Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact

This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we show that the function is continuous and has the semigroup property, which is strongly related to the Hamilton-Jacobi-Bellman quasi-variational inequality. Moreover, we show that noise in market impact causes risk-neutral assessment to underestimate the impact cost. We also study typical examples under a log-linear/quadratic market impact function with Gamma-distributed noise.Comment: 24 pages, 14 figures. Continuation of the paper arXiv:1301.648

Solitary coherent structures in viscoelastic shear flow: computation and mechanism

Starting from stationary bifurcations in Couette-Dean flow, we compute nontrivial stationary solutions in inertialess viscoelastic circular Couette flow. These solutions are strongly localized vortex pairs, exist at arbitrarily large wavelengths, and show hysteresis in the Weissenberg number, similar to experimentally observed ``diwhirl'' patterns. Based on the computed velocity and stress fields, we elucidate a heuristic, fully nonlinear mechanism for these flows. We propose that these localized, fully nonlinear structures comprise fundamental building blocks for complex spatiotemporal dynamics in the flow of elastic liquids.Comment: 5 pages text and 4 figures. Submitted to Physical Review Letter

Simulation models predict that school-age children are responsible for most human-to-mosquito Plasmodium falciparum transmission in southern Malawi

Abstract Background Malaria persists in some high-transmission areas despite extensive control efforts. Progress toward elimination may require effective targeting of specific human populations that act as key transmission reservoirs. Methods Parameterized using molecular-based Plasmodium falciparum infection data from cross-sectional community studies in southern Malawi, a simulation model was developed to predict the proportions of human-to-mosquito transmission arising from (a) children under 5 years old (U5s), (b) school-age children (SAC, 5–15 years), (c) young adults (16–30 years), and (d) adults > 30 years. The model incorporates mosquito biting heterogeneity and differential infectivity (i.e. probability that a blood-fed mosquito develops oocysts) by age and gametocyte density. Results The model predicted that SAC were responsible for more than 60% of new mosquito infections in both dry and rainy seasons, even though they comprise only 30% of this southern Malawi population. Young adults were the second largest contributors, while U5s and adults over 30 were each responsible for < 10% of transmission. While the specific predicted values are sensitive to the relative infectiousness of SAC, this group remained the most important contributor to mosquito infections under all realistic estimates. Conclusions These results suggest that U5 children play a small role compared to SAC in maintaining P. falciparum transmission in southern Malawi. Models that assume biting homogeneity overestimate the importance of U5s. To reduce transmission, interventions will need to reach more SAC and young adults. This publicly available model can be used by others to estimate age-specific transmission contributions in epidemiologically similar sites with local parameter estimates of P. falciparum prevalence and bed net use.https://deepblue.lib.umich.edu/bitstream/2027.42/143001/1/12936_2018_Article_2295.pd

High prevalence of Plasmodium falciparum gametocyte infections in school-age children using molecular detection: patterns and predictors of risk from a cross-sectional study in southern Malawi

Abstract Background In endemic areas, many people experience asymptomatic Plasmodium infections, particularly older children and adults, but their transmission contribution is unknown. Though not the exclusive determinant of infectiousness, transmission from humans to mosquitoes requires blood meals containing gametocytes. Gametocytes often occur at submicroscopic densities, challenging measurement in human populations. More sensitive molecular techniques allow better characterization of gametocyte epidemiologic patterns. Methods Approximately 30 households were selected from each of eight sites in southern Malawi during two cross-sectional surveys. Blood was sampled from 623 people during the dry season and 896 the following rainy season. Among people PCR-positive for Plasmodium falciparum, mature gametocytes were detected by qRT-PCR. Regression models evaluated predictors of gametocyte carriage and density in the total population and among those with PCR-positive infections. Results The prevalence of gametocyte carriage by molecular testing was 3.5% during the dry season and 8.6% during the rainy season, and by microscopy 0.8 and 3.3%, respectively. Nearly half of PCR-positive infections carried gametocytes, regardless of recent symptom status. Among P. falciparum-infected people, only living in unfinished houses and age were significantly associated with gametocyte presence. Infected people in unfinished houses had higher odds of carrying gametocytes (OR 2.24, 95% CI 1.16–4.31), and 31% (95% CI 3–65%) higher gametocyte density than those in finished houses. School-age children (5–15 years), had higher odds than adults (≥16 years) of having gametocytes when infected (OR 2.77, 95% CI 1.47–5.19), but 31% (95% CI 11–47%) lower gametocyte density. Children <5 years did not have significantly higher odds of gametocyte carriage or density when infected than adults. Conclusions School-age children frequently carry gametocytes in communities of southern Malawi and represent an under-recognized reservoir of infection. Malaria elimination strategies should address these frequently asymptomatic reservoirs, especially in highly endemic areas. Improved household construction may also reduce the infectious reservoir.http://deepblue.lib.umich.edu/bitstream/2027.42/134670/1/12936_2016_Article_1587.pd

Characterization of the interactions of a polycationic, amphiphilic, terminally branched oligopeptide with lipid A and lipopolysaccharide from the deep rough mutant of salmonella minnesota

The lipid A and lipopolysaccharide (LPS) binding and neutralizing activities of a synthetic, polycationic, amphiphilic peptide were studied. The branched peptide, designed as a functional analog of polymyxin B, has a six residue hydrophobic sequence, bearing at its N-terminus a penultimate lysine residue whose α- and E-amino groups are coupled to two terminal lysine residues. In fluorescence spectroscopic studies designed to examine relative affinities of binding to the toxin, neutralization of surface charge and fluidization of the acyl domains, the peptide was active, closely resembling the effects of polymyxin B and its nonapeptide derivative; however, the synthetic peptide does not induce phase transitions in LPS aggregates as do polymyxin B and polymyxin B nonapeptide. The peptide was also comparable with polymyxin B in its ability to inhibit LPS-mediated IL-1 and IL-6 release from human peripheral blood mononuclear cells. The synthetic compound is devoid of antibacterial activities and did not induce conductance fluxes in LPS-containing asymmetric planar membranes. These results strengthen the premise that basicity and amphiphilicity are necessary and sufficient physical properties that ascribe endotoxin binding and neutralizing activities, and further suggest that antibacterial/membrane perturbant and LPS neutralizing activities are dissociable, which may be of value in designing LPS-sequestering agents of low toxicity

About ergodicity in the family of limacon billiards

By continuation from the hyperbolic limit of the cardioid billiard we show that there is an abundance of bifurcations in the family of limacon billiards. The statistics of these bifurcation shows that the size of the stable intervals decreases with approximately the same rate as their number increases with the period. In particular, we give numerical evidence that arbitrarily close to the cardioid there are elliptic islands due to orbits created in saddle node bifurcations. This shows explicitly that if in this one parameter family of maps ergodicity occurs for more than one parameter the set of these parameter values has a complicated structure.Comment: 17 pages, 9 figure

Solvent contribution to the stability of a physical gel characterized by quasi-elastic neutron scattering

The dynamics of a physical gel, namely the Low Molecular Mass Organic Gelator {\textit Methyl-4,6-O-benzylidene-$\alpha$ -D-mannopyranoside ($\alpha$-manno)} in water and toluene are probed by neutron scattering. Using high gelator concentrations, we were able to determine, on a timescale from a few ps to 1 ns, the number of solvent molecules that are immobilised by the rigid network formed by the gelators. We found that only few toluene molecules per gelator participate to the network which is formed by hydrogen bonding between the gelators' sugar moieties. In water, however, the interactions leading to the gel formations are weaker, involving dipolar, hydrophobic or $\pi-\pi$ interactions and hydrogen bonds are formed between the gelators and the surrounding water. Therefore, around 10 to 14 water molecules per gelator are immobilised by the presence of the network. This study shows that neutron scattering can give valuable information about the behaviour of solvent confined in a molecular gel.Comment: Langmuir (2015

Brucella abortus and its closest phylogenetic relative, Ochrobactrum spp., differ in outer membrane permeability and cationic peptide resistance

The outer membrane (OM) of the intracellular parasite Brucella abortus is permeable to hydrophobic probes and resistant to destabilization by polycationic peptides and EDTA. The significance of these unusual properties was investigated in a comparative study with the opportunistic pathogens of the genus Ochrobactrum, the closest known Brucella relative. Ochrobactrum spp. OMs were impermeable to hydrophobic probes and sensitive to polymyxin B but resistant to EDTA. These properties were traced to lipopolysaccharide (LPS) because (i) insertion of B. abortus LPS, but not of Escherichia coli LPS, into Ochrobactrum OM increased its permeability; (ii) permeability and polymyxin B binding measured with LPS aggregates paralleled the results with live bacteria; and (iii) the predicted intermediate results were obtained with B. abortus-Ochrobactrum anthropi and E. coli-O. anthropi LPS hybrid aggregates. Although Ochrobactrum was sensitive to polymyxin, self-promoted uptake and bacterial lysis occurred without OM morphological changes, suggesting an unusual OM structural rigidity. Ochrobactrum and B. abortus LPSs showed no differences in phosphate, qualitative fatty acid composition, or acyl chain fluidity. However, Ochrobactrum LPS, but not B. abortus LPS, contained galacturonic acid. B. abortus and Ochrobactrum smooth LPS aggregates had similar size and zeta potential (-12 to -15 mV). Upon saturation with polymyxin, zeta potential became positive (1 mV) for Ochrobactrum smooth LPS while remaining negative (-5 mV) for B. abortus smooth LPS, suggesting hindered access to inner targets. These results show that although Ochrobactrum and Brucella share a basic OM pattern, subtle modifications in LPS core cause markedly different OM properties, possibly reflecting the adaptive evolution of B. abortus to pathogenicity

Continuation for thin film hydrodynamics and related scalar problems

This chapter illustrates how to apply continuation techniques in the analysis of a particular class of nonlinear kinetic equations that describe the time evolution through transport equations for a single scalar field like a densities or interface profiles of various types. We first systematically introduce these equations as gradient dynamics combining mass-conserving and nonmass-conserving fluxes followed by a discussion of nonvariational amendmends and a brief introduction to their analysis by numerical continuation. The approach is first applied to a number of common examples of variational equations, namely, Allen-Cahn- and Cahn-Hilliard-type equations including certain thin-film equations for partially wetting liquids on homogeneous and heterogeneous substrates as well as Swift-Hohenberg and Phase-Field-Crystal equations. Second we consider nonvariational examples as the Kuramoto-Sivashinsky equation, convective Allen-Cahn and Cahn-Hilliard equations and thin-film equations describing stationary sliding drops and a transversal front instability in a dip-coating. Through the different examples we illustrate how to employ the numerical tools provided by the packages auto07p and pde2path to determine steady, stationary and time-periodic solutions in one and two dimensions and the resulting bifurcation diagrams. The incorporation of boundary conditions and integral side conditions is also discussed as well as problem-specific implementation issues

School-Age Children Are a Reservoir of Malaria Infection in Malawi

Malaria surveillance and interventions in endemic countries often target young children at highest risk of malaria morbidity and mortality. We aimed to determine whether school-age children and adults not captured in surveillance serve as a reservoir for malaria infection and may contribute to malaria transmission. Cross-sectional surveys were conducted in one rainy and one dry season in southern Malawi. Demographic and health information was collected for all household members. Blood samples were obtained for microscopic and PCR identification of Plasmodium falciparum. Among 5796 individuals aged greater than six months, PCR prevalence of malaria infection was 5%, 10%, and 20% in dry, and 9%, 15%, and 32% in rainy seasons in Blantyre, Thyolo, and Chikhwawa, respectively. Over 88% of those infected were asymptomatic. Participants aged 6–15 years were at higher risk of infection (OR=4.8; 95%CI, 4.0–5.8) and asymptomatic infection (OR=4.2; 95%CI, 2.7–6.6) than younger children in all settings. School-age children used bednets less frequently than other age groups. Compared to young children, school-age children were brought less often for treatment and more often to unreliable treatment sources. Conclusion: School-age children represent an underappreciated reservoir of malaria infection and have less exposure to antimalarial interventions. Malaria control and elimination strategies may need to expand to include this age group