Optimal allocation–consumption problem for a portfolio with an illiquid asset

During financial crises investors manage portfolios with low liquidity, where the paper-value of an asset differs from the price proposed by the buyer. We consider an optimization problem for a portfolio with an illiquid, a risky and a risk-free asset. We work in the Merton's optimal consumption framework with continuous time. The liquid part of the investment is described by a standard Black–Scholes market. The illiquid asset is sold at a random moment with prescribed distribution and generates additional liquid wealth dependent on its paper-value. The investor has a hyperbolic absolute risk aversion also denoted as HARA-type utility function, in particular, the logarithmic utility function as a limit case. We study two different distributions of the liquidation time of the illiquid asset – a classical exponential distribution and a more practically relevant Weibull distribution. Under certain conditions we show the smoothness of the viscosity solution and obtain closed formulae relevant for numerics.     

Generating heavy particles with energy and momentum conservation

We propose a novel algorithm, called REGGAE, for the generation of momenta of a given sample of particle masses, evenly distributed in Lorentz-invariant phase space and obeying energy and momentum conservation. In comparison to other existing algorithms, REGGAE is designed for the use in multiparticle production in hadronic and nuclear collisions where many hadrons are produced and a large part of the available energy is stored in the form of their masses. The algorithm uses a loop simulating multiple collisions which lead to production of configurations with reasonably large weights.

Program summary

Program title: REGGAE (REscattering-after-Genbod GenerAtor of Events)Catalogue identifier: AEJR_v1_0Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEJR_v1_0.htmlProgram obtainable from: CPC Program Library, Queen?s University, Belfast, N. IrelandLicensing provisions: Standard CPC licence, http://cpc.cs.qub.ac.uk/licence/licence.htmlNo. of lines in distributed program, including test data, etc.: 1523No. of bytes in distributed program, including test data, etc.: 9608Distribution format: tar.gzProgramming language: C++Computer: PC Pentium 4, though no particular tuning for this machine was performed.Operating system: Originally designed on Linux PC with g++, but it has been compiled and ran successfully on OS X with g++ and MS Windows with Microsoft Visual C++ 2008 Express Edition, as well.RAM: This depends on the number of particles which are generated. For 10 particles like in the attached example it requires about 120 kB.Classification: 11.2Nature of problem: The task is to generate momenta of a sample of particles with given masses which obey energy and momentum conservation. Generated samples should be evenly distributed in the available Lorentz-invariant phase space.Solution method: In general, the algorithm works in two steps. First, all momenta are generated with the GENBOD algorithm. There, particle production is modeled as a sequence of two-body decays of heavy resonances. After all momenta are generated this way, they are reshuffled. Each particle undergoes a collision with some other partner such that in the pair center of mass system the new directions of momenta are distributed isotropically. After each particle collides only a few times, the momenta are distributed evenly across the whole available phase space. Starting with GENBOD is not essential for the procedure but it improves the performance.Running time: This depends on the number of particles and number of events one wants to generate. On a LINUX PC with 2 GHz processor, generation of 1000 events with 10 particles each takes about 3 s.     

On constant-round concurrent non-malleable proof systems

Security under man-in-the-middle attacks is extremely important when protocols are executed on asynchronous networks, as the Internet. Focusing on interactive proof systems, one would like also to achieve unconditional soundness, so that proving a false statement is not possible even for a computationally unbounded adversarial prover. Motivated by such requirements, in this paper we address the problem of designing constant-round protocols in the plain model that enjoy simultaneously non-malleability (i.e., security against man-in-the-middle attacks) and unconditional soundness (i.e., they are proof systems).We first give a construction of a constant-round one-many (i.e., one honest prover, many honest verifiers) concurrent non-malleable zero-knowledge proof (in contrast to argument) system for every NP language in the plain model. We then give a construction of a constant-round concurrent non-malleable witness-indistinguishable proof system for every NP language. Compared with previous results, our constructions are the first constant-round proof systems that in the plain model guarantee simultaneously security against some non-trivial concurrent man-in-the-middle attacks and against unbounded malicious provers.     

Dynamic demultiplexing in network calculus—Theory and application

During the last two decades, starting with the seminal work by Cruz, network calculus has evolved as a new theory for the performance analysis of networked systems. In contrast to classical queueing theory, it deals with performance bounds instead of average values and thus has been the theoretical basis of quality of service proposals such as the IETF’s Integrated and Differentiated Services architectures. Besides these it has, however, recently seen many other application scenarios as, for example, wireless sensor networks, switched Ethernets, avionic networks, Systems-on-Chip, or even to speed-up simulations, to name a few.In this article, we extend network calculus by adding a new versatile modeling element: a demultiplexer. Conventionally, demultiplexing has been either neglected or assumed to be static, i.e., fixed at the setup time of a network. This is restrictive for many potential applications of network calculus. For example, a load balancing based on current link loads in a network could not be modeled with conventional network calculus means. Our demultiplexing element is based on stochastic scaling. Stochastic scaling allows one to put probabilistic bounds on how a flow is split inside the network. Fundamental results on network calculus with stochastic scaling are therefore derived in this work. We illustrate the benefits of the demultiplexer in a sample application of uncertain load balancing.     

Experiments on the reliability of stochastic spiking neural P systems

In the area of membrane computing, time-freeness has been defined as the ability for a timed membrane system to produce always the same result, independently of the execution times associated to the rules. In this paper, we use a similar idea in the framework of spiking neural P systems, a model inspired by the structure and the functioning of neural cells. In particular, we introduce stochastic spiking neural P systems where the time of firing for an enabled spiking rule is probabilistically chosen and we investigate when, and how, these probabilities can influence the ability of the systems to simulate, in a reliable way, universal machines, such as register machines.     

A hierarchical, agent-based service oriented architecture for smart environments

Service Oriented Architectures, which allow for the integration of different subsystems and of applications running on different devices and platforms, may be very suitable to solve the problem of service personalization in large smart environments like cities, where the number of potential users and potentially available services is rapidly growing. Taking this into account, we have designed an agent-based service oriented architecture for smart spaces. Two of the greatest challenges in the design of such a solution are providing effective device, service and context federation and composition mechanisms and handling user mobility. For the first challenge, we have designed a hierarchical architecture and developed a set of inheritance, aggregation and access mechanisms for devices, services and context. To handle user mobility, we have followed three different strategies, using stationary, mobile or nomadic agents. In this paper, we describe the main aspects of our architecture and perform an experimental evaluation to determine the advantages and drawbacks of the different strategies.     

Morphometric and some immunohistochemical characteristics of human choroids plexus stroma and psammoma bodies

Psammoma bodies (PBs) are one of many choroids plexus aging changes. The aim of our research was to perform the quantification of PBs' presence in human choroids plexus stroma, as well as to evaluate the characteristics of choroids plexus stroma in cases in which PBs were present. Afterwards, the observations of the histochemical analysis would be confirmed by immunohistochemical analysis. Choroid plexuses of 30 cadavers were used for the histochemical and, choroids plexuses of 15 cadavers in which PBs' presence was confirmed during the histochemical analysis, were used as material for the immunohistochemical analysis. Light microscopy, histochemical, immunohistochemical, and morphometric method were applied during the study. Classification of the cases was performed by cluster analysis. We observed increase of choroids plexus PBs' presence during the aging process. But this increase is not linear. Their presence is the largest in the second cluster that is younger than the third and older than the first. Nuclear morphometric parameters of the stroma in these cases showed that the cellular composition in this cluster is different than in other two and, that contain larger number of lymphoid cells. Immunohistochemical analysis showed PBs' positive reaction on vimentin, CD45R0, and LCA markers, while in their vicinity, as well as inside them, numerous T-cells were observed. So, the presence of CD45R0 and LCA-positive T cells, PBs' positive reaction on the same markers, indirectly connect these cells with PBs' formation process.     

Effective dimensionality of cuprate superconductors

A novel optical method for accurate monitoring of the carrier densityN in layered conductors is introduced. It is applied to several cuprate superconductors, and it is found thatT _c doesnot scale withN. However, if the closely spaced pairs or triplets of CuO₂ planes were coupled together to act as distinct metallic slabs, the relevant variable could ben, theslab carrier density. Indeed, we found thatT _c does scale nicely withn. This suggests that high-T _c superconductivity is effectively a two-dimensional phenomenon; it can occur in a cuprate slab which is only one unit cell thick. Finally, estimates are obtained for the length scales of localization of charge carriers:d 8 Å andd 2 Å in all the cuprates under study.     

The Kosko Subsethood Fuzzy Associative Memory (KS-FAM): Mathematical Background and Applications in Computer Vision

Many well-known fuzzy associative memory (FAM) models can be viewed as (fuzzy) morphological neural networks (MNNs) because they perform an operation of (fuzzy) mathematical morphology at every node, possibly followed by the application of an activation function. The vast majority of these FAMs represent distributive models given by single-layer matrix memories. Although the Kosko subsethood FAM (KS-FAM) can also be classified as a fuzzy morphological associative memory (FMAM), the KS-FAM constitutes a two-layer non-distributive model. In this paper, we prove several theorems concerning the conditions of perfect recall, the absolute storage capacity, and the output patterns produced by the KS-FAM. In addition, we propose a normalization strategy for the training and recall phases of the KS-FAM. We employ this strategy to compare the error correction capabilities of the KS-FAM and other fuzzy and gray-scale associative memories in terms of some experimental results concerning gray-scale image reconstruction. Finally, we apply the KS-FAM to the task of vision-based self-localization in robotics.