrylamide)-co-p-sodium styrene sulphonate (NIPA-co-SSS) were prepared by using high energy gamma radiation. The gels were characterized by Fourier transformed infrared spectroscopy (FTIR), scanning electron microscopy (SEM) and sol-gel analysis. The presence of ionic monomers in NIPA leads to lower gel content. Introduction of ionic components in the matrix enhanced swelling extent but caused slower volume transition. The swelling studies in alcohol indicated that swelling extent was function of polarity of the swelling medium and all gels followed the order water > methanol > ethanol > iso-propanol. In mixed co-solvents (water-alcohol), they exhibit complex reentrant behavior. The co-polymer gels containing VBT swelled faster and to higher extent than those containing SSS. The dynamic swelling studies indicated that diffusion of water in PNIPA gel shifts from Fickian for PNIPA to anomalous for NIPA-co-ionic gels also the mean swelling time (MST) decreases for gels containing ionic monomers.     

Planned positron experiments at FRM-II

The new research reactor FRM-II near Munich has a strong positron source, which delivers an intense, nearly monoenergetic positron beam. Our positron systems, the pulsed low energy positron source (PLEPS) and the scanning positron microscope (SPM) will be operated at this beam. Some aspects of matching these systems to the new positron source will be discussed.Considerable improvements are expected, e.g. more than 10⁵ s⁻¹ recorded events at PLEPS and sub-micrometre resolution at SPM. They will enable investigations in so far inaccessible problems like the evaluation of annihilation characteristics and trapping constants of individual defects or studies of fast dynamical processes. In applied materials science complex defect structures will be studied which demand a resolution into many differing lifetimes, e.g. fractured specimens, wear, corrosion, etc. Also large series of measurements at small systematic modifications are planned. There is also the opportunity to analyse in addition the chemical microstructure of the specimens by means of a hydrogen microprobe and other ion beam techniques available close to FRM-II at the Technical University of Munich.