Risk-sensitive investment in a finite-factor model

A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion maximisation problem in this setting. We provide an ODE for the optimal value function, which may be efficiently solved numerically. Relevant probability measure changes are discussed in the appendix. The approach of Klebaner and Lipster (2014) is used to prove the martingale property of the relevant density processes.Comment: 23 pages, 1 figur

Safety of vedolizumab in liver transplant recipients : a systematic review

Background: The management of inflammatory bowel disease in patients who have previously undergone liver transplantation can be a clinical challenge. There are serious concerns among physicians regarding the use of biologics for treating such immuno-compromised patients. Objective: We performed a systematic review on vedolizumab therapy in transplant recipients to assess its safety. Methods: PubMed/Embase/Scopus were searched up to November 2018 to identify papers regarding liver transplant recipients and therapy with vedolizumab. Primary outcomes were adverse events. Secondary outcomes were liver transplant and inflammatory bowel disease outcomes. Results: Eight studies (31 patients) were included. Nine out of 31 patients experienced an infection within a mean follow-up time ranging from 5\u201320 months. No malignancies were reported. Inflammatory bowel disease clinical response was experienced by 20/26 patients. Abnormalities in liver tests were recorded in 2/22 patients. Conclusion: Vedolizumab may be considered safe for treating inflammatory bowel disease in liver transplant recipients. Caution is recommended for patients with an unstable liver graft function

Search for narrow energy-shifted lines in XMM-Newton AGN spectra

The detection of X-ray narrow spectral features in the 5-7 keV band is becoming increasingly more common in AGN observations, thanks to the capabilities of current X-ray satellites. Such lines, both in emission and in absorption, are mostly interpreted as arising from Iron atoms. When observed with some displacement from their rest frame position, these lines carry the potential to study the motion of circumnuclear gas in AGN, providing a diagnostic of the effects of the gravitational field of the central black hole. These narrow features have been often found with marginal statistical significance. We are carrying on a systematic search for narrow features using spectra of bright type 1 AGNs available in the XMM-Newton archive. The aim of this work is to characterise the occurrence of the narrow features phenomenon on a large sample of objects and to estimate the significance of the features through Monte Carlo simulations. The project and preliminary results are presented.Comment: 6 pages,4 figures, contributed talk presented at the Workshop "The multicoloured landscape of compact objects and their explosive origin", Cefalu' (Sicily), 11-24 June 2006, to be published by AI

A Huge Drop in X-ray Luminosity of the Non-Active Galaxy RXJ1242.6-1119A, and First Post-Flare Spectrum - Testing the Tidal Disruption Scenario

It has been suggested that an unavoidable consequence of the existence of supermassive black holes, and the best diagnostic of their presence in non-active galaxies, would be occasional tidal disruption of stars captured by the black holes. These events manifest themselves in form of luminous flares powered by accretion of debris from the disrupted star into the black hole. Candidate events among optically non-active galaxies emerged in the past few years. For the first time, we have looked with high spatial and spectral resolution at one of these most extreme variability events ever recorded among galaxies. Here, we report measuring a factor ~200 drop in luminosity of the X-ray source RXJ 1242-1119 with the X-ray observatories Chandra and XMM-Newton, and perform key tests of the favored outburst scenario, tidal disruption of a star by a supermassive black hole. We show that the detected `low-state' emission has properties such that it must still be related to the flare. The power-law shaped post-flare X-ray spectrum indicates a `hardening' compared to outburst. The inferred black hole mass, the amount of liberated energy, and the duration of the event favor an accretion event of the form expected from the (partial or complete) tidal disruption of a star (abstract abbreviated).Comment: to appear in March 1 issue of ApJ Letters (submitted Nov. 10, accepted in Dec. 2003); background information available at http://www.xray.mpe.mpg.de/~skomossa

Early Science with the Large Millimeter Telescope: an energy-driven wind revealed by massive molecular and fast X-ray outflows in the Seyfert Galaxy IRAS 17020+4544

We report on the coexistence of powerful gas outflows observed in millimeter and X-ray data of the Radio-Loud Narrow Line Seyfert 1 Galaxy IRAS 17020+4544. Thanks to the large collecting power of the Large Millimeter Telescope, a prominent line arising from the 12CO(1-0) transition was revealed in recent observations of this source. The complex profile is composed by a narrow double-peak line and a broad wing. While the double-peak structure may be arising in a disk of molecular material, the broad wing is interpreted as the signature of a massive outflow of molecular gas with an approximate bulk velocity of -660 km/s. This molecular wind is likely associated to a multi-component X-ray Ultra-Fast Outflow with velocities reaching up to ~0.1c and column densities in the range 10^{21-23.9} cm^-2 that was reported in the source prior to the LMT observations. The momentum load estimated in the two gas phases indicates that within the observational uncertainties the outflow is consistent with being propagating through the galaxy and sweeping up the gas while conserving its energy. This scenario, which has been often postulated as a viable mechanism of how AGN feedback takes place, has so far been observed only in ULIRGs sources. IRAS 17020+4544 with bolometric and infrared luminosity respectively of 5X10^{44} erg/s and 1.05X10^{11} L_sun appears to be an example of AGN feedback in a NLSy1 Galaxy (a low power AGN). New proprietary multi-wavelength data recently obtained on this source will allow us to corroborate the proposed hypothesis.Comment: Accepted for publication on ApJ Letters, 9 pages, 4 figure

A characterization of the NGC 4051 soft X-ray spectrum as observed by XMM-Newton

Soft X-rays high resolution spectroscopy of obscured AGNs shows the existence of a complex soft $X$-ray spectrum dominated by emission lines of He and H-like transitions of elements from Carbon to Neon, as well as L-shell transitions due to iron ions. In this paper we characterize the XMM-Newton RGS spectrum of the Seyfert 1 galaxy NGC 4051 observed during a low flux state and infer the physical properties of the emitting and absorbing gas in the soft X-ray regime. X-ray high-resolution spectroscopy offers a powerful diagnostic tool since the observed spectral features strongly depend on the physical properties of matter (ionization parameter U, electron density n_e, hydrogen column density N_H), which in turn are tightly related to the location and size of the X-ray emitting clouds. We carried out a phenomenological study to identify the atomic transitions detected in the spectra. This study suggests that the spectrum is dominated by emission from a photoionised plasma. Then, we used the photoionization code Cloudy to produce synthetic models for the emission line component and the warm absorber observed during phases of high intrinsic luminosity. The low state spectrum cannot be described by a single photoionization component. A multi-ionization phase gas with ionization parameter in the range log U = 0.63-1.90 and column density log N_H = 22.10-22.72 cm^-2 is required, while the electron density n_e remains unconstrained. A warm absorber medium is required by the fit with parameters log U = 0.85, log N_H = 23.40 and log n_e \ut< 5. The model is consistent with an X-ray emitting regions at a distance > 5 x 10^-2 pc from the central engine.Comment: Accepted for publication on section 4 "Extragalactic astronomy" of Astronomy and Astrophysics, 2010, 12 pages, 8 Figures, 4 Tables, in printer format. A few typos corrected

The X-ray afterglows of gamma-ray bursts GRB 001025A and GRB 010220 observed with XMM-Newton

The X-ray afterglows of GRB 001025A and GRB 010220 were detected by XMM-Newton with an average 0.2--10.0 keV flux of 4.4 and 3.3x10^{-14} erg cm^{-2} s^{-1} respectively; the afterglow of GRB 001025A is observed to decay. Afterglows at other wavelengths were not detected for either burst. A set of broadened soft X-ray emission lines are detected in the afterglow of GRB 001025A, at 5.0 sigma significance above a Galactic-absorbed power-law continuum. The spectra of both afterglows are significantly better fit by a variable abundance thermal plasma model than by an absorbed power-law and are consistent with the observations of GRB 011211, indicating that thermal emission from light elements may be common in the early X-ray afterglows of GRBs.Comment: 5 pages, 2 figures; accepted for publication in A&A letter

New constraints on the continuum-emission mechanism of AGN: Intensive monitoring of NGC 7469 in the X-ray and ultraviolet

We have undertaken near-continuous monitoring of the Seyfert 1 galaxy NGC 7469 in the X-ray with RXTE over a ~30d baseline. The source shows strong variability with a root-mean-square (rms) amplitude of ~16 per cent, and peak-to-peak variations of a factor of order 2. Simultaneous data over this period were obtained in the ultraviolet (UV) using IUE, making this the most intensive X-ray UV/X-ray variability campaign performed for any active galaxy. Comparison of the continuum light curves reveals very similar amplitudes of variability, but different variability characteristics, with the X-rays showing much more rapid variations. The data are not strongly correlated at zero lag. The largest absolute value of the correlation coefficient occurs for an anticorrelation between the two bands, with the X-ray variations leading the UV by ~4d. The largest positive correlation is for the ultraviolet to lead the X-rays by ~4d. Neither option appears to be compatible with any simple interband transfer function. The peak positive correlation at ~4d occurs because the more prominent peaks in the UV light curve appear to lead those in the X-rays by this amount. However, the minima of the light curves are near-simultaneous. These observations provide new constraints on theoretical models of the central regions of active galactic nuclei. Models in which the observed UV emission is produced solely by re-radiation of absorber X-rays are ruled out by our data, as are those in which the X-rays are produced solely by Compton upscattering of the observed UV component by a constant distribution of particles.Comment: 33 pages, 8 figures. LaTeX with encapsulated postscript. To appear in the Astrophysical Journal. Also available via http://lheawww.gsfc.nasa.gov/users/nandra/pubs/7469/abstract.htm