Risk Minimization and Optimal Derivative Design in a Principal Agent Game

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She evaluates her risk using a coherent and law invariant risk measure and tries minimize her exposure by selling derivative securities on her income to individual agents. The agents have mean-variance preferences with heterogeneous risk aversion coefficients. An agent's degree of risk aversion is private information and hidden to the principal who only knows the overall distribution. We show that the principal's risk minimization problem has a solution and illustrate the effects of risk transfer on her income by means of two specific examples. Our model extends earlier work of Barrieu and El Karoui (2005) and Carlier, Ekeland and Touzi (2007).Comment: 28 pages, 4 figure

Global existence of classical solutions to the Vlasov-Poisson system in a three dimensional, cosmological setting

The initial value problem for the Vlasov-Poisson system is by now well understood in the case of an isolated system where, by definition, the distribution function of the particles as well as the gravitational potential vanish at spatial infinity. Here we start with homogeneous solutions, which have a spatially constant, non-zero mass density and which describe the mass distribution in a Newtonian model of the universe. These homogeneous states can be constructed explicitly, and we consider deviations from such homogeneous states, which then satisfy a modified version of the Vlasov-Poisson system. We prove global existence and uniqueness of classical solutions to the corresponding initial value problem for initial data which represent spatially periodic deviations from homogeneous states.Comment: 23 pages, Latex, report #

Kinetic equation for gluons at the early stage

We derive the kinetic equation for pure gluon QCD plasma in a general way, applying the background field method. We show that the quantum kinetic equation contains a term as in the classical case, that describes a color charge precession of partons moving in the gauge field. We emphasize that this new term is necessary for the gauge covariance of the resulting equation.Comment: 6 pages, no figure, to appear in the proceedings of the 6th international conference on strange quarks in matter, Frankfurt, Germany, 25-29 september 200

Transport model analysis of the transverse momentum and rapidity dependence of pion interferometry at SPS energies

Based on the UrQMD transport model, the transverse momentum and the rapidity dependence of the Hanbury-Brown-Twiss (HBT) radii $R_L$, $R_O$, $R_S$ as well as the cross term $R_{OL}$ at SPS energies are investigated and compared with the experimental NA49 and CERES data. The rapidity dependence of the $R_L$, $R_O$, $R_S$ is weak while the $R_{OL}$ is significantly increased at large rapidities and small transverse momenta. The HBT "life-time" issue (the phenomenon that the calculated $\sqrt{R_O^{2}-R_S^{2}}$ value is larger than the correspondingly extracted experimental data) is also present at SPS energies.Comment: 17 pages, 11 figure

A Comparative Study of Fast Wire Scanners, Beamscope and SEM-Grids for Emittance Measurements in the PS Booster

The tight emittance budget, imposed on the production of the high-brilliance beams in the LHC preinjectors, demands the elimination of all possible sources of beam blow-up. A prerequisite for this is reliable instrumentation and evaluation methods for comparison of their data. We have made a study of three methods for emittance measurement in the PS Booster: fast wire-scanners, BeamScope, and SEM-grids in a measurement line. For the fast wire-scanners, a full Monte-Carlo simulation was made of the beam-wire interaction, for an energy range from 100 MeV to 1 GeV, and compared to measured values. Data from a scraping method (BeamScope) are compared to profile measurements, using Abel-type integral transformations. Results will be presented

Enhance the Efficiency of Heuristic Algorithm for Maximizing Modularity Q

Modularity Q is an important function for identifying community structure in complex networks. In this paper, we prove that the modularity maximization problem is equivalent to a nonconvex quadratic programming problem. This result provide us a simple way to improve the efficiency of heuristic algorithms for maximizing modularity Q. Many numerical results demonstrate that it is very effective.Comment: 9 pages, 3 figure