An ergodic stochastic control model and a discretionary stopping problem

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How to speed up the quantization tree algorithm with an application to swing options

In this paper, we suggest several improvements to the numerical implementation of the quantization method for stochastic control problems in order to obtain fast and accurate premium estimations. This technique is applied to derivative pricing in energy markets. Several ways of modeling energy derivatives are described and numerical examples including parallel execution on multi-processor devices are presented to illustrate the accuracy of these methods and their execution times.American options, Applied mathematical finance, Control and optimization, Numerical methods for option pricing,

Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

We consider the problem of optimally stopping a general one-dimensional Ito diffusion X. In particular, we solve the problem that aims at maximising the performance criterion E-x exp(- integral(tau)(0) r(X-S) ds)f (X-tau) over all stopping times tau, where the reward function f can take only a finite number of values and has a 'staircase' form. This problem is partly motivated by applications to financial asset pricing. Our results are of an explicit analytic nature and completely characterise the optimal stopping time. Also, it turns out that the problem's value function is not C-1, which is due to the fact that the reward function f is not continuous

High Risk of Anal and Rectal Cancer in Patients With Anal and/or Perianal Crohn’s Disease

International audienceBackground & AimsLittle is known about the magnitude of the risk of anal and rectal cancer in patients with anal and/or perineal Crohn’s disease. We aimed to assess the risk of anal and rectal cancer in patients with Crohn’s perianal disease followed up in the Cancers Et Surrisque Associé aux Maladies Inflammatoires Intestinales En France (CESAME) cohort.MethodsWe collected data from 19,486 patients with inflammatory bowel disease (IBD) enrolled in the observational CESAME study in France, from May 2004 through June 2005; 14.9% of participants had past or current anal and/or perianal Crohn’s disease. Subjects were followed up for a median time of 35 months (interquartile range, 29–40 mo). To identify risk factors for anal cancer in the total CESAME population, we performed a case-control study in which participants were matched for age and sex.ResultsAmong the total IBD population, 8 patients developed anal cancer and 14 patients developed rectal cancer. In the subgroup of 2911 patients with past or current anal and/or perianal Crohn’s lesions at cohort entry, 2 developed anal squamous-cell carcinoma, 3 developed perianal fistula–related adenocarcinoma, and 6 developed rectal cancer. The corresponding incidence rates were 0.26 per 1000 patient-years for anal squamous-cell carcinoma, 0.38 per 1000 patient-years for perianal fistula–related adenocarcinoma, and 0.77 per 1000 patient-years for rectal cancer. Among the 16,575 patients with ulcerative colitis or Crohn’s disease without anal or perianal lesions, the incidence rate of anal cancer was 0.08 per 1000 patient-years and of rectal cancer was 0.21 per 1000 patient-years. Among factors tested by univariate conditional regression (IBD subtype, disease duration, exposure to immune-suppressive therapy, presence of past or current anal and/or perianal lesions), the presence of past or current anal and/or perianal lesions at cohort entry was the only factor significantly associated with development of anal cancer (odds ratio, 11.2; 95% CI, 1.18-551.51; P = .03).ConclusionsIn an analysis of data from the CESAME cohort in France, patients with anal and/or perianal Crohn’s disease have a high risk of anal cancer, including perianal fistula–related cancer, and a high risk of rectal cancer

Guidelines for the use and interpretation of assays for monitoring autophagy (4th edition)

In 2008, we published the first set of guidelines for standardizing research in autophagy. Since then, this topic has received increasing attention, and many scientists have entered the field. Our knowledge base and relevant new technologies have also been expanding. Thus, it is important to formulate on a regular basis updated guidelines for monitoring autophagy in different organisms. Despite numerous reviews, there continues to be confusion regarding acceptable methods to evaluate autophagy, especially in multicellular eukaryotes. Here, we present a set of guidelines for investigators to select and interpret methods to examine autophagy and related processes, and for reviewers to provide realistic and reasonable critiques of reports that are focused on these processes. These guidelines are not meant to be a dogmatic set of rules, because the appropriateness of any assay largely depends on the question being asked and the system being used. Moreover, no individual assay is perfect for every situation, calling for the use of multiple techniques to properly monitor autophagy in each experimental setting. Finally, several core components of the autophagy machinery have been implicated in distinct autophagic processes (canonical and noncanonical autophagy), implying that genetic approaches to block autophagy should rely on targeting two or more autophagy-related genes that ideally participate in distinct steps of the pathway. Along similar lines, because multiple proteins involved in autophagy also regulate other cellular pathways including apoptosis, not all of them can be used as a specific marker for bona fide autophagic responses. Here, we critically discuss current methods of assessing autophagy and the information they can, or cannot, provide. Our ultimate goal is to encourage intellectual and technical innovation in the field