1,741 research outputs found
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
We present a simple and easy to implement method for the numerical solution
of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many
cases, the considered problems have only a viscosity solution, to which,
fortunately, many intuitive (e.g. finite difference based) discretisations can
be shown to converge. However, especially when using fully implicit time
stepping schemes with their desirable stability properties, one is still faced
with the considerable task of solving the resulting nonlinear discrete system.
In this paper, we introduce a penalty method which approximates the nonlinear
discrete system to first order in the penalty parameter, and we show that an
iterative scheme can be used to solve the penalised discrete problem in
finitely many steps. We include a number of examples from mathematical finance
for which the described approach yields a rigorous numerical scheme and present
numerical results.Comment: 18 Pages, 4 Figures. This updated version has a slightly more
detailed introduction. In the current form, the paper will appear in SIAM
Journal on Numerical Analysi
Clustering Memes in Social Media
The increasing pervasiveness of social media creates new opportunities to
study human social behavior, while challenging our capability to analyze their
massive data streams. One of the emerging tasks is to distinguish between
different kinds of activities, for example engineered misinformation campaigns
versus spontaneous communication. Such detection problems require a formal
definition of meme, or unit of information that can spread from person to
person through the social network. Once a meme is identified, supervised
learning methods can be applied to classify different types of communication.
The appropriate granularity of a meme, however, is hardly captured from
existing entities such as tags and keywords. Here we present a framework for
the novel task of detecting memes by clustering messages from large streams of
social data. We evaluate various similarity measures that leverage content,
metadata, network features, and their combinations. We also explore the idea of
pre-clustering on the basis of existing entities. A systematic evaluation is
carried out using a manually curated dataset as ground truth. Our analysis
shows that pre-clustering and a combination of heterogeneous features yield the
best trade-off between number of clusters and their quality, demonstrating that
a simple combination based on pairwise maximization of similarity is as
effective as a non-trivial optimization of parameters. Our approach is fully
automatic, unsupervised, and scalable for real-time detection of memes in
streaming data.Comment: Proceedings of the 2013 IEEE/ACM International Conference on Advances
in Social Networks Analysis and Mining (ASONAM'13), 201
The UAE\u27s tourism competitiveness: A business perspective
© 2019 Elsevier Ltd The United Arab Emirates (UAE) is one of the most popular tourism destinations and the most competitive in the Middle East and North Africa region. Currently, the country aims to reach its full potential to better compete on a global scale. This paper examines factors influencing the competitiveness of the UAE as a tourism destination from the business perspective. The data were collected from a convenience sample of 311 business entrepreneurs and analyzed using a hierarchical regression. The results suggest that destination resources, destination infrastructure and support services, and the general business environment have a significant influence on the UAE\u27s tourism competitiveness. The implications of the study\u27s results are discussed
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
In this paper, we present a novel penalty approach for the numerical solution
of continuously controlled HJB equations and HJB obstacle problems. Our results
include estimates of the penalisation error for a class of penalty terms, and
we show that variations of Newton's method can be used to obtain globally
convergent iterative solvers for the penalised equations. Furthermore, we
discuss under what conditions local quadratic convergence of the iterative
solvers can be expected. We include numerical results demonstrating the
competitiveness of our methods.Comment: 31 Pages, 7 Figure
On the relative intensity of Poisson’s spot
The Fresnel diffraction phenomenon referred to as Poisson’s spot or spot of Arago has, beside its
historical significance, become relevant in a number of fields. Among them are for example
fundamental tests of the super-position principle in the transition from quantum to classical physics
and the search for extra-solar planets using star shades. Poisson’s spot refers to the positive on-axis
wave interference in the shadow of any spherical or circular obstacle. While the spot’s intensity is equal
to the undisturbed field in the plane wave picture, its intensity in general depends on a number of
factors, namely the size and wavelength of the source, the size and surface corrugation of the
diffraction obstacle, and the distances between source, obstacle and detector. The intensity can be
calculated by solving the Fresnel–Kirchhoff diffraction integral numerically, which however tends to
be computationally expensive. We have therefore devised an analytical model for the on-axis intensity
of Poisson’s spot relative to the intensity of the undisturbed wave field and successfully validated it
both using a simple light diffraction setup and numerical methods. The model will be useful for
optimizing future Poisson-spot matter-wave diffraction experiments and determining under what
experimental conditions the spot can be observed
A Model of Vertical Oligopolistic Competition
This paper develops a model of successive oligopolies with endogenous market entry, allowing for varying degrees of product differentiation and entry costs in both markets. Our analysis shows that the downstream conditions dominate the overall profitability of the two-tier structure while
the upstream conditions mainly affect the distribution of profits. We compare the welfare effects of upstream versus downstream deregulation policies and show that the impact of deregulation may be overvalued when ignoring feedback effects from the other market. Furthermore, we analyze how different forms of vertical restraints influence the endogenous market structure and show when they are welfare enhancing
The Range and Limitation of Sub-National Regime Variations under Electoral Authoritarianism:The Case of Russia
Epitaxy and magnetotransport of Sr_2FeMoO_6 thin films
By pulsed-laser deposition epitaxial thin films of Sr_2FeMoO_6 have been pre-
pared on (100) SrTiO_3 substrates. Already for a deposition temperature of 320
C epitaxial growth is achieved. Depending on deposition parameters the films
show metallic or semiconducting behavior. At high (low) deposition temperature
the Fe,Mo sublattice has a rock-salt (random) structure. The metallic samples
have a large negative magnetoresistance which peaks at the Curie temperature.
The magnetic moment was determined to 4 mu_B per formula unit (f.u.), in
agreement with the expected value for an ideal ferrimagnetic arrangement. We
found an ordinary Hall coefficient of -6.01x10^{-10} m^3/As at 300 K,
corresponding to an electronlike charge-carrier density of 1.3 per Fe,Mo-pair.
In the semiconducting films the magnetic moment is reduced to 1 mu_B/f.u. due
to disorder in the Fe,Mo sublattice. In low fields an anomalous holelike
contribution dominates the Hall voltage, which vanishes at low temperatures for
the metallic films only.Comment: Institute of Physics, University of Mainz, Germany, 4 pages,
including 5 pictures and 1 Table, submitted to Phys. Rev.
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