Stochastic differential utility as the continuous-time limit of recursive utility

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Dufffie and Epstein (1992), in the continuous-time limit of vanishing grid size

Foundations of continuous-time recursive utility : differentiability and normalization of certainty equivalents

This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential equations (stochastic differential utility). Furthermore, we show that the notion of Gâteaux differentiability of certainty equivalents used in their paper has to be replaced by a different concept. Our approach allows us to address the important issue of normalization of aggregators in non-Brownian settings. We show that normalization is always feasible if the certainty equivalent of the aggregator is of expected utility type. Conversely, we prove that in general L´evy frameworks this is essentially also necessary, i.e. aggregators that are not of expected utility type cannot be normalized in general. Besides, for these settings we clarify the relationship of our approach to stochastic differential utility and, finally, establish dynamic programming results. JEL Classifications: D81, D91, C6

Consumption habits and humps : [Version 23 June 2013]

We show that the optimal consumption of an individual over the life cycle can have the hump shape (inverted U-shape) observed empirically if the preferences of the individual exhibit internal habit formation. In the absence of habit formation, an impatient individual would prefer a decreasing consumption path over life. However, because of habit formation, a high initial consumption would lead to high required consumption in the future. To cover the future required consumption, wealth is set aside, but the necessary amount decreases with age which allows consumption to increase in the early part of life. At some age, the impatience outweighs the habit concerns so that consumption starts to decrease. We derive the optimal consumption strategy in closed form, deduce sufficient conditions for the presence of a consumption hump, and characterize the age at which the hump occurs. Numerical examples illustrate our findings. We show that our model calibrates well to U.S. consumption data from the Consumer Expenditure Survey

Continuous-Time Mean Field Games with Finite State Space and Common Noise

We formulate and analyze a mathematical framework for continuous-time mean field games with finitely many states and common noise, including a rigorous probabilistic construction of the state process and existence and uniqueness results for the resulting equilibrium system. The key insight is that we can circumvent the master equation and reduce the mean field equilibrium to a system of forward-backward systems of (random) ordinary differential equations by conditioning on common noise events. In the absence of common noise, our setup reduces to that of Gomes, Mohr and Souza (Appl Math Optim 68(1): 99–143, 2013) and Cecchin and Fischer (Appl Math Optim 81(2):253–300, 2020).DFG, 264747124, GRK 2126: Algorithmic Optimization (ALOP)TU Berlin, Open-Access-Mittel – 202

Reduced nonlinear model of a spar-mounted floating wind turbine

Floating offshore wind turbines (FOWTs) are complex dynamic systems requiring a thorough design for optimal operating performance and stability. Advanced control strategies, like model predictive control, are part of the integrated development of new concepts. This paper presents a simplified and computationally efficient model of the spar-mounted OC3-Hywind FOWT. Applications are, e.g., the real-time integration within the controller or an assessment during conceptual design, possibly within an optimization algorithm. Symbolic equations of motion of a multibody system are available as a set of ordinary differential equations. Aerodynamic forces are computed based on a rotor effective wind speed at hub height using data tables for thrust and torque coefficients. Hydrodynamic impacts on the floating body are modeled in a way that only the wave height serves as the disturbance signal. This estimation is based on potential flow theory and Morison’s formula for slender cylinders. The reduced model code is fully compiled and has a real-time factor of approximately 100. Various simulations of common load cases with a comparison to the certified FAST code have shown to be promising

The interaction of images and text during comprehension of garden-path sentences: is integration better than good enough?

One of the main goals of reading is to construct a discourse representation. However, when information in the discourse is confusing or ambiguous, readers are often not able to create a fluid, accurate understanding of the text. Decades of research on temporarily ambiguous garden-path sentences have given the field of psycholinguistics a comprehensive understanding of how readers process, and often misinterpret, garden-path sentences. Both online and offline data demonstrate that when reading garden-path sentences (e.g., As the guard and officer wrestled the thief that was fleeing fell down the stairs), readers may not arrive at the correct, syntactically-licensed interpretation (i.e., that the guard and officer are wrestling each other) despite apparent reanalysis. The garden-path sentence processing model claims that readers often parse sentences by developing only shallow representations of the structure, and thus never return from "down the garden path" to arrive at the correct, syntactically licensed interpretation (Ferreira, Ferraro, & Bailey, 2002; Ferreira & Patson, 2007). In this dissertation, I seek to test the bounds of the garden-path model of sentence processing by investigating contextual influences on language processing. Specifically, how are reading processes are affected by the presence of extralinguistic information (e.g., imagery) with garden-path sentences. If readers are able to properly make use of linguistic (words) and nonlinguistic (pictorial) information, does it help them avoid inaccurate interpretation? For means of comparison, a related question is the role of imagery on linguistic disambiguation for less proficient readers who might rely more on the nonlinguistic code (e.g., nonnative speakers). I approach the issue of visual and linguistic (multimedia) processing by investigating specifically whether or not nonnative speakers of English, compared to native speakers, rely differently on non-linguistic information to parse and understand ambiguous, garden-path sentences

An HPA-1a-positive platelet-depleting agent for prevention of fetal and neonatal alloimmune thrombocytopenia: a randomized, single-blind, placebo-controlled, single-center, phase 1/2 proof-of-concept study

Background: Fetal/neonatal alloimmune thrombocytopenia (FNAIT) is a rare and potentially life-threatening bleeding disorder of the fetus/newborn. Antibodies against human platelet antigen 1a (HPA-1a) are associated with the most frequent FNAIT cases. There are no approved therapies for FNAIT prevention or treatment. RLYB211 is a polyclonal HPA-1a hyperimmune IgG being developed to prevent FNAIT. Objectives: To investigate whether a single dose of anti–HPA-1a (1000 IU) could markedly accelerate the elimination of HPA-1ab platelets transfused into healthy, HPA1a–negative participants as compared with placebo. Methods: This randomized, single-blind, placebo–controlled, single-center, phase 1/2 proof-of-concept study (EudraCT: 2019-003459-12) included HPA-1a– and HLA-A2– negative healthy men. Cohort 1 received intravenous RLYB211 or placebo 1 hour after transfusion of HPA-1ab platelets. Cohort 1B received RLYB211 or placebo, followed by platelet transfusion 1 week later. Primary endpoint was the half-life of transfused platelets in circulation after administration of RLYB211 or placebo, determined by flow cytometry. Proof of concept was ≥90% reduction of half-life relative to placebo. Results: Twelve participants were allocated to cohort 1 or 1B and randomized to receive RLYB211 (n = 9) or placebo (n = 3). RLYB211 markedly accelerated the elimination of HPA-1ab platelets in all participants vs placebo. In cohort 1B, this effect was observed 7 days after RLYB211 administration. Two treatment–emergent adverse events were possibly related to treatment, both in RLYB211–treated participants. No participants developed HPA-1a antibodies at 12 or 24 weeks. Conclusion: These data support the hypothesis that anti–HPA-1a could be used as prophylaxis in women at risk of having an FNAIT–affected pregnancy

Adaptive optical interconnects: The ADDAPT project

Existing optical networks are driven by dynamic user and application demands but operate statically at their maximum performance. Thus, optical links do not offer much adaptability and are not very energy-effcient. In this paper a novel approach of implementing performance and power adaptivity from system down to optical device, electrical circuit and transistor level is proposed. Depending on the actual data load, the number of activated link paths and individual device parameters like bandwidth, clock rate, modulation format and gain are adapted to enable lowering the components supply power. This enables exible energy-efficient optical transmission links which pave the way for massive reductions of CO2 emission and operating costs in data center and high performance computing applications. Within the FP7 research project Adaptive Data and Power Aware Transceivers for Optical Communications (ADDAPT) dynamic high-speed energy-efficent transceiver subsystems are developed for short-range optical interconnects taking up new adaptive technologies and methods. The research of eight partners from industry, research and education spanning seven European countries includes the investigation of several adaptive control types and algorithms, the development of a full transceiver system, the design and fabrication of optical components and integrated circuits as well as the development of high-speed, low-loss packaging solutions. This paper describes and discusses the idea of ADDAPT and provides an overview about the latest research results in this field