Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty.

We use in this chapter the viability/capturability approach for studying the problem of dynamic valuation and management of a portfolio with transaction costs in the framework of tychastic control systems (or dynamical games against nature) instead of stochastic control systems. Indeed, the very definition of the guaranteed valuation set can be formulated directly in terms of guaranteed viable-capture basin of a dynamical game. Hence, we shall “compute” the guaranteed viable-capture basin and find a formula for the valuation function involving an underlying criterion, use the tangential properties of such basins for proving that the valuation function is a solution to Hamilton-Jacobi-Isaacs partial differential equations. We then derive a dynamical feedback providing an adjustment law regulating the evolution of the portfolios obeying viability constraints until it achieves the given objective in finite time. We shall show that the Pujal—Saint-Pierre viability/capturability algorithm applied to this specific case provides both the valuation function and the associated portfolios.dynamic games; dynamic valuation; tychastic control systems; management of portfolio;

Hazy Differential Inclusions

This paper is devoted to differential inclusions the right-hand sides of which are hazy subsets, which are fuzzy subsets whose membership functions are cost functions taking their values in [0,infinity] instead of [0,1]. By doing so, the concept of uncertainty involved in differential inclusions becomes more precise, by allowing the velocities not only to depend in a multivalued way upon the state of the system, but also in a fuzzy way. The viability theorems are adapted to hazy differential inclusions and to sets of state constraints which are either usual or hazy. The existence of a largest closed hazy viability domain contained in a given closed hazy subset is also provided

Emergent Gravity from Noncommutative Gauge Theory

We show that the matrix-model action for noncommutative U(n) gauge theory actually describes SU(n) gauge theory coupled to gravity. This is elaborated in the 4-dimensional case. The SU(n) gauge fields as well as additional scalar fields couple to an effective metric G_{ab}, which is determined by a dynamical Poisson structure. The emergent gravity is intimately related to noncommutativity, encoding those degrees of freedom which are usually interpreted as U(1) gauge fields. This leads to a class of metrics which contains the physical degrees of freedom of gravitational waves, and allows to recover e.g. the Newtonian limit with arbitrary mass distribution. It also suggests a consistent picture of UV/IR mixing in terms of an induced gravity action. This should provide a suitable framework for quantizing gravity.Comment: 28 pages + 11 pages appendix. V2: references and discussion added. V3: minor correctio

Galileon Hairs of Dyson Spheres, Vainshtein's Coiffure and Hirsute Bubbles

We study the fields of spherically symmetric thin shell sources, a.k.a. Dyson spheres, in a {\it fully nonlinear covariant} theory of gravity with the simplest galileon field. We integrate exactly all the field equations once, reducing them to first order nonlinear equations. For the simplest galileon, static solutions come on {\it six} distinct branches. On one, a Dyson sphere surrounds itself with a galileon hair, which far away looks like a hair of any Brans-Dicke field. The hair changes below the Vainshtein scale, where the extra galileon terms dominate the minimal gradients of the field. Their hair looks more like a fuzz, because the galileon terms are suppressed by the derivative of the volume determinant. It shuts off the `hair bunching' over the `angular' 2-sphere. Hence the fuzz remains dilute even close to the source. This is really why the Vainshtein's suppression of the modifications of gravity works close to the source. On the other five branches, the static solutions are all {\it singular} far from the source, and shuttered off from asymptotic infinity. One of them, however, is really the self-accelerating branch, and the singularity is removed by turning on time dependence. We give examples of regulated solutions, where the Dyson sphere explodes outward, and its self-accelerating side is nonsingular. These constructions may open channels for nonperturbative transitions between branches, which need to be addressed further to determine phenomenological viability of multi-branch gravities.Comment: 29+1 pages, LaTeX, 2 .pdf figure

THE USE OF FUZZY CLUSTERING IN SOLVING PROBLEM IN PREDICTING THE DURABILITY OF CORROSIVE STRUCTURES

In solving the problems of forecasting corroding structures, the problematic aspects related to computational costs are considered. It is proposed to use a multi-stage approach to reduce computational costs in solving tasks of this class. In particular: a fuzzy clustering algorithm is used for processing multivariate data; the resulting clusters are used to build the rule base; and the fuzzy logical output of the Mamdani type is used for defasification