On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples

We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a non-deterministic and time inhomogeneous compensator. The BSDE generator function can be non convex and needs not to satisfy global Lipschitz conditions in the jump integrand. We contribute concrete criteria, that are easy to verify, for results on existence and uniqueness of bounded solutions to BSDEs with jumps, and on comparison and a-priori $L^{\infty}$-bounds. Several examples and counter examples are discussed to shed light on the scope and applicability of different assumptions, and we provide an overview of major applications in finance and optimal control.Comment: 28 pages. Added DOI https://link.springer.com/chapter/10.1007%2F978-3-030-22285-7_1 for final publication, corrected typo (missing gamma) in example 4.1

Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem

In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximization problem. Three cases of utility functions will be discussed: the exponential, power and logarithmic ones

Precise 3D track reconstruction algorithm for the ICARUS T600 liquid argon time projection chamber detector

Liquid Argon Time Projection Chamber (LAr TPC) detectors offer charged particle imaging capability with remarkable spatial resolution. Precise event reconstruction procedures are critical in order to fully exploit the potential of this technology. In this paper we present a new, general approach of three-dimensional reconstruction for the LAr TPC with a practical application to track reconstruction. The efficiency of the method is evaluated on a sample of simulated tracks. We present also the application of the method to the analysis of real data tracks collected during the ICARUS T600 detector operation with the CNGS neutrino beam.Comment: Submitted to Advances in High Energy Physic

The Opportunity Process for Optimal Consumption and Investment with Power Utility

We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value process of the resulting stochastic control problem. We show how the opportunity process describes the key objects: optimal strategy, value function, and dual problem. The results are applied to obtain monotonicity properties of the optimal consumption.Comment: 24 pages, forthcoming in 'Mathematics and Financial Economics

Effects of technetium on marine micro-organisms

Eleven bacterial species have been isolated from the upper layer of intertidal sediments collected along the Belgian coast (Coxyde). Three of them (no. 1, 4 and 11) have been chosen for their halophilous character. One species has been identified as Flavobacterium halmephilum, the other two are being investigated. Effects of technetium (99Tc) have been studied on a mixed bacterial population isolated from sediments, as well as on the three halophilic species.At the concentrations utilized in this work (up to 100 microg ml-1), 99Tc has no evident effects on bacterial growth. Uptake of technetium (99Tc and/or 95mTc) has been investigated in the mixed bacterial population, in the three halophilic bacteria (including Flavobacterium halmephilum) and in the benthic ciliate Uronema marinum. It has been found that technetium is taken up by all these micro-organisms. However, the transfer factor (TF) in bacteria may vary considerably (from 0.5 to 200), but the cause of this variability is not known and deserves further study.The ciliate Uronema marinum, which feeds on living marine bacteria, was found to take up 95mTc added to the culture medium. However, the TF in this ciliate is rather low (from 1.4 to 5.5). Because it feeds on bacteria, Uronema marinum is supposed to take up technetium from water (direct contamination) as well as from contaminated bacteria (indirect contamination). Experiments with 95mTc-labeled bacterial cells might be useful, as they could indicate which form of contamination (direct or indirect) is prevailing

Search for anomalies in the {\nu}e appearance from a {\nu}{\mu} beam

We report an updated result from the ICARUS experiment on the search for {\nu}{\mu} ->{\nu}e anomalies with the CNGS beam, produced at CERN with an average energy of 20 GeV and travelling 730 km to the Gran Sasso Laboratory. The present analysis is based on a total sample of 1995 events of CNGS neutrino interactions, which corresponds to an almost doubled sample with respect to the previously published result. Four clear {\nu}e events have been visually identified over the full sample, compared with an expectation of 6.4 +- 0.9 events from conventional sources. The result is compatible with the absence of additional anomalous contributions. At 90% and 99% confidence levels the limits to possible oscillated events are 3.7 and 8.3 respectively. The corresponding limit to oscillation probability becomes consequently 3.4 x 10-3 and 7.6 x 10-3 respectively. The present result confirms, with an improved sensitivity, the early result already published by the ICARUS collaboration

A search for the analogue to Cherenkov radiation by high energy neutrinos at superluminal speeds in ICARUS

The OPERA collaboration has claimed evidence of superluminal {\nu}{_\mu} propagation between CERN and the LNGS. Cohen and Glashow argued that such neutrinos should lose energy by producing photons and e+e- pairs, through Z0 mediated processes analogous to Cherenkov radiation. In terms of the parameter delta=(v^2_nu-v^2_c)/v^2_c, the OPERA result implies delta = 5 x 10^-5. For this value of \delta a very significant deformation of the neutrino energy spectrum and an abundant production of photons and e+e- pairs should be observed at LNGS. We present an analysis based on the 2010 and part of the 2011 data sets from the ICARUS experiment, located at Gran Sasso National Laboratory and using the same neutrino beam from CERN. We find that the rates and deposited energy distributions of neutrino events in ICARUS agree with the expectations for an unperturbed spectrum of the CERN neutrino beam. Our results therefore refute a superluminal interpretation of the OPERA result according to the Cohen and Glashow prediction for a weak current analog to Cherenkov radiation. In particular no superluminal Cherenkov like e+e- pair or gamma emission event has been directly observed inside the fiducial volume of the "bubble chamber like" ICARUS TPC-LAr detector, setting the much stricter limit of delta < 2.5 10^-8 at the 90% confidence level, comparable with the one due to the observations from the SN1987A.Comment: 17 pages, 6 figure

Experimental search for the LSND anomaly with the ICARUS detector in the CNGS neutrino beam

We report an early result from the ICARUS experiment on the search for nu_mu to nu_e signal due to the LSND anomaly. The search was performed with the ICARUS T600 detector located at the Gran Sasso Laboratory, receiving CNGS neutrinos from CERN at an average energy of about 20 GeV, after a flight path of about 730 km. The LSND anomaly would manifest as an excess of nu_e events, characterized by a fast energy oscillation averaging approximately to sin^2(1.27 Dm^2_new L/ E_nu) = 1/2. The present analysis is based on 1091 neutrino events, which are about 50% of the ICARUS data collected in 2010-2011. Two clear nu_e events have been found, compared with the expectation of 3.7 +/- 0.6 events from conventional sources. Within the range of our observations, this result is compatible with the absence of a LSND anomaly. At 90% and 99% confidence levels the limits of 3.4 and 7.3 events corresponding to oscillation probabilities of 5.4 10^-3 and 1.1 10^-2 are set respectively. The result strongly limits the window of open options for the LSND anomaly to a narrow region around (Dm^2, sin^2(2 theta))_new = (0.5 eV^2, 0.005), where there is an overall agreement (90% CL) between the present ICARUS limit, the published limits of KARMEN and the published positive signals of LSND and MiniBooNE Collaborations.Comment: 10 pages, 7 figure