2,044 research outputs found
Risk Minimization and Optimal Derivative Design in a Principal Agent Game
We consider the problem of Adverse Selection and optimal derivative design
within a Principal-Agent framework. The principal's income is exposed to
non-hedgeable risk factors arising, for instance, from weather or climate
phenomena. She evaluates her risk using a coherent and law invariant risk
measure and tries minimize her exposure by selling derivative securities on her
income to individual agents. The agents have mean-variance preferences with
heterogeneous risk aversion coefficients. An agent's degree of risk aversion is
private information and hidden to the principal who only knows the overall
distribution. We show that the principal's risk minimization problem has a
solution and illustrate the effects of risk transfer on her income by means of
two specific examples. Our model extends earlier work of Barrieu and El Karoui
(2005) and Carlier, Ekeland and Touzi (2007).Comment: 28 pages, 4 figure
Global existence of classical solutions to the Vlasov-Poisson system in a three dimensional, cosmological setting
The initial value problem for the Vlasov-Poisson system is by now well
understood in the case of an isolated system where, by definition, the
distribution function of the particles as well as the gravitational potential
vanish at spatial infinity. Here we start with homogeneous solutions, which
have a spatially constant, non-zero mass density and which describe the mass
distribution in a Newtonian model of the universe. These homogeneous states can
be constructed explicitly, and we consider deviations from such homogeneous
states, which then satisfy a modified version of the Vlasov-Poisson system. We
prove global existence and uniqueness of classical solutions to the
corresponding initial value problem for initial data which represent spatially
periodic deviations from homogeneous states.Comment: 23 pages, Latex, report #
Kinetic equation for gluons at the early stage
We derive the kinetic equation for pure gluon QCD plasma in a general way,
applying the background field method. We show that the quantum kinetic equation
contains a term as in the classical case, that describes a color charge
precession of partons moving in the gauge field. We emphasize that this new
term is necessary for the gauge covariance of the resulting equation.Comment: 6 pages, no figure, to appear in the proceedings of the 6th
international conference on strange quarks in matter, Frankfurt, Germany,
25-29 september 200
Transport model analysis of the transverse momentum and rapidity dependence of pion interferometry at SPS energies
Based on the UrQMD transport model, the transverse momentum and the rapidity
dependence of the Hanbury-Brown-Twiss (HBT) radii , , as well
as the cross term at SPS energies are investigated and compared with
the experimental NA49 and CERES data. The rapidity dependence of the ,
, is weak while the is significantly increased at large
rapidities and small transverse momenta. The HBT "life-time" issue (the
phenomenon that the calculated value is larger than
the correspondingly extracted experimental data) is also present at SPS
energies.Comment: 17 pages, 11 figure
A Comparative Study of Fast Wire Scanners, Beamscope and SEM-Grids for Emittance Measurements in the PS Booster
The tight emittance budget, imposed on the production of the high-brilliance beams in the LHC preinjectors, demands the elimination of all possible sources of beam blow-up. A prerequisite for this is reliable instrumentation and evaluation methods for comparison of their data. We have made a study of three methods for emittance measurement in the PS Booster: fast wire-scanners, BeamScope, and SEM-grids in a measurement line. For the fast wire-scanners, a full Monte-Carlo simulation was made of the beam-wire interaction, for an energy range from 100 MeV to 1 GeV, and compared to measured values. Data from a scraping method (BeamScope) are compared to profile measurements, using Abel-type integral transformations. Results will be presented
Enhance the Efficiency of Heuristic Algorithm for Maximizing Modularity Q
Modularity Q is an important function for identifying community structure in
complex networks. In this paper, we prove that the modularity maximization
problem is equivalent to a nonconvex quadratic programming problem. This result
provide us a simple way to improve the efficiency of heuristic algorithms for
maximizing modularity Q. Many numerical results demonstrate that it is very
effective.Comment: 9 pages, 3 figure
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