On Feedback Control in Kelly Betting: An Approximation Approach

In this paper, we consider a simple discrete-time optimal betting problem using the celebrated Kelly criterion, which calls for maximization of the expected logarithmic growth of wealth. While the classical Kelly betting problem can be solved via standard concave programming technique, an alternative but attractive approach is to invoke a Taylor-based approximation, which recasts the problem into quadratic programming and obtain the closed-form approximate solution. The focal point of this paper is to fill some voids in the existing results by providing some interesting properties when such an approximate solution is used. Specifically, the best achievable betting performance, positivity of expected cumulative gain or loss and its associated variance, expected growth property, variance of logarithmic growth, and results related to the so-called survivability (no bankruptcy) are provided.Comment: To appear in the proceedings of the 2020 IEEE Conference on Control Technology and Applications (CCTA

The Pentaquarks in the Linear Molecular Heptaquark Model

In this talk, multiquarks are studied microscopically in a standard quark model. In pure ground-state pentaquarks the short-range interaction is computed and it is shown to be repulsive. An additional quark-antiquark pair is then considered, and this is suggested to produce linear molecular system, with a narrow decay width. The quarks assemble in three hadronic clusters, and the central hadron provides stability. The possible crypto-heptaquark hadrons with exotic pentaquark flavours, with strange, charmed and bottomed quarks, are predicted.Comment: 6 pages, 3 tables, talk presented as the Eighth Workshop on Non-Perturbative Quantum Chromodynamics 7-11 June 2004, Paris, proceedings edited by B. Muller, Chung-I Tan and Y. Gabellin

On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important

The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops in wealth over time from peaks to subsequent lows. Motivated by the fact that this issue is of paramount concern to conservative investors, we dispense with the classical variance as the risk metric and work with drawdown and mean return as the risk-reward pair. In this setting, the main results in this paper address the so-called "efficiency" of linear time-invariant (LTI) investment feedback strategies which correspond to Markowitz-style schemes in the finance literature. Our analysis begins with the following principle which is widely used in finance: Given two investment opportunities, if one of them has higher risk and lower return, it will be deemed to be inefficient or strictly dominated and generally rejected in the marketplace. In this framework, with risk-reward pair as described above, our main result is that classical Markowitz-style strategies are inefficient. To establish this, we use a new investment strategy which involves a time-varying linear feedback block K(k), called the drawdown modulator. Using this instead of the original LTI feedback block K in the Markowitz scheme, the desired domination is obtained. As a bonus, it is also seen that the modulator assures a worst-case level of drawdown protection with probability one.Comment: This paper has been published in Proceedings of 56th IEEE Conference on Decision and Control (CDC) 201

Modelling the Effect of Treatment and Behavioral Change in HIV Transmission Dynamics

25 pages, 1 article*Modelling the Effect of Treatment and Behavioral Change in HIV Transmission Dynamics* (Hsieh, Ying-Hen; Velasco-Hernandez, Jorge X.) 25 page

Propagation of Memory Parameter from Durations to Counts

We establish sufficient conditions on durations that are stationary with finite variance and memory parameter $d \in [0,1/2)$ to ensure that the corresponding counting process $N(t)$ satisfies $\textmd{Var} N(t) \sim C t^{2d+1}$ ($C>0$) as $t \to \infty$, with the same memory parameter $d \in [0,1/2)$ that was assumed for the durations. Thus, these conditions ensure that the memory in durations propagates to the same memory parameter in counts and therefore in realized volatility. We then show that any utoregressive Conditional Duration ACD(1,1) model with a sufficient number of finite moments yields short memory in counts, while any Long Memory Stochastic Duration model with $d>0$ and all finite moments yields long memory in counts, with the same $d$

Entanglement preserving local thermalization

We investigate whether entanglement can survive the thermalization of subsystems. We present two equivalent formulations of this problem: (1) Can two isolated agents, accessing only pre-shared randomness, locally thermalize arbitrary input states while maintaining some entanglement? (2) Can thermalization with local heat baths, which may be classically correlated but do not exchange information, locally thermalize arbitrary input states while maintaining some entanglement? We answer these questions in the positive at every nonzero temperature and provide bounds on the amount of preserved entanglement. We provide explicit protocols and discuss their thermodynamic interpretation: we suggest that the underlying mechanism is a speed-up of the subsystem thermalization process. We also present extensions to multipartite systems. Our findings show that entanglement can survive locally performed thermalization processes accessing only classical correlations as a resource. They also suggest a broader study of the channel's ability to preserve resources and of the compatibility between global and local dynamics.Comment: 6+7 pages, 1 figure, closed to the published versio