Generalised risk-sensitive control with full and partial state observation

This paper generalises the risk-sensitive cost functional by introducing noise dependent penalties on the state and control variables. The optimal control problems for the full and partial state observation are considered. Using a change of probability measure approach, explicit closed-form solutions are found in both cases. This has resulted in a new risk-sensitive regulator and filter, which are generalisations of the well-known classical results

Extreme times for volatility processes

We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major financial indices. We find in all these data sets a very similar behavior that is far from being that of a simple Wiener process. It seems necessary to include a framework like the one provided by stochastic volatility models with a reverting force driving volatility toward its normal level to take into account memory and clustering effects in volatility dynamics. We also detect in data a very different behavior in the mean first-passage time depending whether the level is higher or lower than the normal level of volatility. For this reason, we discuss asymptotic approximations and confront them to empirical results with a good agreement, specially with the ExpOU model.Comment: 10, 6 colored figure

Systemic Risk and Default Clustering for Large Financial Systems

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015

Boundary-crossing identities for diffusions having the time-inversion property

We review and study a one-parameter family of functional transformations, denoted by (S (β)) β∈ℝ, which, in the case β<0, provides a path realization of bridges associated to the family of diffusion processes enjoying the time-inversion property. This family includes Brownian motions, Bessel processes with a positive dimension and their conservative h-transforms. By means of these transformations, we derive an explicit and simple expression which relates the law of the boundary-crossing times for these diffusions over a given function f to those over the image of f by the mapping S (β), for some fixed β∈ℝ. We give some new examples of boundary-crossing problems for the Brownian motion and the family of Bessel processes. We also provide, in the Brownian case, an interpretation of the results obtained by the standard method of images and establish connections between the exact asymptotics for large time of the densities corresponding to various curves of each family

Pancreatic adenocarcinoma in a patient with Situs Inversus: a case report of this rare coincidence

<p>Abstract</p> <p>Background</p> <p><it>Situs inversus </it>(SI) is a relatively rare occurrence in patients with pancreatic adenocarcinoma. Pancreatic resection in these patients has rarely been described. CT scan imaging is a principle modality for detecting pancreatic cancer and its use in SI patients is seldom reported.</p> <p>Case Presentation</p> <p>We report a 48 year old woman with SI who, despite normal CT scan 8 months earlier, presented with obstructive jaundice and a pancreatic head mass requiring a pancreaticoduodenectomy. The surgical pathology report demonstrated pancreatic adenocarcinoma.</p> <p>Conclusion</p> <p>SI is a rare condition with concurrent pancreatic cancer being even rarer. Despite the rarity, pancreaticoduodenectomy in these patients for resectable lesions is safe as long as special consideration to the anatomy is taken. Additionally, radiographic imaging has significantly improved detection of early pancreatic cancer; however, there continues to be a need for improved detection of small neoplasms.</p

A data set from flash X-ray imaging of carboxysomes

Citation: Hantke, M. F., Hasse, D., Ekeberg, T., John, K., Svenda, M., Loh, D., . . . Maia, F. R. N. C. (2016). A data set from flash X-ray imaging of carboxysomes. Scientific Data, 3. doi:10.1038/sdata.2016.61Ultra-intense femtosecond X-ray pulses from X-ray lasers permit structural studies on single particles and biomolecules without crystals. We present a large data set on inherently heterogeneous, polyhedral carboxysome particles. Carboxysomes are cell organelles that vary in size and facilitate up to 40% of Earth's carbon fixation by cyanobacteria and certain proteobacteria. Variation in size hinders crystallization. Carboxysomes appear icosahedral in the electron microscope. A protein shell encapsulates a large number of Rubisco molecules in paracrystalline arrays inside the organelle. We used carboxysomes with a mean diameter of 115±26 nm from Halothiobacillus neapolitanus. A new aerosol sample-injector allowed us to record 70,000 low-noise diffraction patterns in 12 min. Every diffraction pattern is a unique structure measurement and high-throughput imaging allows sampling the space of structural variability. The different structures can be separated and phased directly from the diffraction data and open a way for accurate, high-throughput studies on structures and structural heterogeneity in biology and elsewhere

A data set from flash X-ray imaging of carboxysomes

Ultra-intense femtosecond X-ray pulses from X-ray lasers permit structural studies on single particles and biomolecules without crystals. We present a large data set on inherently heterogeneous, polyhedral carboxysome particles. Carboxysomes are cell organelles that vary in size and facilitate up to 40% of Earth's carbon fixation by cyanobacteria and certain proteobacteria. Variation in size hinders crystallization. Carboxysomes appear icosahedral in the electron microscope. A protein shell encapsulates a large number of Rubisco molecules in paracrystalline arrays inside the organelle. We used carboxysomes with a mean diameter of 115±26 nm from Halothiobacillus neapolitanus. A new aerosol sample-injector allowed us to record 70,000 low-noise diffraction patterns in 12 min. Every diffraction pattern is a unique structure measurement and high-throughput imaging allows sampling the space of structural variability. The different structures can be separated and phased directly from the diffraction data and open a way for accurate, high-throughput studies on structures and structural heterogeneity in biology and elsewhere

Coherent diffraction of single Rice Dwarf virus particles using hard X-rays at the Linac Coherent Light Source

Single particle diffractive imaging data from Rice Dwarf Virus (RDV) were recorded using the Coherent X-ray Imaging (CXI) instrument at the Linac Coherent Light Source (LCLS). RDV was chosen as it is a wellcharacterized model system, useful for proof-of-principle experiments, system optimization and algorithm development. RDV, an icosahedral virus of about 70 nm in diameter, was aerosolized and injected into the approximately 0.1 mu m diameter focused hard X-ray beam at the CXI instrument of LCLS. Diffraction patterns from RDV with signal to 5.9 angstrom ngstrom were recorded. The diffraction data are available through the Coherent X-ray Imaging Data Bank (CXIDB) as a resource for algorithm development, the contents of which are described here.11Ysciescopu