A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA

We study the question what value an agent in a generalized Black-Scholes model with partial information attributes to the complementary information. To do this, we study the utility maximization problems from terminal wealth for the two cases partial information and full information. We assume that the drift term of the risky asset is a dynamic process of general linear type and that the two levels of observation correspond to whether this drift term is observable or not. Applying methods from stochastic filtering theory we derive an analytical tractable formula for the value of information in the case of logarithmic utility. For the case of constant relative risk aversion (CRRA) we derive a semianalytical formula, which uses as an input the numerical solution of a system of ODEs. For both cases we present a comparative analysis

On the spin modulated circular polarization from the intermediate polars NY Lup and IGRJ1509-6649

We report on high time resolution, high signal/noise, photo-polarimetry of the intermediate polars NY Lup and IGRJ1509-6649. Our observations confirm the detection and colour dependence of circular polarization from NY Lup and additionally show a clear white dwarf, spin modulated signal. From our new high signal/noise photometry we have unambiguously detected wavelength dependent spin and beat periods and harmonics thereof. IGRJ1509-6649 is discovered to also have a particularly strong spin modulated circularly polarized signal. It appears double peaked through the I filter and single peaked through the B filter, consistent with cyclotron emission from a white dwarf with a relatively strong magnetic field. We discuss the implied accretion geometries in these two systems and any bearing this may have on the possible relationship with the connection between polars and soft X-ray-emitting IPs. The relatively strong magnetic fields is also suggestive of them being polar progenitors.Comment: 8 pages, 6 figures and 1 table. Accepted for publication in MNRA

Linear Toric Fibrations

These notes are based on three lectures given at the 2013 CIME/CIRM summer school. The purpose of this series of lectures is to introduce the notion of a toric fibration and to give its geometrical and combinatorial characterizations. Polarized toric varieties which are birationally equivalent to projective toric bundles are associated to a class of polytopes called Cayley polytopes. Their geometry and combinatorics have a fruitful interplay leading to fundamental insight in both directions. These notes will illustrate geometrical phenomena, in algebraic geometry and neighboring fields, which are characterized by a Cayley structure. Examples are projective duality of toric varieties and polyhedral adjunction theory

Subtle competition between ferromagnetic and antiferromagnetic order in a Mn(II) - free radical ferrimagnetic chain

The macroscopic magnetic characterization of the Mn(II) - nitronyl nitroxide free radical chain (Mn(hfac)2(R)-3MLNN) evidenced its transition from a 1-dimensional behavior of ferrimagnetic chains to a 3-dimensional ferromagnetic long range order below 3 K. Neutron diffraction experiments, performed on a single crystal around the transition temperature, led to a different conclusion : the magnetic Bragg reflections detected below 3 K correspond to a canted antiferromagnet where the magnetic moments are mainly oriented along the chain axis. Surprisingly in the context of other compounds in this family of magnets, the interchain coupling is antiferromagnetic. This state is shown to be very fragile since a ferromagnetic interchain arrangement is recovered in a weak magnetic field. This peculiar behavior might be explained by the competition between dipolar interaction, shown to be responsible for the antiferromagnetic long range order below 3 K, and exchange interaction, the balance between these interactions being driven by the strong intrachain spin correlations. More generally, this study underlines the need, in this kind of molecular compounds, to go beyond macroscopic magnetization measurements.Comment: 12 pages, 10 figures, submitted to Phys. Rev.

Group classification of the Sachs equations for a radiating axisymmetric, non-rotating, vacuum space-time

We carry out a Lie group analysis of the Sachs equations for a time-dependent axisymmetric non-rotating space-time in which the Ricci tensor vanishes. These equations, which are the first two members of the set of Newman-Penrose equations, define the characteristic initial-value problem for the space-time. We find a particular form for the initial data such that these equations admit a Lie symmetry, and so defines a geometrically special class of such spacetimes. These should additionally be of particular physical interest because of this special geometric feature.Comment: 18 Pages. Submitted to Classical and Quantum Gravit

A FLEXIBLE AND SCALABLE EXPERIMENTATION LAYER

Modeling and simulation frameworks for use in different application domains, throughout the complete development process, and in different hardware environments need to be highly scalable. For achieving an efficient execution, different simulation algorithms and data structures must be provided to compute a concrete model on a concrete platform efficiently. The support of parallel simulation techniques becomes increasingly important in this context, which is due to the growing availability of multi-core processors and network-based computers. This leads to more complex simulation systems that are harder to configure correctly. We present an experimentation layer for the modeling and simulation framework JAMES II. It greatly facilitates the configuration and usage of the system for a user and supports distributed optimization, on-demand observation, and various distributed and non-distributed scenarios.

Separated cross sections in \pi^0 electroproduction at threshold at Q^2 = 0.05 GeV^2/c^2

The differential cross sections \sigma_0=\sigma_T+\epsilon \sigma_L, \sigma_{LT}, and \sigma_{TT} of \pi^0 electroproduction from the proton were measured from threshold up to an additional center of mass energy of 40 MeV, at a value of the photon four-momentum transfer of Q^2= 0.05 GeV^2/c^2 and a center of mass angle of \theta=90^\circ. By an additional out-of-plane measurement with polarized electrons \sigma_{LT'} was determined. This showed for the first time the cusp effect above the \pi^+ threshold in the imaginary part of the s-wave. The predictions of Heavy Baryon Chiral Perturbation Theory are in disagreement with these data. On the other hand, the data are somewhat better predicted by the MAID phenomenological model and are in good agreement with the dynamical model DMT.Comment: 6 pages, 4 figure

Quantum spin fluctuations in the dipolar Heisenberg-like rare earth pyrochlores

The magnetic pyrochlore oxide materials of general chemical formula R2Ti2O7 and R2Sn2O7 (R = rare earth) display a host of interesting physical behaviours depending on the flavour of rare earth ion. These properties depend on the value of the total magnetic moment, the crystal field interactions at each rare earth site and the complex interplay between magnetic exchange and long-range dipole-dipole interactions. This work focuses on the low temperature physics of the dipolar isotropic frustrated antiferromagnetic pyrochlore materials. Candidate magnetic ground states are numerically determined at zero temperature and the role of quantum spin fluctuations around these states are studied using a Holstein-Primakoff spin wave expansion to order 1/S. The results indicate the strong stability of the proposed classical ground states against quantum fluctuations. The inclusion of long range dipole interactions causes a restoration of symmetry and a suppression of the observed anisotropy gap leading to an increase in quantum fluctuations in the ground state when compared to a model with truncated dipole interactions. The system retains most of its classical character and there is little deviation from the fully ordered moment at zero temperature.Comment: Latex2e, 18 pages, 4 figures, IOP forma

Considerations on rescattering effects for threshold photo- and electro-production of π0\pi^0 on deuteron

We show that for the S-state $\pi^0$-production in processes $\gamma+d\to d+\pi^0$ and $e^-+d\to e^-+d+\pi^0$ the rescattering effects due to the transition: $\gamma+d\to p+p+\pi^-$ (or $n+n+\pi^+)\to d+\pi^0$ are cancelled out due to the Pauli principle. The large values for these effects predicted in the past may result from the fact that the spin structure of the corresponding matrix element and the necessary antisymmetrization induced by the presence of identical protons (or neutrons) in the intermediate state was not taken into account accurately. One of the important consequences of these considerations is that $\pi^0$ photo- and electro-production on deuteron near threshold can bring direct information about elementary neutron amplitudes.Comment: Add a new sectio