Numerical Schemes for Variational Inequalities Arising in International Asset Pricing

This paper introduces a valuation model of international pricing in the presence of political risk. Shipments between countries are charged with shipping costs and the country specific production processes are modelled as diffusion processes. The political risk is modelled as a continous time jump process that affects the drift of the returns in the politically unstable countries. The valuation model gives rise to a singular stochastic control problem that is analyzed numerically. The fundamental tools come from the theory of viscosity solutions of the associated Hamilton–Jacobi–Bellman equation which turns out to be a system of integral-differential Variational Inequalities with gradient constraints.     

Simplified Procedure for Estimating Earthquake-Induced Deviatoric Slope Displacements

A simplified semiempirical predictive relationship for estimating permanent displacements due to earthquake-induced deviatoric deformations is presented. It utilizes a nonlinear fully coupled stick-slip sliding block model to capture the dynamic performance of an earth dam, natural slope, compacted earth fill, or municipal solid-waste landfill. The primary source of uncertainty in assessing the likely performance of an earth/waste system during an earthquake is the input ground motion. Hence, a comprehensive database containing 688 recorded ground motions is used to compute seismic displacements. A seismic displacement model is developed that captures the primary influence of the system’s yield coefficient (ky), its initial fundamental period (Ts), and the ground motion’s spectral acceleration at a degraded period equal to 1.5Ts. The model separates the probability of “zero” displacement (i.e., ? 1?cm) occurring from the distribution of “nonzero” displacement, so that very low values of calculated displacement do not bias the results. The use of the seismic displacement model is validated through reexamination of 16 case histories of earth dam and solid-waste landfill performance. The proposed model can be implemented rigorously within a fully probabilistic framework or used deterministically to evaluate seismic displacement potential.     

Numerical schemes for investment models with singular transactions

This paper considers an infinite horizon investment-consumption model in which a single agent consumes and distributes his wealth between two assets, a bond and a stock. The problem of maximization of the total utility from consumption is treated, when state (amount allocated in assets) and control (consumption, rates of trading) constraints are present. The value function is characterized as the unique viscosity solution of the Hamilton-Jacobi-Bellman equation which, actually, is a Variational Inequality with gradient constraints. Numerical schemes are then constructed in order to compute the value function and the location of the free boundaries of the so-called transaction regions. These schemes are a combination of implicit and explicit schemes; their convergence is obtained from the uniqueness of viscosity solutions to the HJB equation.     

Author Index to Volumes 17 and 18

Authors Index

Author Index to Volumes 17 and 18     

Pseudostatic Coefficient for Use in Simplified Seismic Slope Stability Evaluation

Pseudostatic slope stability procedures are commonly used in engineering practice. However, the selection of the seismic coefficient employed in the analysis is often based on precedence without due consideration of the amount of seismic displacement that constitutes satisfactory performance for each particular project and without incorporating the vastly different seismic exposure for sites around the world. In this Note, a rational basis for selecting the seismic coefficient is presented. The proposed procedure requires that the engineer establishes the project-specific allowable level of seismic displacement. The seismic response characteristics of the slope are represented by the fundamental period of the potential sliding mass, and the site-dependent seismic demand is characterized by the 5% damped elastic design spectral acceleration at the degraded period of the potential sliding mass. The level of uncertainty in the estimates of the seismic demand and displacement can be handled through the use of different percentile estimates of these values. With the proposed equations, the engineer can properly incorporate the amount of seismic displacement judged to be allowable and the seismic hazard at the site in the selection of the seismic coefficient.     

Discovery and Characterization of a Baeyer-Villiger Monooxygenase Using Sequence Similarity Network Analysis

Baeyer-Villiger monooxygenases (BVMOs) are important flavin-dependent enzymes which perform oxygen insertion reactions leading to valuable products. As reported in many studies, BVMOs are usually unstable during application, preventing a wider usage in biocatalysis. Here, we discovered a novel NADPH-dependent BVMO which originates from Halopolyspora algeriensis using sequence similarity networks (SSNs). The enzyme is stable at temperatures between 10 °C to 30 °C up to five days after the purification, and yields the normal ester product. In this study, the substrate scope was investigated for a broad range of aliphatic ketones and the enzyme was biochemically characterized to identify optimum reaction conditions. The best substrate (86 % conversion) was 2-dodecanone using purified enzyme. This novel BVMO could potentially be applied as part of an enzymatic cascade or in bioprocesses which utilize aliphatic alkanes as feedstock.