Robust pricing and hedging under trading restrictions and the emergence of local martingale models

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options are traded at certain maturities, and the forward price implied by these option prices may be strictly decreasing in time. In discrete time, when call options are traded, the short-selling restrictions ensure no arbitrage, and we show that classical duality holds between the smallest super-replication price and the supremum over expectations of the payoff over all supermartingale measures. More surprisingly in the case where the only vanilla options are put options, we show that there is a duality gap. Embedding the discrete time model into a continuous time setup, we make a connection with (strict) local-martingale models, and derive framework and results often seen in the literature on financial bubbles. This connection suggests a certain natural interpretation of many existing results in the literature on financial bubbles

Freeway Traffic Density and On-Ramp Queue Control via ILC Approach

A new queue length information fused iterative learning control approach (QLIF-ILC) is presented for freeway traffic ramp metering to achieve a better performance by utilizing the error information of the on-ramp queue length. The QLIF-ILC consists of two parts, where the iterative feedforward part updates the control input signal by learning from the past control data in previous trials, and the current feedback part utilizes the tracking error of the current learning iteration to stabilize the controlled plant. These two parts are combined in a complementary manner to enhance the robustness of the proposed QLIF-ILC. A systematic approach is developed to analyze the convergence and robustness of the proposed learning scheme. The simulation results are further given to demonstrate the effectiveness of the proposed QLIF-ILC

Pt nanowire growth induced by Pt nanoparticles in application of the cathodes for Polymer Electrolyte Membrane Fuel Cells (PEMFCs)

Improving cathode performance at a lower Pt loading is critical in commercial PEMFC applications. A novel Pt nanowire (Pt-NW) cathode was developed by in-situ growth of Pt nanowires in carbon matrix consisting Pt nanoparticles (Pt-NPs). Characterization of TEM and XRD shows that the pre-existing Pt-NPs from Pt/C affect Pt-NW morphology and crystallinity and Pt profile crossing the matrix thickness. The cathode with Pt-NP loading of 0.005 mgPt-NP cm−2 and total cathode Pt loading of 0.205 mgPt cm−2 has the specific current density of 89.56 A gPt−1 at 0.9 V, which is about 110% higher than that of 42.58 A gPt−1 of the commercial gas diffusion layer (GDE) with Pt loading of 0.40 mg cm−2. When cell voltage is below 0.48 V, the Pt-NW cathode has better performance than the commercial GDE. It is believed that the excellent performance of the Pt-NW cathode is attributed to Pt-NP induction, therefore producing unique Pt-NW structure and efficient Pt utilization. A Pt-NW growth mechanism was proposed that Pt precursor diffuses into the matrix consisting of pre-existent Pt-NPs by concentration driving, and Pt-NPs provide priority sites for platinum depositing at early stage and facilitate Pt-NW growth

A new approach to find biomarkers in chronic fatigue syndrome/myalgic encephalomyelitis (CFS/ME) by single-cell Raman micro-spectroscopy

Chronic fatigue syndrome (CFS), also called myalgic encephalomyelitis (ME), is a debilitating disorder characterized by physical and mental exhaustion. Mitochondrial and energetic dysfunction has been investigated in CFS patients due to a hallmark relationship with fatigue, however, no consistent conclusion has yet been achieved. Single-cell Raman spectra (SCRS) are label-free biochemical profiles, indicating phenotypic fingerprints of single cells. In this study, we applied a new approach using single-cell Raman microspectroscopy (SCRM) to examine 0 cells that lack mitochondrial DNA (mtDNA), and peripheral blood mononuclear cells (PBMCs) from CFS patients and healthy controls. The experimental results show that Raman bands associated with phenylalanine in 0 cells and CFS patient PBMCs were significantly higher than wild type model and healthy controls. Remarkably, an increase in intensities of Raman phenylalanine bands were also observed in CFS patients. As similar changes were observed in the 0 cell model with a known deficiency in the mitochondrial respiratory chain as well as in CFS patients, our results suggest that the increase in cellular phenylalanine may relate to mitochondrial/energetic dysfunction in both systems. Interestingly, phenylalanine can be used as a potential biomarker for diagnosis of CFS by SCRM. A machine learning classification model achieved an accuracy rate of 98% correctly assigning Raman spectra to either the CFS group or the control group. SCRM combined with machine learning algorithm therefore has the potential to become a diagnostic tool for CFS

Search for dark matter produced in association with bottom or top quarks in √s = 13 TeV pp collisions with the ATLAS detector

A search for weakly interacting massive particle dark matter produced in association with bottom or top quarks is presented. Final states containing third-generation quarks and miss- ing transverse momentum are considered. The analysis uses 36.1 fb−1 of proton–proton collision data recorded by the ATLAS experiment at √s = 13 TeV in 2015 and 2016. No significant excess of events above the estimated backgrounds is observed. The results are in- terpreted in the framework of simplified models of spin-0 dark-matter mediators. For colour- neutral spin-0 mediators produced in association with top quarks and decaying into a pair of dark-matter particles, mediator masses below 50 GeV are excluded assuming a dark-matter candidate mass of 1 GeV and unitary couplings. For scalar and pseudoscalar mediators produced in association with bottom quarks, the search sets limits on the production cross- section of 300 times the predicted rate for mediators with masses between 10 and 50 GeV and assuming a dark-matter mass of 1 GeV and unitary coupling. Constraints on colour- charged scalar simplified models are also presented. Assuming a dark-matter particle mass of 35 GeV, mediator particles with mass below 1.1 TeV are excluded for couplings yielding a dark-matter relic density consistent with measurements