Bessel bridges decomposition with varying dimension. Applications to finance

We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger context where a time-varying drift term can be added. Then in the non-drifted case we extend many results already proven in the case of classical Bessel processes to our context. Our deepest result is a decomposition of the Bridge process associated to this generalized squared Bessel process, much similar to the much celebrated result of J. Pitman and M. Yor. On a more practical point of view, we give a methodology to compute the Laplace transform of additive functionals of our process and the associated bridge. This permits in particular to get directly access to the joint distribution of the value at t of the process and its integral. We finally give some financial applications to illustrate the panel of applications of our results

Urban agriculture: a global analysis of the space constraint to meet urban vegetable demand

Urban agriculture (UA) has been drawing a lot of attention recently for several reasons: the majority of the world population has shifted from living in rural to urban areas; the environmental impact of agriculture is a matter of rising concern; and food insecurity, especially the accessibility of food, remains a major challenge. UA has often been proposed as a solution to some of these issues, for example by producing food in places where population density is highest, reducing transportation costs, connecting people directly to food systems and using urban areas efficiently. However, to date no study has examined how much food could actually be produced in urban areas at the global scale. Here we use a simple approach, based on different global-scale datasets, to assess to what extent UA is constrained by the existing amount of urban space. Our results suggest that UA would require roughly one third of the total global urban area to meet the global vegetable consumption of urban dwellers. This estimate does not consider how much urban area may actually be suitable and available for UA, which likely varies substantially around the world and according to the type of UA performed. Further, this global average value masks variations of more than two orders of magnitude among individual countries. The variations in the space required across countries derive mostly from variations in urban population density, and much less from variations in yields or per capita consumption. Overall, the space required is regrettably the highest where UA is most needed, i.e., in more food insecure countries. We also show that smaller urban clusters (i.e., <100 km2 each) together represent about two thirds of the global urban extent; thus UA discourse and policies should not focus on large cities exclusively, but should also target smaller urban areas that offer the greatest potential in terms of physical space

On the Existence of Shadow Prices

For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy and utility. However, the question of whether or not this indeed holds in generality has remained elusive so far. In this paper we present a counterexample which shows that shadow prices may fail to exist. On the other hand, we prove that short selling constraints are a sufficient condition to warrant their existence, even in very general multi-currency market models with possibly discontinuous bid-ask-spreads.Comment: 14 pages, 1 figure, to appear in "Finance and Stochastics

Carrying Ideas from Knowledge-Based Configuration to Software Product Lines

Software variability modelling (SVM) has become a central concern in software product lines -- especially configurable software product lines (CSPL) require rigorous SVM. Dynamic SPLs, service oriented SPLs, and autonomous or pervasive systems are examples where CSPLs are applied. Knowledge-based configuration (KBC) is an established way to address variability modelling aiming for the automatic product configuration of physical products. Our aim was to study what major ideas from KBC can be applied to SVM, particularly in the context of CSPLs. Our main contribution is the identification of major ideas from KBC that could be applied to SVM. First, we call for the separation of types and instances. Second, conceptual clarity of modelling concepts, e.g., having both taxonomical and compositional relations would be useful. Third, we argue for the importance of a conceptual basis that provides a foundation for multiple representations, e.g., graphical and textual. Applying the insights and experiences embedded in these ideas may help in the development of modelling support for software product lines, particularly in terms of conceptual clarity and as a basis for tool support with a high level of automation.Peer reviewe

Burnout in Organizational Life

Burnout is a psychological response to work stress that is characterized by emotional exhaustion, depersonalization, and reduced feelings of personal accomplishment. In this paper, we review the burnout literature from 1993 to present, identifying important trends that have characterized the literature. We focus our attention on theoretical models that explain the process of burnout, the measurement of burnout, means of reducing burnout, and directions for the future of burnout research.Yeshttps://us.sagepub.com/en-us/nam/manuscript-submission-guideline