Robust utility maximization in markets with transaction costs

We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We consider utility functions defined either on the positive axis or on the whole real line

Finite Neighborhood Binary Games: a Structural Study

The purpose of this study is to present a systematic analysis of the long-term behavior of the agents of an artificial society under varying payoff functions in finite neighborhood binary games. By assuming the linearity of the payoffs of both cooperating and defecting agents, the type of the game is determined by four fundamental parameters. By fixing the values of three of them and systematically varying the fourth one we can observe a transition from Prisoner\'s Dilemma to Leader Game through Chicken and Benevolent Chicken Games. By using agent-based simulation we are able to observe the long-term behavior of the artificial society with different and gradually changing payoff structure. The difference between different games is explored and the effect of the transition from one game to the other on the society is investigated. The results depend on the personality types of the agents. In this study greedy and Pavlovian agents are considered. In the first case, we observe the most significant change in trajectory structure between Prisoner\'s Dilemma and Chicken Games showing significant difference in the behavioral patterns of the agents. Almost no changes can be observed between Benevolent Chicken and Leader Games, and only small change between Chicken and Benevolent Chicken. The trajectories change from always converging to regularly oscillating patterns with systematically altering amplitude and central values. The results are very similar whether the agents consider themselves as members of their neighborhoods or not. With Pavlovian agents no significant difference can be observed between the four games, the trajectories always converge and the limits smoothly and monotonically depend on the value of the varying parameter.Agent-Based Simulation, N-Person Games, Structure Analysis, Equilibrium

On Finite Noncommutativity in Quantum Field Theory

We consider various modifications of the Weyl-Moyal star-product, in order to obtain a finite range of nonlocality. The basic requirements are to preserve the commutation relations of the coordinates as well as the associativity of the new product. We show that a modification of the differential representation of the Weyl-Moyal star-product by an exponential function of derivatives will not lead to a finite range of nonlocality. We also modify the integral kernel of the star-product introducing a Gaussian damping, but find a nonassociative product which remains infinitely nonlocal. We are therefore led to propose that the Weyl-Moyal product should be modified by a cutoff like function, in order to remove the infinite nonlocality of the product. We provide such a product, but it appears that one has to abandon the possibility of analytic calculation with the new product.Comment: 13 pages, reference adde

LQG for Constrained Linear Systems: Indirect Feedback Stochastic MPC with Kalman Filtering

We present an output feedback stochastic model predictive control (SMPC) approach for linear systems subject to Gaussian disturbances and measurement noise and probabilistic constraints on system states and inputs. The presented approach combines a linear Kalman filter for state estimation with an indirect feedback SMPC, which is initialized with a predicted nominal state, while feedback of the current state estimate enters through the objective of the SMPC problem. For this combination, we establish recursive feasibility of the SMPC problem due to the chosen initialization, and closed-loop chance constraint satisfaction thanks to an appropriate tightening of the constraints in the SMPC problem also considering the state estimation uncertainty. Additionally, we show that for specific design choices in the SMPC problem, the unconstrained linear-quadratic-Gaussian (LQG) solution is recovered if it is feasible for a given initial condition and the considered constraints. We demonstrate this fact for a numerical example, and show that the resulting output feedback controller can provide non-conservative constraint satisfaction.Comment: 7 pages, 1 figur

Neural Filters for Jet Analysis

We study the efficiency of a neural-net filter and deconvolution method for estimating jet energies and spectra in high-background reactions such as nuclear collisions at the relativistic heavy-ion collider and the large hadron collider. The optimal network is shown to be surprisingly close but not identical to a linear high-pass filter. A suitably constrained deconvolution method is shown to uncover accurately the underlying jet distribution in spite of the broad network response. Finally, we show that possible changes of the jet spectrum in nuclear collisions can be analyzed quantitatively, in terms of an effective energy loss with the proposed method. {} {Dong D W and Gyulassy M 1993}{Neural filters for jet analysis} {(LBL-31560) Physical Review E Vol~47(4) pp~2913-2922}Comment: 21 pages of Postscript, (LBL-31560

High pTp_T Azimuthal Asymmetry in Non-central A+A at RHIC

The high $p_{\rm T}>3$ GeV azimuthal asymmetry, $v_2(p_{\rm T})$, in non-central nuclear collisions at RHIC is shown to be a sensitive measure of the initial parton density distribution of the produced quark-gluon plasma. A generalization of the Gyulassy-Levai-Vitev (GLV) non-abelian energy loss formalism including Bjorken 1+1D expansion as well as important kinematic constraints is used.Comment: 4 pages, Revtex, bbox.sty, 4 eps figures, references added, minor corrections, Phys.Rev.Lett versio

Rosacea and perioral dermatitis: a single‐center retrospective analysis of the clinical presentation of 1032 patients

Background Rosacea is a common chronic inflammatory cutaneous disorder affecting nearly 5.5 % of the adult population. Our aim was to evaluate the prevalence and epidemiology of rosacea and perioral dermatitis (POD) in an ambulatory care setting. Methods We retrospectively analyzed medical data of patients with a confirmed diagnosis of rosacea or perioral dermatitis (POD) presenting at our university hospital outpatient clinic during a 3‐year period. Results Out of 1032 patients, 81.5 % were diagnosed with rosacea and 18.5 % with POD. Overall prevalence was 1.4 % for rosacea and 0.3 % for POD. 69.3 % of the analyzed patients were female. Overall mean age was 49.3 ± 7.7 (1–92) years; the women’s average age was less than the men’s. Patients with POD were younger and predominantly female, whereas patients with phymatous rosacea were older and predominantly male. The most common phenotypes were papulopustular rosacea (68.4 %), erythematotelangiectatic rosacea (22.5 %), and phymatous rosacea (8.0 %). Special forms of rosacea were diagnosed in 15.8 % of the patients; the most frequent were ocular rosacea (6.9 %) and steroid‐induced rosacea (5.4 %). Conclusions The large patient cohort analyzed in our study provides a good estimate of the frequency of the rosacea subtypes, special forms and of perioral dermatitis in a hospital‐based outpatient care setting

Anti-Hyperon Enhancement through Baryon Junction Loops

The baryon junction exchange mechanism recently proposed to explain valence baryon number transport in nuclear collisions is extended to study midrapidity anti-hyperon production. Baryon junction-anti-junction (J anti-J) loops are shown to enhance anti-Lambda, anti-Xi, anti-Omega yields as well as lead to long range rapidity correlations. Results are compared to recent WA97 Pb + Pb -> Y + anti-Y + X data.Comment: 10 pages, 4 figure