We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family P of possible physical measures. A robust notion NA1(P) of no-arbitrage of the first kind is introduced; it postulates that a nonnegative, nonvanishing claim cannot be superhedged for free by using simple trading strategies. Our first main result is a version of the fundamen...

In industrial continuous cooking systems, yields are seldom measured online. In this study, profiles for lignin, carbohydrates and total yield are constructed using physical model. The yield profiles are utilized for two kinds of digesters: conventional and Downflow Lo-Solids cooking processes. The total yield is also predicted using fuzzy clustering model. Copyright c ° IFAC2005

A continuous-time Markov process (CTMP) is a collection of variables indexed by a continuous quantity, time. It obeys the Markov property that the distribution over a future variable is independent of past variables given the state at the present time. We introduce continuous-time Markov process representations and algorithms for filtering, smoothing, expected sufficient statistics calculations...

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The multivariate regression function estimation is an important problem which has been extensively treated for discrete time processes. It is well-known from (11) that the additive regression models bring out a solution to the problem of the curse of dimensionality in nonparametric multivariate regression estimation, which is characterized by a loss in the rate of convergence of the regression ...

The continuous fermentation processes involving yeast Saccharomyces cerevisiae or bacterium Zymomonas mobilis often exhibit oscillatory behavior. Because, the oscillatory mode of operation may lead to higher or lower average ethanol concentrations, hence, there is a natural need to control this behavior. The idea presented in this paper is based on the use of a mixture of two substrates that ar...

Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generaliz...