Mimicking an It\^{o} process by a solution of a stochastic differential equation

Given a multi-dimensional It\^{o} process whose drift and diffusion terms are adapted processes, we construct a weak solution to a stochastic differential equation that matches the distribution of the It\^{o} process at each fixed time. Moreover, we show how to match the distributions at each fixed time of functionals of the It\^{o} process, including the running maximum and running average of one of the components of the process. A consequence of this result is that a wide variety of exotic derivative securities have the same prices when the underlying asset price is modeled by the original It\^{o} process or the mimicking process that solves the stochastic differential equation.Comment: Published in at http://dx.doi.org/10.1214/12-AAP881 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Fiber optic data transmission

The Ohio University Avionics Engineering Center is currently developing a fiber optic data bus transmission and reception system that could eventually replace copper cable connections in airplanes. The original form of the system will transmit information from an encoder to a transponder via a fiber optic cable. An altimeter and an altitude display are connected to a fiber optic transmitter by copper cable. The transmitter converts the altimetry data from nine bit parallel to serial form and send these data through a fiber optic cable to a receiver. The receiver converts the data using a cable similar to that used between the altimeter and display. The transmitting and receiving ends also include a display readout. After completion and ground testing of the data bus, the system will be tested in an airborne environment

Accuracy of state space collapse for earliest-deadline-first Queues

This paper presents a second-order heavy traffic analysis of a single server queue that processes customers having deadlines using the earliest-deadline-first scheduling policy. For such systems, referred to as real-time queueing systems, performance is measured by the fraction of customers who meet their deadline, rather than more traditional performance measures, such as customer delay, queue length or server utilization. To model such systems, one must keep track of customer lead times (the time remaining until a customer deadline elapses) or equivalent information. This paper reviews the earlier heavy traffic analysis of such systems that provided approximations to the system's behavior. The main result of this paper is the development of a second-order analysis that gives the accuracy of the approximations and the rate of convergence of the sequence of real-time queueing systems to its heavy traffic limit.Comment: Published at http://dx.doi.org/10.1214/105051605000000809 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Earliest-deadline-first service in heavy-traffic acyclic networks

This paper presents a heavy traffic analysis of the behavior of multi-class acyclic queueing networks in which the customers have deadlines. We assume the queueing system consists of J stations, and there are K different customer classes. Customers from each class arrive to the network according to independent renewal processes. The customers from each class are assigned a random deadline drawn from a deadline distribution associated with that class and they move from station to station according to a fixed acyclic route. The customers at a given node are processed according to the earliest-deadline-first (EDF) queue discipline. At any time, the customers of each type at each node have a lead time, the time until their deadline lapses. We model these lead times as a random counting measure on the real line. Under heavy traffic conditions and suitable scaling, it is proved that the measure-valued lead-time process converges to a deterministic function of the workload process

Existence of optimal stationary policies in deterministic optimal control

AbstractThis paper considers deterministic discrete-time optimal control problems over an infinite horizon involving a stationary system and a nonpositive cost per stage. Various results are provided relating to existence of an ϵ-optimal stationary policy, and existence of an optimal stationary policy assuming an optimal policy exists

Second order approximation for the customer time in queue distribution under the FIFO service discipline

A single server with one customer class, serviced by the FIFO protocol, is considered and the instantaneous time in the queue profile of the customers is investigated. We provide the second order approximation for the random measure describing the customer time in the queue distribution under heavy traffic conditions

Incorporating Tailored Interactive Patient Solutions Using Interactive Voice Response Technology to Improve Statin Adherence: Results of a Randomized Clinical Trial in a Managed Care Setting

Abstract The current study presents the impact of a behavior change program to increase statin adherence using interactive voice response (IVR) technology. Subjects were affiliated with a large health benefit company, were prescribed a statin (index) and had no lipid-lowering pharmacy claims in the previous 6 months, and were continuously enrolled in the plan for 12 months prior and 6 months post index statin. Potential subjects (1219) were contacted by the IVR system; 497 gave informed consent. Subjects were asked to respond to 15 questions from the IVR that were guided by several behavior change theories. At the conclusion of the questions, subjects were randomly assigned to either a control group (n=244), who received generic feedback at the conclusion of the call and were then mailed a generic cholesterol guide, or an experimental group (n=253), who received tailored feedback based on their cholesterol-related knowledge, attitudes, beliefs, and perceived barriers to medication adherence, and were mailed a tailored guide that reinforced similar themes. Subjects in the experimental group had the opportunity to participate in 2 additional tailored IVR support calls. The primary dependent variable was 6-month point prevalence, defined as claims evidence of a statin on days 121-180 post index statin. Subjects in the experimental group had a significantly higher 6-month point prevalence than the controls (70.4% vs. 60.7%, P<0.05). Results of this study suggest that a behavioral support program using IVR technology can be a cost-effective modality to address the important public health problem of patient nonadherence with statin medication. (Population Health Management 2009;12:241-254)Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/78104/1/pop.2008.0046.pd

Supraglacial forcing of subglacial drainage in the ablation zone of the Greenland ice sheet

Peer reviewedPublisher PD