Some numerical methods for solving stochastic impulse control in natural gas storage facilities

The valuation of gas storage facilities is characterized as a stochastic impulse control problem with finite horizon resulting in Hamilton-Jacobi-Bellman (HJB) equations for the value function. In this context the two catagories of solving schemes for optimal switching are discussed in a stochastic control framework. We reviewed some numerical methods which include approaches related to partial differential equations (PDEs), Markov chain approximation, nonparametric regression, quantization method and some practitioners’ methods. This paper considers optimal switching problem arising in valuation of gas storage contracts for leasing the storage facilities, and investigates the recent developments as well as their advantages and disadvantages of each scheme based on dynamic programming principle (DPP

Charge Quantization and Neutrino Mass from Planck-scale SUSY

We show a possibility for the charge quantization of the standard model (SM) particles. If a global symmetry makes the three copies of a generation and supersymmetry (SUSY) relates the Higgs boson to a lepton, all the charges of the SM particles can be quantized through gauge-anomaly cancellation. In the minimal model realizing the possibility, the gravitino mass around the Planck-scale is needed to generate the SM couplings through (quantum) supergravity. Much below the Planck-scale, the SM is obtained as the effective theory. Interestingly, if the gaugino masses are generated through anomaly mediation, one of the neutrino masses is predicted to be around the neutrino oscillation scales. In an extension of the model, millicharged particles can exist without introducing massless hidden photons.Comment: 17 pages, v2: version appears in PL

Two-scale large deviations for chemical reaction kinetics through second quantization path integral

Motivated by the study of rare events for a typical genetic switching model in systems biology, in this paper we aim to establish the general two-scale large deviations for chemical reaction systems. We build a formal approach to explicitly obtain the large deviation rate functionals for the considered two-scale processes based upon the second-quantization path integral technique. We get three important types of large deviation results when the underlying two times scales are in three different regimes. This is realized by singular perturbation analysis to the rate functionals obtained by path integral. We find that the three regimes possess the same deterministic mean-field limit but completely different chemical Langevin approximations. The obtained results are natural extensions of the classical large volume limit for chemical reactions. We also discuss its implication on the single-molecule Michaelis-Menten kinetics. Our framework and results can be applied to understand general multi-scale systems including diffusion processes