Optimal Stopping Rules and Maximal Inequalities for Bessel Processes

We consider, for Bessel processes X ∈ Besα with arbitrary order (dimension) α ∈ R, the problem of the optimal stopping (1.4) for which the gain is determined by the value of the maximum of the process X and the cost which is proportional to the duration of the observation time. We give a description of the optimal stopping rule structure (Theorem 1) and the price (Theorem 2). These results are used for the proof of maximal inequalities of the type E max Xrr≤r ≤ γ(α) is a constant depending on the dimension (order) α. It is shown that γ(α) ∼ √α at α → ∞

New procedures for testing whether stock price processes are martingales

We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov type strategies we find that martingale null hypotheses are rejected for many stock price processes

A Cryptographic Moving-Knife Cake-Cutting Protocol

This paper proposes a cake-cutting protocol using cryptography when the cake is a heterogeneous good that is represented by an interval on a real line. Although the Dubins-Spanier moving-knife protocol with one knife achieves simple fairness, all players must execute the protocol synchronously. Thus, the protocol cannot be executed on asynchronous networks such as the Internet. We show that the moving-knife protocol can be executed asynchronously by a discrete protocol using a secure auction protocol. The number of cuts is n-1 where n is the number of players, which is the minimum.Comment: In Proceedings IWIGP 2012, arXiv:1202.422

A semantical approach to equilibria and rationality

Game theoretic equilibria are mathematical expressions of rationality. Rational agents are used to model not only humans and their software representatives, but also organisms, populations, species and genes, interacting with each other and with the environment. Rational behaviors are achieved not only through conscious reasoning, but also through spontaneous stabilization at equilibrium points. Formal theories of rationality are usually guided by informal intuitions, which are acquired by observing some concrete economic, biological, or network processes. Treating such processes as instances of computation, we reconstruct and refine some basic notions of equilibrium and rationality from the some basic structures of computation. It is, of course, well known that equilibria arise as fixed points; the point is that semantics of computation of fixed points seems to be providing novel methods, algebraic and coalgebraic, for reasoning about them.Comment: 18 pages; Proceedings of CALCO 200

Temperature Dependence of Backbone Dynamics in Human Ileal Bile Acid-Binding Protein: Implications for the Mechanism of Ligand Binding

Human ileal bile acid-binding protein (I-BABP), a member of the family of intracellular lipid binding proteins plays a key role in the cellular trafficking and metabolic regulation of bile salts. The protein has two internal and, according to a recent study, an additional superficial binding site and binds di- and trihydroxy bile salts with positive cooperativity and a high degree of site-selectivity. Previously, in the apo form, we have identified an extensive network of conformational fluctuations on the millisecond time scale, which cease upon ligation. Additionally, ligand binding at room temperature was found to be accompanied by a slight rigidification of picosecond-nanosecond (ps-ns) backbone flexibility. In the current study, temperature-dependent N-15 NMR spin relaxation measurements were used to gain more insight into the role of dynamics in human I-BABP-bile salt recognition. According to our analysis, residues sensing a conformational exchange in the apo state can be grouped into two clusters with slightly different exchange rates. The entropy-enthalpy compensation observed for both clusters suggests a disorder-order transition between a ground and a sparsely populated higher energy state in the absence of ligands. Analysis of the faster, ps-ns motion of N-15-H-1 bond vectors indicates an unusual nonlinear temperature-dependence for both ligation states. Intriguingly, while bile salt binding results in a more uniform response to temperature change throughout the protein, the temperature derivative of the generalized order parameter shows different responses to temperature increase for the two forms of the protein in the investigated temperature range. Analysis of both slow and fast motions in human I-BABP indicates largely different energy landscapes for the apo and halo states suggesting that optimization of binding interactions might be achieved by altering the dynamic behavior of specific segments in the protein

Hysteresis in Pressure-Driven DNA Denaturation

In the past, a great deal of attention has been drawn to thermal driven denaturation processes. In recent years, however, the discovery of stress-induced denaturation, observed at the one-molecule level, has revealed new insights into the complex phenomena involved in the thermo-mechanics of DNA function. Understanding the effect of local pressure variations in DNA stability is thus an appealing topic. Such processes as cellular stress, dehydration, and changes in the ionic strength of the medium could explain local pressure changes that will affect the molecular mechanics of DNA and hence its stability. In this work, a theory that accounts for hysteresis in pressure-driven DNA denaturation is proposed. We here combine an irreversible thermodynamic approach with an equation of state based on the Poisson-Boltzmann cell model. The latter one provides a good description of the osmotic pressure over a wide range of DNA concentrations. The resulting theoretical framework predicts, in general, the process of denaturation and, in particular, hysteresis curves for a DNA sequence in terms of system parameters such as salt concentration, density of DNA molecules and temperature in addition to structural and configurational states of DNA. Furthermore, this formalism can be naturally extended to more complex situations, for example, in cases where the host medium is made up of asymmetric salts or in the description of the (helical-like) charge distribution along the DNA molecule. Moreover, since this study incorporates the effect of pressure through a thermodynamic analysis, much of what is known from temperature-driven experiments will shed light on the pressure-induced melting issue

An isoperimetric inequality in the plane with a log-convex density

Given a positive lower semi-continuous density $f$ on $\mathbb{R}^2$ the weighted volume $V_f:=f\mathscr{L}^2$ is defined on the $\mathscr{L}^2$-measurable sets in $\mathbb{R}^2$. The $f$-weighted perimeter of a set of finite perimeter $E$ in $\mathbb{R}^2$ is written $P_f(E)$. We study minimisers for the weighted isoperimetric problem $$I_f(v):=\inf\Big\{ P_f(E):E\text{ is a set of finite perimeter in }\mathbb{R}^2\text{ and }V_f(E)=v\Big\}$$ for $v>0$. Suppose $f$ takes the form $f:\mathbb{R}^2\rightarrow(0,+\infty);x\mapsto e^{h(|x|)}$ where $h:[0,+\infty)\rightarrow\mathbb{R}$ is a non-decreasing convex function. Let $v>0$ and $B$ a centred ball in $\mathbb{R}^2$ with $V_f(B)=v$. We show that $B$ is a minimiser for the above variational problem and obtain a uniqueness result