Reflecting random walk in fractal domains

In this paper, we show that reflecting Brownian motion in any bounded domain D can be approximated, as $k\to\infty$, by simple random walks on "maximal connected" subsets of $(2^{-k}\mathbb{Z}^d)\cap D$ whose filled-in interiors are inside of D.Comment: Published in at http://dx.doi.org/10.1214/12-AOP745 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Curse of the benchmarks

Obsession with short-term performance against market cap benchmarks preordains the dysfunctionality of asset markets. The problems start when trustees hire fund managers to outperform benchmark indexes subject to limits on annual divergence. For multi-asset portfolios the benchmark is generally the performance of peer group funds, also based on market cap. In the absence of formal instructions, asset managers, as well as off-the-peg mutual funds, are still keen to demonstrate their ability against the competition in the short run. If securities markets were efficiently priced in the sense of reflecting best estimates of fundamental value, there would be no problem in using market cap benchmarks. But the terms under which most professional investment is handled ensure that markets are not efficient. Benchmarking causes, first, the inversion of the relationship between risk and return so that high volatile securities and asset classes offer lower returns than low volatile ones. Second, it fosters the pursuit of momentum strategies which then earn profits at the expense of benchmarked funds. The paper explains how these problems arise using rational models of asset mispricing and proposes an incentive-based solution

Using Cluster Analysis of Cytokines to Identify Patterns of Inflammation in Hospitalized Patients with Community-acquired Pneumonia:A Pilot Study

Purpose: Patients with severe community-acquired pneumonia (CAP) are believed to have an exaggerated inflammatory response to bacterial infection. Therapies aiming to modulate the inflammatory response have been largely unsuccessful, perhaps reflecting that CAP is a heterogeneous disorder that cannot be modulated by a single anti-inflammatory approach. We hypothesize that the host inflammatory response to pneumonia may be characterized by distinct cytokine patterns, which can be harnessed for personalized therapies. Methods: Here, we use hierarchical cluster analysis of cytokines to examine if patterns of inflammatory response in 13 hospitalized patients with CAP can be defined. This was a secondary data analysis of the Community-Acquired Pneumonia Inflammatory Study Group (CAPISG) database. The following cytokines were measured in plasma and sputum on the day of admission: interleukin (IL)-1β, IL-1 receptor antagonist (IL-1ra), IL-6, CXCL8 (IL-8), IL-10, IL-12p40, IL-17, interferon (IFN)γ, tumor necrosis factor (TNF)α, and CXCL10 (IP-10). Hierarchical agglomerative clustering algorithms were used to evaluate clusters of patients within plasma and sputum cytokine determinations. Results: A total of thirteen patients were included in this pilot study. Cluster analysis identified distinct inflammatory response patterns of cytokines in the plasma, sputum, and the ratio of plasma to sputum. Conclusions: Inflammatory response patterns in plasma and sputum can be identified in hospitalized patients with CAP. Characterization of the local and systemic inflammatory response may help to better discriminate patients for enrollment into clinical trials of immunomodulatory therapies

Spectral and Energy Efficiency of IRS-Assisted MISO Communication with Hardware Impairments

In this letter, we analyze the spectral and energy efficiency of an intelligent reflecting surface (IRS)-assisted multiple-input single-output (MISO) downlink system with hardware impairments. An extended error vector magnitude (EEVM) model is utilized to characterize the impact of radio-frequency (RF) impairments at the access point (AP) and phase noise is considered at the IRS. We show that the spectral efficiency is limited due to the hardware impairments even when the numbers of AP antennas and IRS elements grow infinitely large, which is in contrast with the conventional case with ideal hardware. Moreover, the performance degradation at high SNR is shown to be mainly affected by the AP hardware impairments rather than by the phase noise at the IRS. We further obtain in closed form the optimal transmit power for energy efficiency maximization. Simulation results are provided to verify the obtained results

Carbon price and optimal extraction of a polluting fossil fuel with restricted carbon capture

Among technological options to mitigate greenhouse gas (GHG) emissions, Carbon Capture and Storage technology (CCS) seems particularly promising. This technology allows to keep on extracting polluting fossil fuels without drastically increasing CO2 atmospheric concentration. We examine here a two-sector model with two primary energy resources, a polluting exhaustible resource and an expensive carbon-free renewable resource, in which an environmental regulation is imposed through a cap on the atmospheric carbon stock. We assume that only the emissions from one sector can be captured. Previous literature, based on one-sector models in which all emissions are capturable, finds that CCS technology should not be used before the threshold has been reached. We find that, when technical constraints make it impossible to capture emissions from both sectors, this result does not always hold. CCS technology should be used before the ceiling is reached if non capturable emissions are large enough. In that case, we find that energy prices paths must differ between sectors reflecting the difference of social cost of the resource according to its use. Numerical exercise show that, when the ceiling is set at 450ppm CO2, the initial carbon tax should equal 52$/tCO2 and that using CCS before the ceiling is optimal.dynamic models ; global warming ; externalities ; nonrenewable resources ; carbon capture ; energy markets

Regular subspaces of Dirichlet forms

The regular subspaces of a Dirichlet form are the regular Dirichlet forms that inherit the original form but possess smaller domains. The two problems we are concerned are: (1) the existence of regular subspaces of a fixed Dirichlet form, (2) the characterization of the regular subspaces if exists. In this paper, we will first research the structure of regular subspaces for a fixed Dirichlet form. The main results indicate that the jumping and killing measures of each regular subspace are just equal to that of the original Dirichlet form. By using the independent coupling of Dirichlet forms and some celebrated probabilistic transformations, we will study the existence and characterization of the regular subspaces of local Dirichlet forms.Comment: This paper is collected in Festschrift Masatoshi Fukushima, In Honor of Masatoshi Fukushima's Sanju, pp: 397-420, 201