Search results for: stochastic lead time

Authors: Zdravka Aljinović, Branka Marasović, Blanka Škrabić

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The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.

Keywords: the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market.

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Authors: Jonathan H. Perez, Fumihiko Tanaka, Daisuke Hamanaka, Toshitaka Uchino

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A finite element analysis was conducted to determine the effect of moisture diffusion and hygroscopic swelling in rice. A parallel simple stochastic modeling was performed to predict the number of grains cracked as a result of moisture absorption and hygroscopic swelling. Rice grains were soaked in thermally (25 oC) controlled water and then tested for compressive stress. The destructive compressive stress tests revealed through compressive stress calculation that the peak force required to cause cracking in grains soaked in water reduced with time as soaking duration was extended. Results of the experiment showed that several grains had their value of the predicted compressive stress below the von Mises stress and were interpreted as grains which become cracked and/or broke during soaking. The technique developed in this experiment will facilitate the approximation of the number of grains which will crack during soaking.

Keywords: Cracking, Finite element analysis, hygroscopic swelling, moisture diffusion, von Mises stress.

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Authors: Yan Shuang Zhang, Taehan Lee, Byung Ho Jeong

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A DEA model can generally evaluate the performance using multiple inputs and outputs for the same period. However, it is hard to avoid the production lead time phenomenon some times, such as long-term project or marketing activity. A couple of models have been suggested to capture this time lag issue in the context of DEA. This paper develops a dual-MPO model to deal with time lag effect in evaluating efficiency. A numerical example is also given to show that the proposed model can be used to get efficiency and reference set of inefficient DMUs and to obtain projected target value of input attributes for inefficient DMUs to be efficient.

Keywords: DEA, efficiency, time lag, dual problem.

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Authors: Yanshuang Zhang, Byungho Jeong

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Data Envelopment Analysis (DEA) is a methodology that computes efficiency values for decision making units (DMU) in a given period by comparing the outputs with the inputs. In many cases, there are some time lag between the consumption of inputs and the production of outputs. For a long-term research project, it is hard to avoid the production lead time phenomenon. This time lag effect should be considered in evaluating the performance of organizations. This paper suggests a model to calculate efficiency values for the performance evaluation problem with time lag. In the experimental part, the proposed methods are compared with the CCR and an existing time lag model using the data set of the 21st century frontier R&D program which is a long-term national R&D program of Korea.

Keywords: DEA, Efficiency, Time Lag

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Authors: Tamás Hartványi, Ferenc Tóth

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European telecommunication distribution center performance is measured by service lead time and quality. Operation model is CTO (customized to order) namely, a high mix customization of telecommunication network equipment and parts. CTO operation contains material receiving, warehousing, network and server assembly to order and configure based on customer specifications. Variety of the product and orders does not support mass production structure. One of the success factors to satisfy customer is to have a proper aggregated planning method for the operation in order to have optimized human resources and highly efficient asset utilization. Research will investigate several methods and find proper way to have an order book simulation where practical optimization problem may contain thousands of variables and the simulation running times of developed algorithms were taken into account with high importance. There are two operation research models that were developed, customer demand is given in orders, no change over time, customer demands are given for product types, and changeover time is constant.

Keywords: CTO, aggregated planning, demand simulation, changeover time.

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Authors: Fariba Tadayon, Elmira Hassanlou, Hasan Bagheri, Mostafa Jafarian

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Heavy metals are released into water, plants, soil, and food by natural and human activities. Lead has toxic roles in the human body and may cause serious problems even in low concentrations, since it may have several adverse effects on human. Therefore, determination of lead in different samples is an important procedure in the studies of environmental pollution. In this work, an ultrasonic assisted-ionic liquid based-liquid-liquid microextraction (UA-IL-DLLME) procedure for the determination of lead in zucchini, pomegranate, and lettuce has been established and developed by using flame atomic absorption spectrometer (FAAS). For UA-IL-DLLME procedure, 10 mL of the sample solution containing Pb2+ was adjusted to pH=5 in a glass test tube with a conical bottom; then, 120 μL of 1-Hexyl-3-methylimidazolium hexafluoro phosphate (CMIM)(PF6) was rapidly injected into the sample solution with a microsyringe. After that, the resulting cloudy mixture was treated by ultrasonic for 5 min, then the separation of two phases was obtained by centrifugation for 5 min at 3000 rpm and IL-phase diluted with 1 cc ethanol, and the analytes were determined by FAAS. The effect of different experimental parameters in the extraction step including: ionic liquid volume, sonication time and pH was studied and optimized simultaneously by using Response Surface Methodology (RSM) employing a central composite design (CCD). The optimal conditions were determined to be an ionic liquid volume of 120 μL, sonication time of 5 min, and pH=5. The linear ranges of the calibration curve for the determination by FAAS of lead were 0.1-4 ppm with R2=0.992. Under optimized conditions, the limit of detection (LOD) for lead was 0.062 μg.mL-1, the enrichment factor (EF) was 93, and the relative standard deviation (RSD) for lead was calculated as 2.29%. The levels of lead for pomegranate, zucchini, and lettuce were calculated as 2.88 μg.g-1, 1.54 μg.g-1, 2.18 μg.g-1, respectively. Therefore, this method has been successfully applied for the analysis of the content of lead in different food samples by FAAS.

Keywords: Dispersive liquid-liquid microextraction, Central composite design, Food samples, Flame atomic absorption spectrometry.

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Authors: Tahmine. V. Moghaddam, N. Bigdeli, K. Afshar

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To achieve the desired specifications of gain and phase margins for plants with time-delay that stabilized with FO-PID controller a lead compensator is designed. At first the range of controlled system stability based on stability boundary criteria is determined. Using stability boundary locus method in frequency domain the fractional order controller parameters are tuned and then with drawing bode diagram in frequency domain accessing to desired gain and phase margin are shown. Numerical examples are given to illustrate the shapes of the stabilizing region and to show the design procedure.

Keywords: Fractional controller, Lead compensator, Stabilityregions, Stability boundary locus

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Authors: Hassan Manouzi

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We present in this paper a useful strategy to solve stochastic partial differential equations (SPDEs) involving stochastic coefficients. Using the Wick-product of higher order and the Wiener-Itˆo chaos expansion, the SPDEs is reformulated as a large system of deterministic partial differential equations. To reduce the computational complexity of this system, we shall use a decomposition-coordination method. To obtain the chaos coefficients in the corresponding deterministic equations, we use a least square formulation. Once this approximation is performed, the statistics of the numerical solution can be easily evaluated.

Keywords: Least squares, Wick product, SPDEs, finite element, Wiener chaos expansion, gradient method.

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Authors: Ashwin Belle, Bryce Benson, Mark Salamango, Fadi Islim, Rodney Daniels, Kevin Ward

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A reliable, real-time, and non-invasive system that can identify patients at risk for hemodynamic instability is needed to aid clinicians in their efforts to anticipate patient deterioration and initiate early interventions. The purpose of this pilot study was to explore the clinical capabilities of a real-time analytic from a single lead of an electrocardiograph to correctly distinguish between rapid response team (RRT) activations due to hemodynamic (H-RRT) and non-hemodynamic (NH-RRT) causes, as well as predict H-RRT cases with actionable lead times. The study consisted of a single center, retrospective cohort of 21 patients with RRT activations from step-down and telemetry units. Through electronic health record review and blinded to the analytic’s output, each patient was categorized by clinicians into H-RRT and NH-RRT cases. The analytic output and the categorization were compared. The prediction lead time prior to the RRT call was calculated. The analytic correctly distinguished between H-RRT and NH-RRT cases with 100% accuracy, demonstrating 100% positive and negative predictive values, and 100% sensitivity and specificity. In H-RRT cases, the analytic detected hemodynamic deterioration with a median lead time of 9.5 hours prior to the RRT call (range 14 minutes to 52 hours). The study demonstrates that an electrocardiogram (ECG) based analytic has the potential for providing clinical decision and monitoring support for caregivers to identify at risk patients within a clinically relevant timeframe allowing for increased vigilance and early interventional support to reduce the chances of continued patient deterioration.

Keywords: Critical care, early warning systems, emergency medicine, heart rate variability, hemodynamic instability, rapid response team.

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Authors: Jihad S. Daba (Jean-Pierre Dubois), Philip Jreije

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Speckled images arise when coherent microwave, optical, and acoustic imaging techniques are used to image an object, surface or scene. Examples of coherent imaging systems include synthetic aperture radar, laser imaging systems, imaging sonar systems, and medical ultrasound systems. Speckle noise is a form of object or target induced noise that results when the surface of the object is Rayleigh rough compared to the wavelength of the illuminating radiation. Detection and estimation in images corrupted by speckle noise is complicated by the nature of the noise and is not as straightforward as detection and estimation in additive noise. In this work, we derive stochastic models for speckle noise, with an emphasis on speckle as it arises in medical ultrasound images. The motivation for this work is the problem of segmentation and tissue classification using ultrasound imaging. Modeling of speckle in this context involves partially developed speckle model where an underlying Poisson point process modulates a Gram-Charlier series of Laguerre weighted exponential functions, resulting in a doubly stochastic filtered Poisson point process. The statistical distribution of partially developed speckle is derived in a closed canonical form. It is observed that as the mean number of scatterers in a resolution cell is increased, the probability density function approaches an exponential distribution. This is consistent with fully developed speckle noise as demonstrated by the Central Limit theorem.

Keywords: Doubly stochastic filtered process, Poisson point process, segmentation, speckle, ultrasound

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Authors: S. Suren, U. Pancharoen

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A double module hollow fiber supported liquid membrane (HFSLM) was applied to selectively separate lead and mercury ions from dilute synthetic produced water. The experiments were investigated on several variables: types of extractants (D2EHPA, Cyanex 471, Aliquat 336, and TOA), concentration of the selected extractant and operating time. The results clearly showed that the double module HFSLM could selectively separate Pb(II) and Hg(II) in feed solution at a very low concentration to less than the regulatory discharge limit of 0.2 and 0.005 mg/L issued by the Ministry of Industry and the Ministry of Natural Resource Environment, Thailand. The highest extractions of lead and mercury ions from synthetic produced water were 96% and 100% using 0.03 M D2EHPA and 0.06 M Aliquat 336 as the extractant for the first and second modules.

Keywords: Hollow fiber, Lead ions, Liquid membrane, Mercury ions, Selective separation

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Authors: Rosita Suhaimi, Firdaus Abdullah, Chong Fen Nee, Nurhani Aba Ibrahim

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This paper attempts to identify the significance of Information and Communications Technology (ICT) and competitiveness to the profit efficiency of commercial banks in Malaysia. The profit efficiency of commercial banks in Malaysia, the dependent variable, was estimated using the Stochastic Frontier Approach (SFA) on a sample of unbalanced panel data, covering 23 commercial banks, between 1995 to 2007. Based on the empirical results, ICT was not found to exert a significant impact on profit efficiency, whereas competitiveness, non ICT stock expenditure and ownership were significant contributors. On the other hand, the size of banks was found to have significantly reduced profit efficiency, opening up for various interpretations of the interrelated role of ICT and competition.

Keywords: Competitiveness, Profit Efficiency, Stochastic Frontier Analysis

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Authors: Edikan E. Akpanibah Obinichi C. Mandah Imoleayo S. Asiwaju

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In this paper, we studied the effect of supplementary premium on the optimal portfolio policy in a defined contribution (DC) pension scheme with refund of premium clauses. This refund clause allows death members’ next of kin to withdraw their relative’s accumulated wealth during the accumulation period. The supplementary premium is to help sustain the scheme and is assumed to be stochastic. We considered cases when the remaining wealth is equally distributed and when it is not equally distributed among the remaining members. Next, we considered investments in cash and equity to help increase the remaining accumulated funds to meet up with the retirement needs of the remaining members and composed the problem as a continuous time mean-variance stochastic optimal control problem using the actuarial symbol and established an optimization problem from the extended Hamilton Jacobi Bellman equations. The optimal portfolio policy, the corresponding optimal fund size for the two assets and also the efficient frontier of the pension members for the two cases was obtained. Furthermore, the numerical simulations of the optimal portfolio policies with time were presented and the effect of the supplementary premium on the optimal portfolio policy was discussed and observed that the supplementary premium decreases the optimal portfolio policy of the risky asset (equity). Secondly we observed a disparity between the optimal policies for the two cases.

Keywords: Defined contribution pension scheme, extended Hamilton Jacobi Bellman equations, optimal portfolio policies, refund of premium clauses, supplementary premium.

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Authors: Salinee Thumronglaohapun

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The proper number and appropriate locations of service centers can save cost, raise revenue and gain more satisfaction from customers. Establishing service centers is high-cost and difficult to relocate. In long-term planning periods, several factors may affect the service. One of the most critical factors is uncertain demand of customers. The opened service centers need to be capable of serving customers and making a profit although the demand in each period is changed. In this work, the capacitated location-allocation problem with stochastic demand is considered. A mathematical model is formulated to determine suitable locations of service centers and their allocation to maximize total profit for multiple planning periods. Two heuristic methods, a local search and genetic algorithm, are used to solve this problem. For the local search, five different chances to choose each type of moves are applied. For the genetic algorithm, three different replacement strategies are considered. The results of applying each method to solve numerical examples are compared. Both methods reach to the same best found solution in most examples but the genetic algorithm provides better solutions in some cases.

Keywords: Location-allocation problem, stochastic demand, local search, genetic algorithm.

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Authors: Yucai Ding, Hong Zhu, Shouming Zhong, Yuping Zhang

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This paper considers ­H∞ performance for Markovian jump systems with Time-varying delays. The systems under consideration involve disturbance signal, Markovian switching and timevarying delays. By using a new Lyapunov-Krasovskii functional and a convex optimization approach, a delay-dependent stability condition in terms of linear matrix inequality (LMI) is addressed, which guarantee asymptotical stability in mean square and a prescribed ­H∞ performance index for the considered systems. Two numerical examples are given to illustrate the effectiveness and the less conservatism of the proposed main results. All these results are expected to be of use in the study of stochastic systems with time-varying delays.

Keywords: ­H∞ performance, Markovian switching, Delaydependent stability, Linear matrix inequality (LMI)

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Authors: Aliaa M. El-Borai, Ehab A. Beltagy, Eman E. Gadallah, Samy A. ElAssar

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Bioremediation technology is now used for treatment instead of traditional metal removal methods. A strain was isolated from Marsa Alam, Red sea, Egypt showed high resistance to high lead concentration and was identified by the 16S rRNA gene sequencing technique as Halomonas sp. ES015. Medium optimization was carried out using Plackett-Burman design, and the most significant factors were yeast extract, casamino acid and inoculums size. The optimized media obtained by the statistical design raised the removal efficiency from 84% to 99% from initial concentration 250 ppm of lead. Moreover, Box-Behnken experimental design was applied to study the relationship between yeast extract concentration, casamino acid concentration and inoculums size. The optimized medium increased removal efficiency to 97% from initial concentration 500 ppm of lead. Immobilized Halomonas sp. ES015 cells on sponge cubes, using optimized medium in loop bioremediation column, showed relatively constant lead removal efficiency when reused six successive cycles over the range of time interval. Also metal removal efficiency was not affected by flow rate changes. Finally, the results of this research refer to the possibility of lead bioremediation by free or immobilized cells of Halomonas sp. ES015. Also, bioremediation can be done in batch cultures and semicontinuous cultures using column technology.

Keywords: Bioremediation, lead, Box–Behnken, Halomonas sp. ES015, loop bioremediation, Plackett-Burman.

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Authors: Hacene Benkhoula, Mohamed Badreddine Benabdella, Hamid Bouzeboudja, Abderrahmane Asraoui

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The wind is a random variable difficult to master, for this, we developed a mathematical and statistical methods enable to modeling and forecast wind power. Gaussian Processes (GP) is one of the most widely used families of stochastic processes for modeling dependent data observed over time, or space or time and space. GP is an underlying process formed by unrecognized operator’s uses to solve a problem. The purpose of this paper is to present how to forecast wind power by using the GP. The Gaussian process method for forecasting are presented. To validate the presented approach, a simulation under the MATLAB environment has been given.

Keywords: Forecasting, Gaussian process, modeling, wind power.

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Authors: András Király, Tamás Varga, János Abonyi

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Since supply chains highly impact the financial performance of companies, it is important to optimize and analyze their Key Performance Indicators (KPI). The synergistic combination of Particle Swarm Optimization (PSO) and Monte Carlo simulation is applied to determine the optimal reorder point of warehouses in supply chains. The goal of the optimization is the minimization of the objective function calculated as the linear combination of holding and order costs. The required values of service levels of the warehouses represent non-linear constraints in the PSO. The results illustrate that the developed stochastic simulator and optimization tool is flexible enough to handle complex situations.

Keywords: stochastic processes, empirical distributions, Monte Carlo simulation, PSO, supply chain management

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Authors: Nicolò Vaiana, Giorgio Serino

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The nonlinear time history analysis of seismically base-isolated structures can require a significant computational effort when the behavior of each seismic isolator is predicted by adopting the widely used differential equation Bouc-Wen model. In this paper, a nonlinear exponential model, able to simulate the response of seismic isolation bearings within a relatively large displacements range, is described and adopted in order to reduce the numerical computations and speed up the nonlinear dynamic analysis. Compared to the Bouc-Wen model, the proposed one does not require the numerical solution of a nonlinear differential equation for each time step of the analysis. The seismic response of a 3d base-isolated structure with a lead rubber bearing system subjected to harmonic earthquake excitation is simulated by modeling each isolator using the proposed analytical model. The comparison of the numerical results and computational time with those obtained by modeling the lead rubber bearings using the Bouc-Wen model demonstrates the good accuracy of the proposed model and its capability to reduce significantly the computational effort of the analysis.

Keywords: Base isolation, computational efficiency, nonlinear exponential model, nonlinear time history analysis.

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Authors: Ho Yuan-Hong, Hunag Chiung-Ju

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This study conducts simulation analyses to find the optimal debt ceiling of Taiwan, while factoring in welfare maximization under a dynamic stochastic general equilibrium framework. The simulation is based on Taiwan's 2001 to 2011 economic data and shows that welfare is maximized at a debt/GDP ratio of 0.2, increases in the debt/GDP ratio leads to increases in both tax and interest rates and decreases in the consumption ratio and working hours. The study results indicate that the optimal debt ceiling of Taiwan is 20% of GDP, where if the debt/GDP ratio is greater than 40%, the welfare will be negative and result in welfare loss.

Keywords: Debt sustainability, optimal debt ceiling, dynamic stochastic general equilibrium, welfare maximization.

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Authors: Akbar Banitalebi, Mohd Ismail Abd Aziz, Rohanin Ahmad

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A new stochastic algorithm called Probabilistic Global Search Johor (PGSJ) has recently been established for global optimization of nonconvex real valued problems on finite dimensional Euclidean space. In this paper we present convergence guarantee for this algorithm in probabilistic sense without imposing any more condition. Then, we jointly utilize this algorithm along with control parameterization technique for the solution of constrained optimal control problem. The numerical simulations are also included to illustrate the efficiency and effectiveness of the PGSJ algorithm in the solution of control problems.

Keywords: Optimal Control Problem, Constraints, Direct Methods, Stochastic Algorithm

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Authors: A. A. K. Abou-Arab, M. A. Abou Donia, A. K. Enab

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Lead is among the heavy metals and it is one of the highly toxic metals, recognized in most countries. This metal accumulates in animal organs as liver and kidney. The present investigation provides the concentrations of lead in cow's meat and different animal organs collected from three Egyptian environments. The results revealed that lead levels in muscle, liver, kidney, spleen and heart in industrial areas were higher than those detected in the same organs of other two areas (heavy traffic and rural), which recorded mean values of 3.0091, 1.7070, 1.8609, 0.6401 and 0.5332 mg/kg, respectively, followed by traffic areas, 2.9166, 1.4443, 1.6967, 0.4042 and 0.4103 mg/kg, respectively. The corresponding values of rural areas were 1.8895, 0.9550, 0.9117, 0.3215 and 0.2856 mg/kg, in the same order. It could be recommended that monitoring and evaluation of lead levels in meat at regular intervals are very important.

Keywords: Heavy metals, lead, meats, organs, liver, kidney, spleen, heart, environments.

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Authors: M. A. Abou Donia, A. A. K. Abou-Arab, Nevin E. Sharaf, A. K. Enab, Sherif R. Mohamed

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Lead (Pb) poisoning is one of the most common and preventable environmental health problems. There are different sources of environmental pollution with lead as lead alkyl additives in petrol and manufacturing processes. Pb in the atmosphere can be deposited in urban soils, and may then be re-suspended to re-enter the atmosphere. This could increase human exposure to Pb and cause long-term health effects. Thus, monitoring Pb pollution is considered one of the major tasks in controlling pollution. Scalp hair can be utilized for the determination of lead (Pb) concentration. It provides a lasting record of metal intakes of weeks or even months, and for most metals, their accumulation in hair reflects their accumulation in the whole body. This work was conducted to investigate the concentration of lead in male scalp hair of Cairo (residential-traffic and residential-industrial) and rural residents after twenty years of phasing out of leaded gasoline. Results indicated that the mean concentration of lead in hair of residential-traffic (9.7552 μg/g ±0.71) and residential-industrial (12.3288 μg/g ±1.13) was significantly higher than that in rural residents (4.7327 μg/g ±0.67). The mean concentration of lead in hair of resident’s industrial areas was the highest among Cairo residents and not the traffic areas as it was before phasing out of leaded gasoline. Twenty years of phasing out of leaded gasoline in Cairo has greatly improved the lead pollution among residents of traffic areas, but industrial areas residents were still suffering from lead pollution, which needs more efforts to control the sources of lead pollution.

Keywords: Heavy metals, lead, hair, biological sample, urban pollution, rural pollution.

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Authors: Justinian Anatory, Nelson Theethayi, M. M. Kissaka, N. H. Mvungi

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Power line channel is proposed as an alternative for broadband data transmission especially in developing countries like Tanzania [1]. However the channel is affected by stochastic attenuation and deep notches which can lead to the limitation of channel capacity and achievable data rate. Various studies have characterized the channel without giving exactly the maximum performance and limitation in data transfer rate may be this is due to complexity of channel modeling being used. In this paper the channel performance of medium voltage, low voltage and indoor power line channel is presented. In the investigations orthogonal frequency division multiplexing (OFDM) with phase shift keying (PSK) as carrier modulation schemes is considered, for indoor, medium and low voltage channels with typical ten branches and also Golay coding is applied for medium voltage channel. From channels, frequency response deep notches are observed in various frequencies which can lead to reduce the achievable data rate. However, is observed that data rate up to 240Mbps is realized for a signal to noise ratio of about 50dB for indoor and low voltage channels, however for medium voltage a typical link with ten branches is affected by strong multipath and coding is required for feasible broadband data transfer.

Keywords: Powerline Communications, branched network, channel model, modulation, channel performance, OFDM.

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Authors: Xingwen Lu, Kaimin Shih

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This study investigated a strategy of blending lead-laden sludge and Al-rich precursors to reduce the release of metals from the stabilized products. Using PbO as the simulated lead-laden sludge to sinter with γ-Al2O3 by Pb:Al molar ratios of 1:2 and 1:12, PbAl2O4 and PbAl12O19 were formed as final products during the sintering process, respectively. By firing the PbO + γ-Al2O3 mixtures with different Pb/Al molar ratios at 600 to 1000 °C, the lead transformation was determined through X-ray diffraction (XRD) data. In Pb/Al molar ratio of 1/2 system, the formation of PbAl2O4 is initiated at 700 °C, but an effective formation was observed above 750 °C. An intermediate phase, Pb9Al8O21, was detected in the temperature range of 800-900 °C. However, different incorporation behavior for sintering PbO with Al-rich precursors at a Pb/Al molar ratio of 1/12 was observed during the formation of PbAl12O19 in this system. In the sintering process, both temperature and time effect on the formation of PbAl2O4 and PbAl12O19 phases were estimated. Finally, a prolonged leaching test modified from the U.S. Environmental Protection Agency-s toxicity characteristic leaching procedure (TCLP) was used to evaluate the durability of PbO, Pb9Al8O21, PbAl2O4 and PbAl12O19 phases. Comparison for the leaching results of the four phases demonstrated the higher intrinsic resistance of PbAl12O19 against acid attack.

Keywords: Sludge, Lead, Stabilization, Leaching behavior

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Authors: H. D. Ibrahim, H. C. Chinwenyi, A. H. Usman

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Valuing derivatives (options, futures, swaps, forwards, etc.) is one uneasy task in financial mathematics. The two ways this problem can be effectively resolved in finance is by the use of two methods (Martingales and Partial Differential Equations (PDEs)) to obtain their respective options price valuation formulas. This research paper examined two different stochastic financial models which are Constant Elasticity of Variance (CEV) model and Black-Karasinski term structure model. Assuming their respective option price valuation formulas, we proved the analogous of the Martingales and PDEs options price valuation formulas for the two different Stochastic Differential Equation (SDE) models. This was accomplished by using the applications of Girsanov theorem for defining an Equivalent Martingale Measure (EMM) and the Feynman-Kac theorem. The results obtained show the systematic proof for analogous of the two (Martingales and PDEs) options price valuation formulas beginning with the Martingales option price formula and arriving back at the Black-Scholes parabolic PDEs and vice versa.

Keywords: Option price valuation, Martingales, Partial Differential Equations, PDEs, Equivalent Martingale Measure, Girsanov Theorem, Feyman-Kac Theorem, European Put Option.

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Authors: M. H. M. Rusli, A. Jaffar, M. T. Ali, S. Muhamud @ Kayat

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Lean manufacturing is a production philosophy made popular by Toyota Motor Corporation (TMC). It is globally known as the Toyota Production System (TPS) and has the ultimate aim of reducing cost by thoroughly eliminating wastes or muda. TPS embraces the Just-in-time (JIT) manufacturing; achieving cost reduction through lead time reduction. JIT manufacturing can be achieved by implementing Pull system in the production. Furthermore, TPS aims to improve productivity and creating continuous flow in the production by arranging the machines and processes in cellular configurations. This is called as Cellular Manufacturing Systems (CMS). This paper studies on integrating the CMS with the Pull system to establish a Big Island-Pull system production for High Mix Low Volume (HMLV) products in an automotive component industry. The paper will use the build-in JIT system steps adapted from TMC to create the Pull system production and also create a shojinka line which, according to takt time, has the flexibility to adapt to demand changes simply by adding and taking out manpower. This will lead to optimization in production.

Keywords: Big Island layout, Lean manufacturing, Material and Information Flow Chart, Pull system production, TPS.

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Authors: S. Rozhkova, O. Rozhkova, A. Harlova, V. Lasukov

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For optimal unbiased filter as mean-square and in the case of functioning anomalous noises in the observation memory channel, we have proved insensitivity of filter to inaccurate knowledge of the anomalous noise intensity matrix and its equivalence to truncated filter plotted only by non anomalous components of an observation vector.

Keywords: Mathematical expectation, filtration, anomalous noise, memory.

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Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma

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An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.

Keywords: Option price valuation, Partial Differential Equations, Black-Scholes PDEs, Ito process.

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Authors: J. Ramírez-Ortiz, J. Núñez Monreal

Abstract:

Due to the growth of the urban area towards lands contaminated with ancient tails, in this work we evaluated if the leaching with calcium thiosulfate (CaS2O3) for the recovery of silver, gold and mercury from this soil, also dissolves arsenic, cadmium and lead; for this, we determined their quantity per each fraction of size of particle of the soil before and after the dissolution. Half of the soil samples were leached in the plant Beneficiadora de Jales del Centro, S. A. de C.V. and the rest of them remained in the laboratory. The ICP-OES technique was used to determine the amounts of arsenic, cadmium and lead, in the samples of both lots. The soil samples were collected in a neighboring area at El Lampotal, Vetagrande, Zacatecas, México, with an extension of 600 m2 at 22º52' 37.69'' N, 102º25' 11.73'' W. The amount of arsenic, cadmium and lead found in nonleached soil and for a particle size of 47 μm was 203.72±3.73, 33.63±1.31 and 3480.99±20.4 mg/kg respectively.

Keywords: Arsenic, Cadmium, Lead, Soil, Tails.

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