Markov bridges: SDE representation

Let $X$ be a Markov process taking values in $\mathbf{E}$ with continuous paths and transition function $(P_{s,t})$. Given a measure $\mu$ on $(\mathbf{E}, \mathscr{E})$, a Markov bridge starting at $(s,\varepsilon_x)$ and ending at $(T^*,\mu)$ for $T^* <\infty$ has the law of the original process starting at $x$ at time $s$ and conditioned to have law $\mu$ at time $T^*$. We will consider two types of conditioning: a) {\em weak conditioning} when $\mu$ is absolutely continuous with respect to $P_{s,t}(x,\cdot)$ and b) {\em strong conditioning} when $\mu=\varepsilon_z$ for some $z \in \mathbf{E}$. The main result of this paper is the representation of a Markov bridge as a solution to a stochastic differential equation (SDE) driven by a Brownian motion in a diffusion setting. Under mild conditions on the transition density of the underlying diffusion process we establish the existence and uniqueness of weak and strong solutions of this SDE.Comment: A missing reference is adde

Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems

This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by the current literature. It turns out that, when the market makers are risk averse, the optimal strategies of the agents are solutions of a forward-backward system of partial and stochastic differential equations. In particular, the price set by the market makers solves a nonstandard "quadratic" backward stochastic differential equation. The main result of the paper is the existence of a Markovian solution to this forward-backward system on an arbitrary time interval, which is obtained via a fixed-point argument on the space of absolutely continuous distribution functions. Moreover, the equilibrium obtained in this paper is able to explain several stylized facts which are not captured by the current asymmetric information models.Comment: Published at http://dx.doi.org/10.1214/15-AAP1138 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Application of Natural Language Processing and Evidential Analysis to Web-Based Intelligence Information Acquisition

The quality of decisions made in business and government relates directly to the quality of the information used to formulate the decision. This information may be retrieved from an organization's knowledge base (Intranet) or from the World Wide Web. Intelligence services Intranet held information can be efficiently manipulated by technologies based upon either semantics such as ontologies, or statistics such as meaning-based computing. These technologies require complex processing of large amount of textual information. However, they cannot currently be effectively applied to Web-based search due to various obstacles, such as lack of semantic tagging. A new approach proposed in this paper supports Web-based search for intelligence information utilizing evidence-based natural language processing (NLP). This approach combines traditional NLP methods for filtering of Web-search results, Grounded Theory to test the completeness of the evidence, and Evidential Analysis to test the quality of gathered information. The enriched information derived from the Web-search will be transferred to the intelligence services knowledge base for handling by an effective Intranet search system thus increasing substantially the information for intelligence analysis. The paper will show that the quality of retrieved information is significantly enhanced by the discovery of previously unknown facts derived from known facts

The influence of quiet asymmetric magnetosphere on the cutoff rigidities of the main cone

Some earlier studies show that cutoff rigidities of cosmic-ray particles in the model magnetospheric fields of internal and external sources have daily variations caused by asymmetry of the magnetic field due to the currents induced at the magnetopause and tail currents. Cutoff rigidities of the charged particles coming down at the middle latitudes are examined in this paper. The mathematical model of the magnetospheric field is based on the merged IMP-HEOS experimental data set and includes all known at the present time current systems of the magnetosphere: magnetopause, ring, and magnetotail currents

Optimal investment with inside information and parameter uncertainty

An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is filtered from a combination of price observations and the privileged information, fusing a partial information scenario with enlargement of filtration techniques. We apply a variant of the Kalman-Bucy filter to infer a signal, given a combination of an observation process and some additional information. This converts the combined partial and inside information model to a full information model, and the associated investment problem for HARA utility is explicitly solved via duality methods. We consider the cases in which the agent has information on the terminal value of the Brownian motion driving the stock, and on the terminal stock price itself. Comparisons are drawn with the classical partial information case without insider knowledge. The parameter uncertainty results in stock price inside information being more valuable than Brownian information, and perfect knowledge of the future stock price leads to infinite additional utility. This is in contrast to the conventional case in which the stock drift is assumed known, in which perfect information of any kind leads to unbounded additional utility, since stock price information is then indistinguishable from Brownian information

Investigating SME participation in the UK offshore wind supply chain

Paper delivered at the 21st Logistics Research Network annual conference 2016, 7th-9th September 2016, Hull. Abstract Purpose: The UK is the world’s offshore wind (OW) market leader in terms of installed capacity. OW is one of the main renewable energy technologies contributing to the UK’s greenhouse gas emission reduction targets, and given its shallow seabed and vast amount of the wind resources around its coasts, the UK in general (and the Humber region in particular) offers a great advantage to further develop this technology and bring economic value to its domestic market in the third round of OW farm development. However, discussions around these opportunities raise questions as to how businesses may take advantage of them and what is expected of them. This paper presents the results of a research project investigating participation of small and medium-size enterprises (SMEs) in the UK OW supply chain. Research Approach: Exploratory techniques were used to collect data from different perspectives to provide a comprehensive review of the industry and its supply chain structures and identify the main requirements that are expected of suppliers interested to be part of this industry through a literature review and interviews. Findings and originality: The study found that the UK OW sector’s supply chain structure varies according to one of four project execution strategies employed by the project owner, e.g. EPIC/EPC, DIY, multi-contracting and alliancing. The study also found that OW farm development and construction involves a lot of different industries each requiring specific qualifications and certifications. However, there are three common requirements, of which ISO 9001 is a prerequisite that SMEs should ideally already have or are working towards obtaining. Research Impact: The study adds to a sparse literature on how SMEs can effectively develop appropriate supply chain strategies, particularly in the OW sector by providing the findings on different supply chain strategies affecting their structures. Practical Impact: The study found that the OW sector does represent a good opportunity for SMEs in light of the upcoming Round 3 OW development in the UK. The study identifies the key requirements and expectations SMEs need to adhere to in order to enter the OW market