Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a bond. In the considered model firstly proposed by [3], the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors. Using past and present information of the asset prices, a partial-information stochastic optimal control problem with random coefficients is formulated. Here, the partial information is due to the fact that the economic factors can not be directly observed. Via dynamic programming theory, the optimal portfolio strategy can be constructed by solving a deterministic forward Riccati-type ordinary differential equation and two linear deterministic backward ordinary differential equations

Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss

This paper aims to extend the BML method proposed in Wang et al. [22] to make it applicable to more general coupled nonlinear FBSDEs. We interpret BML from the fixed-point iteration perspective and show that optimizing BML is equivalent to minimizing the distance between two consecutive trial solutions in a fixed-point iteration. Thus, this paper provides a theoretical foundation for an optimization-based approach to solving FBSDEs. We also empirically evaluate the method through four numerical experiments

The potential and string breaking of doubly heavy baryon at finite temperature and chemical potential

Using gauge/gravity duality, we study the string breaking and melting of doubly heavy baryon at a finite chemical potential and temperature. The decay mode $\rm{Q Q q \rightarrow Q q q+Q \bar{q}}$ is investigated in this paper. With the increase of temperature and chemical potential, string breaking takes place at a smaller potential energy. It is also found that the QQq melts at small separate distance with the increase of temperature and chemical potential. Then, we compare the screening distance of QQq with $\rm{Q \bar{Q}}$ under the same conditions. Finally, we draw the melting diagram of QQq and $\rm{Q \bar{Q}}$ in the $T-\mu$ plane.Comment: 24pages, 18 figure

Gluon condensation, entanglement entropy and phase transition from holography

We consider the effect of gluon condensation on the holographic entanglement entropy, which can be regarded as an order parameter of deconfinement phase transition, in a holographic model at zero and finite temperature. At zero temperature, it is found that phase transition can occur at critical length for small gluon condensation. With the increase of gluon condensation, the critical length becomes small which means the phase transition is easy to occur. The difference of entanglement entropy between the connected and disconnected surfaces is always negative at large gluon condensation, which indicates no phase transition can occur in the deconfined phase as the subsystem size varies. These results show that the gluon condensation is related to the phase transition and contributes to deconfinement. At finite temperature, we can see that the difference of the entanglement entropy is also always negative and the system is always deconfined for vanishing and non-vanishing gluon condensation in this model. These results confirm that the difference of entanglement entropy is a useful probe to detect whether a system is in the confinement or deconfinement phase

Contribution of Coulomb interaction to elastic pp and p p\bar scattering in holographic QCD

The differential cross sections of elastic proton-proton (pp) and proton-antiproton (pp\bar) scattering are studied in a holographic QCD model, considering the strong and Coulomb interaction in the Regge regime. Based on previous studies of strong interactions described in terms of Pomeron and Reggeon exchange, we add the contribution of Coulomb interaction described by photon exchange. We present the momentum transfer dependence of the contribution rates for each component, especially for the Coulomb-nuclear interference, which refers to the cross term between both interactions. For the adjustable parameters for the strong interaction, we can adopt the values determined in previous studies, and there are no extra adjustable parameters that need to be determined for the Coulomb interaction. It is presented that the resulting differential cross sections are consistent with the data for pp and pp\bar scattering.Comment: 19 pages, 6 figure