A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA

We study the question what value an agent in a generalized Black-Scholes model with partial information attributes to the complementary information. To do this, we study the utility maximization problems from terminal wealth for the two cases partial information and full information. We assume that the drift term of the risky asset is a dynamic process of general linear type and that the two levels of observation correspond to whether this drift term is observable or not. Applying methods from stochastic filtering theory we derive an analytical tractable formula for the value of information in the case of logarithmic utility. For the case of constant relative risk aversion (CRRA) we derive a semianalytical formula, which uses as an input the numerical solution of a system of ODEs. For both cases we present a comparative analysis

General relativistic hydrodynamics in curvilinear coordinates

In this paper we report on what we believe is the first successful implementation of relativistic hydrodynamics, coupled to dynamical spacetimes, in spherical polar coordinates without symmetry assumptions. We employ a high-resolution shock-capturing scheme, which requires that the equations be cast in flux-conservative form. One example of such a form is the :Valencia" formulation, which has been adopted in numerous applications, in particular in Cartesian coordinates. Here we generalize this formulation to allow for a reference-metric approach, which provides a natural framework for calculations in curvilinear coordinates. In spherical polar coordinates, for example, it allows for an analytical treatment of the singular r and sin(\theta) terms that appear in the equations. We experiment with different versions of our generalized Valencia formulation in numerical implementations of relativistic hydrodynamics for both fixed and dynamical spacetimes. We consider a number of different tests -- non-rotating and rotating relativistic stars, as well as gravitational collapse to a black hole -- to demonstrate that our formulation provides a promising approach to performing fully relativistic astrophysics simulations in spherical polar coordinates.Comment: 14 pages, 8 figures, version to be published in PR

Numerical Relativity in Spherical Polar Coordinates: Off-center Simulations

We have recently presented a new approach for numerical relativity simulations in spherical polar coordinates, both for vacuum and for relativistic hydrodynamics. Our approach is based on a reference-metric formulation of the BSSN equations, a factoring of all tensor components, as well as a partially implicit Runge-Kutta method, and does not rely on a regularization of the equations, nor does it make any assumptions about the symmetry across the origin. In order to demonstrate this feature we present here several off-centered simulations, including simulations of single black holes and neutron stars whose center is placed away from the origin of the coordinate system, as well as the asymmetric head-on collision of two black holes. We also revisit our implementation of relativistic hydrodynamics and demonstrate that a reference-metric formulation of hydrodynamics together with a factoring of all tensor components avoids problems related to the coordinate singularities at the origin and on the axes. As a particularly demanding test we present results for a shock wave propagating through the origin of the spherical polar coordinate system.Comment: 13 pages, 11 figures; matches version published in PR

The core helium flash revisited III. From Pop I to Pop III stars

Degenerate ignition of helium in low-mass stars at the end of the red giant branch phase leads to dynamic convection in their helium cores. One-dimensional (1D) stellar modeling of this intrinsically multi-dimensional dynamic event is likely to be inadequate. Previous hydrodynamic simulations imply that the single convection zone in the helium core of metal-rich Pop I stars grows during the flash on a dynamic timescale. This may lead to hydrogen injection into the core, and a double convection zone structure as known from one-dimensional core helium flash simulations of low-mass Pop III stars. We perform hydrodynamic simulations of the core helium flash in two and three dimensions to better constrain the nature of these events. To this end we study the hydrodynamics of convection within the helium cores of a 1.25 \Msun metal-rich Pop I star (Z=0.02), and a 0.85 \Msun metal-free Pop III star (Z=0) near the peak of the flash. These models possess single and double convection zones, respectively. We use 1D stellar models of the core helium flash computed with state-of-the-art stellar evolution codes as initial models for our multidimensional hydrodynamic study, and simulate the evolution of these models with the Riemann solver based hydrodynamics code Herakles which integrates the Euler equations coupled with source terms corresponding to gravity and nuclear burning. The hydrodynamic simulation of the Pop I model involving a single convection zone covers 27 hours of stellar evolution, while the first hydrodynamic simulations of a double convection zone, in the Pop III model, span 1.8 hours of stellar life. We find differences between the predictions of mixing length theory and our hydrodynamic simulations. The simulation of the single convection zone in the Pop I model shows a strong growth of the size of the convection zone due to turbulent entrainment. Hence we predict that for the Pop I model a hydrogen injection phase (i.e. hydrogen injection into the helium core) will commence after about 23 days, which should eventually lead to a double convection zone structure known from 1D stellar modeling of low-mass Pop III stars. Our two and three-dimensional hydrodynamic simulations of the double (Pop III) convection zone model show that the velocity field in the convection zones is different from that predicted by stellar evolutionary calculations. The simulations suggest that the double convection zone decays quickly, the flow eventually being dominated by internal gravity waves.Comment: 16 pages, 18 figures, submitted to Aa

The Older Population and the Aged Patient

Modern medical practice requires that the physician and other members of the health team have full appreciation of the impact of disease and disability upon identifiable groups of patients and recognize how nonmedical factors affect treatment and prognosis. It is important for the physician to have some idea of the patient\u27s socioeconomic status and the actual and potential number of patients with not only a common diagnosis, but also similarities in their living conditions. With such knowledge, the physician can be much more realistic and efficient in his therapeutic efforts. Persons 65 years of age and over are commonly referred to as the older population. Brotman (1968) recently identified the special characteristics of those 75 years of age and over, referring to these people as the aged. This subdividing of the older population is of considerable value, as the important health and socioeconomic facts common to a specific group can be lost in the mass of the older population

S-4B orbital workshop attitude control system study

Saturn S-4B orbital workshop attitude control system analysi

From bcc to fcc: interplay between oscillating long-range and repulsive short-range forces

This paper supplements and partly extends an earlier publication, Phys. Rev. Lett. 95, 265501 (2005). In $d$-dimensional continuous space we describe the infinite volume ground state configurations (GSCs) of pair interactions \vfi and \vfi+\psi, where \vfi is the inverse Fourier transform of a nonnegative function vanishing outside the sphere of radius $K_0$, and $\psi$ is any nonnegative finite-range interaction of range $r_0\leq\gamma_d/K_0$, where $\gamma_3=\sqrt{6}\pi$. In three dimensions the decay of \vfi can be as slow as $\sim r^{-2}$, and an interaction of asymptotic form $\sim\cos(K_0r+\pi/2)/r^3$ is among the examples. At a dimension-dependent density $\rho_d$ the ground state of \vfi is a unique Bravais lattice, and for higher densities it is continuously degenerate: any union of Bravais lattices whose reciprocal lattice vectors are not shorter than $K_0$ is a GSC. Adding $\psi$ decreases the ground state degeneracy which, nonetheless, remains continuous in the open interval $(\rho_d,\rho_d')$, where $\rho_d'$ is the close-packing density of hard balls of diameter $r_0$. The ground state is unique at both ends of the interval. In three dimensions this unique GSC is the bcc lattice at $\rho_3$ and the fcc lattice at $\rho_3'=\sqrt{2}/r_0^3$.Comment: Published versio

Fully covariant and conformal formulation of the Z4 system in a reference-metric approach: comparison with the BSSN formulation in spherical symmetry

We adopt a reference-metric approach to generalize a covariant and conformal version of the Z4 system of the Einstein equations. We refer to the resulting system as ``fully covariant and conformal", or fCCZ4 for short, since it is well suited for curvilinear as well as Cartesian coordinates. We implement this fCCZ4 formalism in spherical polar coordinates under the assumption of spherical symmetry using a partially-implicit Runge-Kutta (PIRK) method and show that our code can evolve both vacuum and non-vacuum spacetimes without encountering instabilities. Our method does not require regularization of the equations to handle coordinate singularities, nor does it depend on constraint-preserving outer boundary conditions, nor does it need any modifications of the equations for evolutions of black holes. We perform several tests and compare the performance of the fCCZ4 system, for different choices of certain free parameters, with that of BSSN. Confirming earlier results we find that, for an optimal choice of these parameters, and for neutron-star spacetimes, the violations of the Hamiltonian constraint can be between 1 and 3 orders of magnitude smaller in the fCCZ4 system than in the BSSN formulation. For black-hole spacetimes, on the other hand, any advantages of fCCZ4 over BSSN are less evident.Comment: 13 pages, 10 figure