Mean-Variance Hedging for General Claims in an Incomplete Market: Numeraire Method

This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-variance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.

Structural Modal Parameter Recognition and Related Damage Identification Methods under Environmental Excitations: A Review

Modal parameters can accurately characterize the structural dynamic properties and assess the physical state of the structure.Therefore,it is particularly significant to identify the structural modal parameters according to the monitoring data information in the structural health monitoring(SHM)system,so as to provide a scientific basis for structural damage identification and dynamic model modification.In view of this,this paper reviews methods for identifying structural modal parameters under environmental excitation and briefly describes how to identify structural damages based on the derived modal parameters.The paper primarily introduces data-driven modal parameter recognition methods(e.g.,time-domain,frequency-domain,and time-frequency-domain methods,etc.),briefly describes damage identification methods based on the variations of modal parameters(e.g.,natural frequency,modal shapes,and curvature modal shapes,etc.)and modal validation methods(e.g.,Stability Diagram and Modal Assurance Criterion,etc.).The current status of the application of artificial intelligence(AI)methods in the direction of modal parameter recognition and damage identification is further discussed.Based on the pre-vious analysis,the main development trends of structural modal parameter recognition and damage identification methods are given to provide scientific references for the optimized design and functional upgrading of SHM systems.

基于mean-variance的服务集群负载均衡方法

大量并发请求任务进行分配时,负载调度机制是通过最小化响应时间及最大化节点利用率实现网络中节点的负载均衡,在基于遗传算法的负载均衡算法中,适应度函数设计对服务集群负载均衡效率产生重要的影响。对此提出了一种基于mean-variance的服务集群负载均衡方法对适应度函数进行优化,采用投资组合选择模型mean-variance进行最小化响应时间,以得到每个服务器资源利用率的权重,从而获得最优的分配组合,进而提高适应度函数的准确性和有效性。在不同服务环境下与其他模型进行比较,仿真结果表明,本文的负载均衡算法在节点利用率和响应时间方面使服务集群得到了更好的均衡。

MARKOV-MODULATED MEAN-VARIANCE PROBLEM FOR AN INSURER

In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset, whose price parameters are driven by a finite state Markov chain. The risk process of the insurance company is modeled as a diffusion process whose diffusion and drift parameters switch over time according to the same Markov chain. We study the Markov-modulated mean-variance problem for the insurer and derive explicitly the closed form of the efficient strategy and efficient frontier. In the case of no regime switching, we can see that the efficient frontier in our paper coincides with that of [10] when there is no pure jump.

Portfolio Choice under the Mean-Variance Model with Parameter Uncertainty

Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.

A Review on Sources,Extractions and Analysis Methods of a Sustainable Biomaterial:Tannins

Condensed and hydrolysable tannins are non-toxic natural polyphenols that are a commercial commodity industrialized for tanning hides to obtain leather and for a growing number of other industrial applications mainly to substitute petroleum-based products.They are a definite class of sustainable materials of the forestry industry.They have been in operation for hundreds of years to manufacture leather and now for a growing number of applications in a variety of other industries,such as wood adhesives,metal coating,pharmaceutical/medical applications and several others.This review presents the main sources,either already or potentially commercial of this forestry by-materials,their industrial and laboratory extraction systems,their systems of analysis with their advantages and drawbacks,be these methods so simple to even appear primitive but nonetheless of proven effectiveness,or very modern and instrumental.It constitutes a basic but essential summary of what is necessary to know of these sustainable materials.In doing so,the review highlights some of the main challenges that remain to be addressed to deliver the quality and economics of tannin supply necessary to fulfill the industrial production requirements for some materials-based uses.

Bounds for Goal Achieving Probabilities of Mean-Variance Strategies with a No Bankruptcy Constraint

We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.

A Mean-variance Problem in the Constant Elasticity of Variance(CEV) Model

In this paper, we focus on a constant elasticity of variance （CEV） modeland want to find its optimal strategies for a mean-variance problem under two constrainedcontrols： reinsurance/new business and investment （no-shorting）. First, aLagrange multiplier is introduced to simplify the mean-variance problem and thecorresponding Hamilton-Jacobi-Bellman （HJB） equation is established. Via a powertransformation technique and variable change method, the optimal strategies withthe Lagrange multiplier are obtained. Final, based on the Lagrange duality theorem,the optimal strategies and optimal value for the original problem （i.e., the efficientstrategies and efficient frontier） are derived explicitly.

Drilling-based measuring method for the c-φ parameter of rock and its field application

The technology of drilling tests makes it possible to obtain the strength parameter of rock accurately in situ. In this paper, a new rock cutting analysis model that considers the influence of the rock crushing zone(RCZ) is built. The formula for an ultimate cutting force is established based on the limit equilibrium principle. The relationship between digital drilling parameters(DDP) and the c-φ parameter(DDP-cφ formula, where c refers to the cohesion and φ refers to the internal friction angle) is derived, and the response of drilling parameters and cutting ratio to the strength parameters is analyzed. The drillingbased measuring method for the c-φ parameter of rock is constructed. The laboratory verification test is then completed, and the difference in results between the drilling test and the compression test is less than 6%. On this basis, in-situ rock drilling tests in a traffic tunnel and a coal mine roadway are carried out, and the strength parameters of the surrounding rock are effectively tested. The average difference ratio of the results is less than 11%, which verifies the effectiveness of the proposed method for obtaining the strength parameters based on digital drilling. This study provides methodological support for field testing of rock strength parameters.

A comparison study on structure-function relationship of polysaccharides obtained from sea buckthorn berries using different methods:antioxidant and bile acid-binding capacity

In this study,the structural characters,antioxidant activities and bile acid-binding ability of sea buckthorn polysaccharides(HRPs)obtained by the commonly used hot water(HRP-W),pressurized hot water(HRP-H),ultrasonic(HRP-U),acid(HRP-C)and alkali(HRP-A)assisted extraction methods were investigated.The results demonstrated that extraction methods had significant effects on extraction yield,monosaccharide composition,molecular weight,particle size,triple-helical structure,and surface morphology of HRPs except for the major linkage bands.Thermogravimetric analysis showed that HRP-U with filamentous reticular microstructure exhibited better thermal stability.The HRP-A with the lowest molecular weight and highest arabinose content possessed the best antioxidant activities.Moreover,the rheological analysis indicated that HRPs with higher galacturonic acid content and molecular weight showed higher viscosity and stronger crosslinking network(HRP-C,HRP-W and HRP-U),which exhibited stronger bile acid binding capacity.The present findings provide scientific evidence in the preparation technology of sea buckthorn polysaccharides with good antioxidant and bile acid binding capacity which are related to the structure affected by the extraction methods.

Goal Achieving Probabilities of Mean-Variance Strategies in a Market with Regime-Switching Volatility

In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain with a finite number of states. More precisely, expressions for the goal-achieving probabilities of the terminal wealth are obtained and numerical comparisons of lower bounds for these probabilities are shown for various market parameters. We conclude with asymptotic results when the Markovian changes in the volatility parameters appear with either higher or lower frequencies.

Material point method simulation of hydro-mechanical behaviour in twophase porous geomaterials: A state-of-the-art review

The material point method(MPM)has been gaining increasing popularity as an appropriate approach to the solution of coupled hydro-mechanical problems involving large deformation.In this paper,we survey the current state-of-the-art in the MPM simulation of hydro-mechanical behaviour in two-phase porous geomaterials.The review covers the recent advances and developments in the MPM and their extensions to capture the coupled hydro-mechanical problems involving large deformations.The focus of this review is aiming at providing a clear picture of what has or has not been developed or implemented for simulating two-phase coupled large deformation problems,which will provide some direct reference for both practitioners and researchers.

Deciphering gastric inflammation-induced tumorigenesis through multi-omics data and AI methods

Gastric cancer(GC), the fifth most common cancer globally, remains the leading cause of cancer deaths worldwide. Inflammation-induced tumorigenesis is the predominant process in GC development;therefore, systematic research in this area should improve understanding of the biological mechanisms that initiate GC development and promote cancer hallmarks. Here, we summarize biological knowledge regarding gastric inflammation-induced tumorigenesis, and characterize the multi-omics data and systems biology methods for investigating GC development. Of note, we highlight pioneering studies in multi-omics data and state-of-the-art network-based algorithms used for dissecting the features of gastric inflammation-induced tumorigenesis, and we propose translational applications in early GC warning biomarkers and precise treatment strategies. This review offers integrative insights for GC research, with the goal of paving the way to novel paradigms for GC precision oncology and prevention.

Volumetric lattice Boltzmann method for pore-scale mass diffusionadvection process in geopolymer porous structures

Porous materials present significant advantages for absorbing radioactive isotopes in nuclear waste streams.To improve absorption efficiency in nuclear waste treatment,a thorough understanding of the diffusion-advection process within porous structures is essential for material design.In this study,we present advancements in the volumetric lattice Boltzmann method(VLBM)for modeling and simulating pore-scale diffusion-advection of radioactive isotopes within geopolymer porous structures.These structures are created using the phase field method(PFM)to precisely control pore architectures.In our VLBM approach,we introduce a concentration field of an isotope seamlessly coupled with the velocity field and solve it by the time evolution of its particle population function.To address the computational intensity inherent in the coupled lattice Boltzmann equations for velocity and concentration fields,we implement graphics processing unit(GPU)parallelization.Validation of the developed model involves examining the flow and diffusion fields in porous structures.Remarkably,good agreement is observed for both the velocity field from VLBM and multiphysics object-oriented simulation environment(MOOSE),and the concentration field from VLBM and the finite difference method(FDM).Furthermore,we investigate the effects of background flow,species diffusivity,and porosity on the diffusion-advection behavior by varying the background flow velocity,diffusion coefficient,and pore volume fraction,respectively.Notably,all three parameters exert an influence on the diffusion-advection process.Increased background flow and diffusivity markedly accelerate the process due to increased advection intensity and enhanced diffusion capability,respectively.Conversely,increasing the porosity has a less significant effect,causing a slight slowdown of the diffusion-advection process due to the expanded pore volume.This comprehensive parametric study provides valuable insights into the kinetics of isotope uptake in porous structures,facilitating the development of porous materials for nuclear waste treatment applications.

Uncertainties of landslide susceptibility prediction: Influences of random errors in landslide conditioning factors and errors reduction by low pass filter method

In the existing landslide susceptibility prediction(LSP)models,the influences of random errors in landslide conditioning factors on LSP are not considered,instead the original conditioning factors are directly taken as the model inputs,which brings uncertainties to LSP results.This study aims to reveal the influence rules of the different proportional random errors in conditioning factors on the LSP un-certainties,and further explore a method which can effectively reduce the random errors in conditioning factors.The original conditioning factors are firstly used to construct original factors-based LSP models,and then different random errors of 5%,10%,15% and 20%are added to these original factors for con-structing relevant errors-based LSP models.Secondly,low-pass filter-based LSP models are constructed by eliminating the random errors using low-pass filter method.Thirdly,the Ruijin County of China with 370 landslides and 16 conditioning factors are used as study case.Three typical machine learning models,i.e.multilayer perceptron(MLP),support vector machine(SVM)and random forest(RF),are selected as LSP models.Finally,the LSP uncertainties are discussed and results show that:(1)The low-pass filter can effectively reduce the random errors in conditioning factors to decrease the LSP uncertainties.(2)With the proportions of random errors increasing from 5%to 20%,the LSP uncertainty increases continuously.(3)The original factors-based models are feasible for LSP in the absence of more accurate conditioning factors.(4)The influence degrees of two uncertainty issues,machine learning models and different proportions of random errors,on the LSP modeling are large and basically the same.(5)The Shapley values effectively explain the internal mechanism of machine learning model predicting landslide sus-ceptibility.In conclusion,greater proportion of random errors in conditioning factors results in higher LSP uncertainty,and low-pass filter can effectively reduce these random errors.

Sparse Modal Decomposition Method Addressing Underdetermined Vortex-Induced Vibration Reconstruction Problem for Marine Risers

When investigating the vortex-induced vibration(VIV)of marine risers,extrapolating the dynamic response on the entire length based on limited sensor measurements is a crucial step in both laboratory experiments and fatigue monitoring of real risers.The problem is conventionally solved using the modal decomposition method,based on the principle that the response can be approximated by a weighted sum of limited vibration modes.However,the method is not valid when the problem is underdetermined,i.e.,the number of unknown mode weights is more than the number of known measurements.This study proposed a sparse modal decomposition method based on the compressed sensing theory and the Compressive Sampling Matching Pursuit(Co Sa MP)algorithm,exploiting the sparsity of VIV in the modal space.In the validation study based on high-order VIV experiment data,the proposed method successfully reconstructed the response using only seven acceleration measurements when the conventional methods failed.A primary advantage of the proposed method is that it offers a completely data-driven approach for the underdetermined VIV reconstruction problem,which is more favorable than existing model-dependent solutions for many practical applications such as riser structural health monitoring.

Numerical manifold method for thermo-mechanical coupling simulation of fractured rock mass

As a calculation method based on the Galerkin variation,the numerical manifold method(NMM)adopts a double covering system,which can easily deal with discontinuous deformation problems and has a high calculation accuracy.Aiming at the thermo-mechanical(TM)coupling problem of fractured rock masses,this study uses the NMM to simulate the processes of crack initiation and propagation in a rock mass under the influence of temperature field,deduces related system equations,and proposes a penalty function method to deal with boundary conditions.Numerical examples are employed to confirm the effectiveness and high accuracy of this method.By the thermal stress analysis of a thick-walled cylinder(TWC),the simulation of cracking in the TWC under heating and cooling conditions,and the simulation of thermal cracking of the SwedishÄspöPillar Stability Experiment(APSE)rock column,the thermal stress,and TM coupling are obtained.The numerical simulation results are in good agreement with the test data and other numerical results,thus verifying the effectiveness of the NMM in dealing with thermal stress and crack propagation problems of fractured rock masses.

A stable implicit nodal integration-based particle finite element method(N-PFEM)for modelling saturated soil dynamics

In this study,we present a novel nodal integration-based particle finite element method(N-PFEM)designed for the dynamic analysis of saturated soils.Our approach incorporates the nodal integration technique into a generalised Hellinger-Reissner(HR)variational principle,creating an implicit PFEM formulation.To mitigate the volumetric locking issue in low-order elements,we employ a node-based strain smoothing technique.By discretising field variables at the centre of smoothing cells,we achieve nodal integration over cells,eliminating the need for sophisticated mapping operations after re-meshing in the PFEM.We express the discretised governing equations as a min-max optimisation problem,which is further reformulated as a standard second-order cone programming(SOCP)problem.Stresses,pore water pressure,and displacements are simultaneously determined using the advanced primal-dual interior point method.Consequently,our numerical model offers improved accuracy for stresses and pore water pressure compared to the displacement-based PFEM formulation.Numerical experiments demonstrate that the N-PFEM efficiently captures both transient and long-term hydro-mechanical behaviour of saturated soils with high accuracy,obviating the need for stabilisation or regularisation techniques commonly employed in other nodal integration-based PFEM approaches.This work holds significant implications for the development of robust and accurate numerical tools for studying saturated soil dynamics.

An inverse analysis of fluid flow through granular media using differentiable lattice Boltzmann method

This study presents a method for the inverse analysis of fluid flow problems.The focus is put on accurately determining boundary conditions and characterizing the physical properties of granular media,such as permeability,and fluid components,like viscosity.The primary aim is to deduce either constant pressure head or pressure profiles,given the known velocity field at a steady-state flow through a conduit containing obstacles,including walls,spheres,and grains.The lattice Boltzmann method(LBM)combined with automatic differentiation(AD)(AD-LBM)is employed,with the help of the GPU-capable Taichi programming language.A lightweight tape is used to generate gradients for the entire LBM simulation,enabling end-to-end backpropagation.Our AD-LBM approach accurately estimates the boundary conditions for complex flow paths in porous media,leading to observed steady-state velocity fields and deriving macro-scale permeability and fluid viscosity.The method demonstrates significant advantages in terms of prediction accuracy and computational efficiency,making it a powerful tool for solving inverse fluid flow problems in various applications.

Robustness Study and Superior Method Development and Validation for Analytical Assay Method of Atropine Sulfate in Pharmaceutical Ophthalmic Solution

Background: The robustness is a measurement of an analytical chemical method and its ability to contain unaffected by little with deliberate variation of analytical chemical method parameters. The analytical chemical method variation parameters are based on pH variability of buffer solution of mobile phase, organic ratio composition changes, stationary phase (column) manufacture, brand name and lot number variation;flow rate variation and temperature variation of chromatographic system. The analytical chemical method for assay of Atropine Sulfate conducted for robustness evaluation. The typical variation considered for mobile phase organic ratio change, change of pH, change of temperature, change of flow rate, change of column etc. Purpose: The aim of this study is to develop a cost effective, short run time and robust analytical chemical method for the assay quantification of Atropine in Pharmaceutical Ophthalmic Solution. This will help to make analytical decisions quickly for research and development scientists as well as will help with quality control product release for patient consumption. This analytical method will help to meet the market demand through quick quality control test of Atropine Ophthalmic Solution and it is very easy for maintaining (GDP) good documentation practices within the shortest period of time. Method: HPLC method has been selected for developing superior method to Compendial method. Both the compendial HPLC method and developed HPLC method was run into the same HPLC system to prove the superiority of developed method. Sensitivity, precision, reproducibility, accuracy parameters were considered for superiority of method. Mobile phase ratio change, pH of buffer solution, change of stationary phase temperature, change of flow rate and change of column were taken into consideration for robustness study of the developed method. Results: The limit of quantitation (LOQ) of developed method was much low than the compendial method. The % RSD for the six sample assay of developed method was 0.4% where the % RSD of the compendial method was 1.2%. The reproducibility between two analysts was 100.4% for developed method on the contrary the compendial method was 98.4%.