Some Results on Skorokhod Embedding and Robust Hedging with Local Time

In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging of options depending on the local time by using the recently introduced stochastic control approach, in order to identify the optimal hedging strategies, as well as the market models that realize the extremal no-arbitrage prices. As a by-product, the optimality of Vallois' Skorokhod embeddings is recovered. In addition, under appropriate conditions, we derive a new solution to the two-marginal Skorokhod embedding as a generalization of the Vallois solution. It turns out from our analysis that one needs to relax the monotonicity assumption on the embedding functions in order to embed a larger class of marginal distributions. Finally, in a full-marginal setting where the stopping times given by Vallois are well-ordered, we construct a remarkable Markov martingale which provides a new example of fake Brownian motion

PAGAI: a path sensitive static analyzer

We describe the design and the implementation of PAGAI, a new static analyzer working over the LLVM compiler infrastructure, which computes inductive invariants on the numerical variables of the analyzed program. PAGAI implements various state-of-the-art algorithms combining abstract interpretation and decision procedures (SMT-solving), focusing on distinction of paths inside the control flow graph while avoiding systematic exponential enumerations. It is parametric in the abstract domain in use, the iteration algorithm, and the decision procedure. We compared the time and precision of various combinations of analysis algorithms and abstract domains, with extensive experiments both on personal benchmarks and widely available GNU programs.Comment: Tools for Automatic Program AnalysiS (TAPAS 2012), Deauville : France (2012

Représenter la Première Guerre mondiale dans les jeux vidéo : entre absence et uchronie

Dans le cadre du programme de célébration du centenaire de la Première Guerre mondiale, cet article questionne la représentation de ce premier conflit mondial dans les jeux vidéo. Le sujet est d'autant plus intéressant à questionner que cet épisode de l'Histoire est relativement peu utilisé par rapport à la Seconde Guerre mondiale

Cross-Collaboration Processes based on Blockchain and IoT: a survey

Cross-collaboration processes are decentralized by nature and their centralized monitoring can trigger mistrust. Nevertheless, a decentralized monitoring facility such as a blockchain-based and Internet-of-Things-aware (IoT-aware) business process management system can reduce this pitfall. However, concerns related to usability, privacy, and performance, hamper the wide adoption of these systems. To better understand the challenges at stake, this paper reviews the use of blockchain and IoT devices in cross-collaboration processes. This survey sheds some light on standard uses such as model engineering or permissioned blockchains which help adopt cross-collaboration business process management systems. Moreover, with respect to process design, two schools of thought coexist, addressing both constrained and loosely processes. Furthermore, a focus on data-centric processes appears to get some momentum, as many industries go digital. Finally, this survey underlines the need to orient future research towards a more flexible, scalable, and data-aware blockchain-based business process management system

Semaine d'Etude Mathématiques et Entreprises 6 : Analyse statistique des défauts en électronique analogique

Nous nous intéressons à des données issues de mesures de tensions sur des circuits électroniques analogiques. Plus précisément, il s'agit de proposer une analyse de courbes représentant l'évolution en fonction du temps des tensions en différents nœuds d'un circuit électronique. Notre objectif est de proposer une analyse automatisée de la qualité des courbes. Plus précisément, nous proposons ici des méthodes statistiques d'analyse de données capable de : -- Identifier d'éventuels patterns dans les courbes (classification), -- Isoler les courbes présentant des "anomalies" (détection de courbes suspectes)

Ischemic Stroke of the Artery of Percheron with Normal Initial MRI: A Case Report

The artery of Percheron is a solitary trunk representing an uncommon anatomic variant that provides bilateral arterial supply to the paramedian thalami and the rostral midbrain. Occlusion of this artery results in bilateral thalamic and mesencephalic infarctions. The clinical diagnosis is difficult because the complex anatomy causes large clinical variability. We report a case of a comatose patient with normal early head-computed tomography and magnetic resonance imaging. A bilateral paramedian thalamic infarct due to an occlusion of the artery of Percheron was revealed two days later by a new head computed tomography. To our knowledge, this is the first report in the literature of a symptomatic patient presenting an acute Percheron stroke with normal early brain magnetic resonance imaging. Our case indicates that a normal initial magnetic resonance imaging cannot formally eliminate the diagnosis of acute stroke of the artery of Percheron. We discuss the causes of noncontributive brain magnetic resonance imaging at the onset of this acute Percheron stroke and the alternative diagnosis and therapy methods

Human RioK3 is a novel component of cytoplasmic pre-40S pre-ribosomal particles

Maturation of the 40S ribosomal subunit precursors in mammals mobilizes several non-ribosomal proteins, including the atypical protein kinase RioK2. Here, we have investigated the involvement of another member of the RIO kinase family, RioK3, in human ribosome biogenesis. RioK3 is a cytoplasmic protein that does not seem to shuttle between nucleus and cytoplasm via a Crm1-dependent mechanism as does RioK2 and which sediments with cytoplasmic 40S ribosomal particles in a sucrose gradient. When the small ribosomal subunit biogenesis is impaired by depletion of either rpS15, rpS19 or RioK2, a concomitant decrease in the amount of RioK3 is observed. Surprisingly, we observed a dramatic and specific increase in the levels of RioK3 when the biogenesis of the large ribosomal subunit is impaired. A fraction of RioK3 is associated with the non ribosomal pre-40S particle components hLtv1 and hEnp1 as well as with the 18S-E pre-rRNA indicating that it belongs to a bona fide cytoplasmic pre-40S particle. Finally, RioK3 depletion leads to an increase in the levels of the 21S rRNA precursor in the 18S rRNA production pathway. Altogether, our results strongly suggest that RioK3 is a novel cytoplasmic component of pre-40S pre-ribosomal particle(s) in human cells, required for normal processing of the 21S pre-rRNA

Proposed Consistent Exception Handling for the BLAS and LAPACK

Numerical exceptions, which may be caused by overflow, operations like division by 0 or sqrt(-1), or convergence failures, are unavoidable in many cases, in particular when software is used on unforeseen and difficult inputs. As more aspects of society become automated, e.g., self-driving cars, health monitors, and cyber-physical systems more generally, it is becoming increasingly important to design software that is resilient to exceptions, and that responds to them in a consistent way. Consistency is needed to allow users to build higher-level software that is also resilient and consistent (and so on recursively). In this paper we explore the design space of consistent exception handling for the widely used BLAS and LAPACK linear algebra libraries, pointing out a variety of instances of inconsistent exception handling in the current versions, and propose a new design that balances consistency, complexity, ease of use, and performance. Some compromises are needed, because there are preexisting inconsistencies that are outside our control, including in or between existing vendor BLAS implementations, different programming languages, and even compilers for the same programming language. And user requests from our surveys are quite diverse. We also propose our design as a possible model for other numerical software, and welcome comments on our design choices