Stochastic Calculus for a Time-changed Semimartingale and the Associated Stochastic Differential Equations

It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct consequence, a specialized form of the Ito formula is derived. When a standard Brownian motion is the original semimartingale, classical Ito stochastic differential equations driven by the Brownian motion with drift extend to a larger class of stochastic differential equations involving a time-change with continuous paths. A form of the general solution of linear equations in this new class is established, followed by consideration of some examples analogous to the classical equations. Through these examples, each coefficient of the stochastic differential equations in the new class is given meaning. The new feature is the coexistence of a usual drift term along with a term related to the time-change.Comment: 27 pages; typos correcte

On the Existence of Shadow Prices

For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy and utility. However, the question of whether or not this indeed holds in generality has remained elusive so far. In this paper we present a counterexample which shows that shadow prices may fail to exist. On the other hand, we prove that short selling constraints are a sufficient condition to warrant their existence, even in very general multi-currency market models with possibly discontinuous bid-ask-spreads.Comment: 14 pages, 1 figure, to appear in "Finance and Stochastics

Convex duality and Orlicz spaces in expected utility maximization

In this paper we report further progress towards a complete theory of state-independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions we establish a surprising Fenchel duality result on conjugate Orlicz spaces, offering a new economic insight into the nature of primal optima and providing fresh perspective on the classical papers of Kramkov and Schachermayer (1999, 2003). The analysis points to an intriguing interplay between no-arbitrage conditions and standard convex optimization and motivates study of the Fundamental Theorem of Asset Pricing (FTAP) for Orlicz tame strategies

Invasive Group B Streptococcus Disease With Recurrence and in Multiples: Towards a Better Understanding of GBS Late-Onset Sepsis.

Group B Streptococcus (GBS) is a common intestinal colonizer during the neonatal period, but also may cause late-onset sepsis or meningitis in up to 0.5% of otherwise healthy colonized infants after day 3 of life. Transmission routes and risk factors of this late-onset form of invasive GBS disease (iGBS) are not fully understood. Cases of iGBS with recurrence (n=25) and those occurring in parallel in twins/triplets (n=32) from the UK and Ireland (national surveillance study 2014/15) and from Germany and Switzerland (retrospective case collection) were analyzed to unravel shared (in affected multiples) or fixed (in recurrent disease) risk factors for GBS disease. The risk of iGBS among infants from multiple births was high (17%), if one infant had already developed GBS disease. The interval of onset of iGBS between siblings was 4.5 days and in recurrent cases 12.5 days. Disturbances of the individual microbiome, including persistence of infectious foci are suggested e.g. by high usage of perinatal antibiotics in mothers of affected multiples, and by the association of an increased risk of recurrence with a short term of antibiotics [aOR 4.2 (1.3-14.2), P=0.02]. Identical GBS serotypes in both recurrent infections and concurrently infected multiples might indicate a failed microbiome integration of GBS strains that are generally regarded as commensals in healthy infants. The dynamics of recurrent GBS infections or concurrent infections in multiples suggest individual patterns of exposure and fluctuations in host immunity, causing failure of natural niche occupation

Macrophomina Crown and Root Rot of Pistachio in California

In this study, declining pistachio rootstocks were detected in newly planted commercial pistachio orchards in Kern County, California. Symptoms were characterized by wilted foliage combined with crown rot in the rootstock. From diseased trees, 42 isolates were obtained, and all had similar cultural and morphological characteristics of Macrophomina phaseolina. Analyses of nucleotide sequences of three gene fragments, the internal transcribed spacer region (ITS1–5.8S–ITS2), partial sequences of β-tubulin, and translation elongation factor 1-α (TEF1) confirmed this identification, and 20 representative isolates are presented in the phylogenetic study. Testing of Koch’s postulates showed that M. phaseolina, when inoculated to stems and roots of the pistachio rootstocks using mycelial plugs or a microsclerotial suspension, is indeed pathogenic to this host. The widely used clonal University of California Berkeley I (UCBI) rootstock appeared highly susceptible to M. phaseolina, suggesting that this pathogen is an emerging threat to the production of pistachio in California. This study confirmed the association of M. phaseolina with the decline of pistachio trees and represents the first description of this fungus as a crown rot-causing agent of pistachio in California

Macrophomina Crown and Root Rot of Pistachio in California

In this study, declining pistachio rootstocks were detected in newly planted commercial pistachio orchards in Kern County, California. Symptoms were characterized by wilted foliage combined with crown rot in the rootstock. From diseased trees, 42 isolates were obtained, and all had similar cultural and morphological characteristics of Macrophominaphaseolina. Analyses of nucleotide sequences of three gene fragments, the internal transcribed spacer region (ITS1-5.8S-ITS2), partial sequences of β-tubulin, and translation elongation factor 1-α (TEF1) confirmed this identification, and 20 representative isolates are presented in the phylogenetic study. Testing of Koch's postulates showed that M.phaseolina, when inoculated to stems and roots of the pistachio rootstocks using mycelial plugs or a microsclerotial suspension, is indeed pathogenic to this host. The widely used clonal University of California Berkeley I (UCBI) rootstock appeared highly susceptible to M. phaseolina, suggesting that this pathogen is an emerging threat to the production of pistachio in California. This study confirmed the association of M.phaseolina with the decline of pistachio trees and represents the first description of this fungus as a crown rot-causing agent of pistachio in California

Quadratic hedging in affine stochastic volatility models

Mean-variance hedging, Affine processes, Stochastic volatility, Laplace transform, G11, G13, C61,