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Search Results: 1 - 10 of 11406 matches for " Huyen Cao "
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On the smooth-fit property for one-dimensional optimal switching problem
Huyen Pham
Mathematics , 2004,
Abstract: This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational inequa-lities, and the state space is divided into continuation regions and switching regions. By means of viscosity solutions approach, we prove the smoot-fit $C^1$ property of the value functions.
Some applications and methods of large deviations in finance and insurance
Huyen Pham
Mathematics , 2007,
Abstract: In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer's theorem and give en extension to an insurance model with investment in stock market. We then describe how large deviation approximation and importance sampling are used in rare event simulation for option pricing. We finally focus on large deviations methods in risk management for the estimation of large portfolio losses in credit risk and portfolio performance in market investment.
On some recent aspects of stochastic control and their applications
Huyen Pham
Mathematics , 2005, DOI: 10.1214/154957805100000195
Abstract: This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with viscosity solutions and backward stochastic differential equations. Some original proofs are presented in a unifying context including degenerate singular control problems. We emphasize key results on characterization of optimal control for diffusion processes, with a view towards applications. Some examples in finance are detailed with their explicit solutions. We also discuss numerical issues and open questions.
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
Huyen Pham
Mathematics , 2010,
Abstract: We formulate and investigate a general stochastic control problem under a progressive enlargement of filtration. The global information is enlarged from a reference filtration and the knowledge of multiple random times together with associated marks when they occur. By working under a density hypothesis on the conditional joint distribution of the random times and marks, we prove a decomposition of the original stochastic control problem under the global filtration into classical stochastic control problems under the reference filtration, which are determined in a finite backward induction. Our method revisits and extends in particular stochastic control of diffusion processes with finite number of jumps. This study is motivated by optimization problems arising in default risk management, and we provide applications of our decomposition result for the indifference pricing of defaultable claims, and the optimal investment under bilateral counterparty risk. The solutions are expressed in terms of BSDEs involving only Brownian filtration, and remarkably without jump terms coming from the default times and marks in the global filtration.
Feynman-Kac representation of fully nonlinear PDEs and applications
Huyen Pham
Mathematics , 2014,
Abstract: The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion. It gives then a method for solving linear PDEs by Monte Carlo simulations of random processes. The extension to (fully)nonlinear PDEs led in the recent years to important developments in stochastic analysis and the emergence of the theory of backward stochastic differential equations (BSDEs), which can be viewed as nonlinear Feynman-Kac formulas. We review in this paper the main ideas and results in this area, and present implications of these probabilistic representations for the numerical resolution of nonlinear PDEs, together with some applications to stochastic control problems and model uncertainty in finance.
Long time asymptotics for optimal investment
Huyen Pham
Quantitative Finance , 2014,
Abstract: This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as large deviations control pro\-blems, that we solve by duality method leading to ergodic risk-sensitive portfolio optimization problems. Special emphasis is placed on linear factor models where explicit solutions are obtained.
TGF-β and IL-10 Production by HIV-Specific CD8+ T Cells Is Regulated by CTLA-4 Signaling on CD4+ T Cells
Mohamed Elrefaei,Candace M. Burke,Chris A. R. Baker,Norman G. Jones,Stephanie Bousheri,David R. Bangsberg,Huyen Cao
PLOS ONE , 2012, DOI: 10.1371/journal.pone.0008194
Abstract: Immune dysregulation in HIV-1 infection is associated with increased expression of inhibitory molecules such as CTLA-4, TGF-β, and IL-10. In this study we examined one potential mechanism for regulating TGF-β and IL-10 expression by HIV-specific suppressor CD8+ T cells. No overlap between TGF-β, IL-10, and IFN-γ cytokine production by HIV-specific CD8+ T cells was observed. TGF-β positive and IL-10 positive cells were FOXP3 negative, CD25 negative, and displayed a heterogeneous surface expression of CD127. TGF-β and IL-10 positive CD8+ T cells did not express CTLA-4. Nevertheless, CTLA-4 blockade resulted in a significant decrease in HIV-specific TGF-β positive and IL-10 positive CD8+ T cell responses, and a concomitant increase in HIV-specific IFN-γ positive CD8+ T cell responses. Depletion of CD4+ T cells abrogated the impact of CTLA-4 on HIV-specific TGF-β positive and IL-10 positive CD8+ T cells. Our study suggests that CTLA-4 Signaling on CD4+ T cells regulates the inhibitory functions of the HIV-specific suppressor CD8+ T cells.
Bronchoalveolar Lavage Enzyme-Linked Immunospot for Diagnosis of Smear-Negative Tuberculosis in HIV-Infected Patients
Adithya Cattamanchi, Isaac Ssewenyana, Rose Nabatanzi, Cecily R. Miller, Saskia Den Boon, J. Lucian Davis, Alfred Andama, William Worodria, Samuel D. Yoo, Huyen Cao, Laurence Huang
PLOS ONE , 2012, DOI: 10.1371/journal.pone.0039838
Abstract: Background Peripheral blood interferon-gamma release assays (IGRAs) have sub-optimal sensitivity and specificity for diagnosis of active pulmonary tuberculosis (TB). However, assessment of local immune responses has been reported to improve the accuracy of TB diagnosis. Methods We enrolled HIV-infected adults with cough ≥2 weeks’ duration admitted to Mulago Hospital in Kampala, Uganda and referred for bronchoscopy following two negative sputum acid-fast bacillus smears. We performed an ELISPOT-based IGRA (T-SPOT.TB?, Oxford Immunotec, Oxford, UK) using peripheral blood and bronchoalveolar lavage (BAL) fluid mononuclear cells, and determined the accuracy of IGRAs using mycobacterial culture results as a reference standard. Results 94 HIV-infected patients with paired peripheral blood and BAL IGRA results were included. The study population was young (median age 34 years [IQR 28–40 years]) and had advanced HIV/AIDS (median CD4+ T-lymphocyte count 60 cells/μl [IQR 22–200 cells/μl]). The proportion of indeterminate IGRA results was higher in BAL fluid than in peripheral blood specimens (34% vs. 14%, difference 20%, 95% CI 7–33%, p = 0.002). BAL IGRA had moderate sensitivity (73%, 95% CI 50–89%) but poor specificity (48%, 95% CI 32–64%) for TB diagnosis. Sensitivity was similar (75%, 95% CI 57–89%) and specificity was higher (78%, 95% CI 63–88%) when IGRA was performed on peripheral blood. Conclusions BAL IGRA performed poorly for the diagnosis of smear-negative TB in a high HIV/TB burden setting. Further studies are needed to examine reasons for the large proportion of indeterminate results and low specificity of BAL IGRA for active TB in high HIV/TB burden settings.
High T-cell immune activation and immune exhaustion among individuals with suboptimal CD4 recovery after 4 years of antiretroviral therapy in an African cohort
Damalie Nakanjako, Isaac Ssewanyana, Harriet Mayanja-Kizza, Agnes Kiragga, Robert Colebunders, Yukari C Manabe, Rose Nabatanzi, Moses R Kamya, Huyen Cao
BMC Infectious Diseases , 2011, DOI: 10.1186/1471-2334-11-43
Abstract: T-cell activation (CD38+HLA-DR+) and immune exhaustion (PD-1+) were measured in a prospective cohort of patients initiated on ART; 128 patient samples were evaluated and subcategorized by CD4 reconstitution after long-term suppressive treatment: Suboptimal [median CD4 count increase 129 (-43-199) cells/μl], N = 34 ], optimal [282 (200-415) cells/μl, N = 64] and super-optimal [528 (416-878) cells/μl, N = 30].Both CD4+ and CD8 T-cell activation was significantly higher among suboptimal CD4 T-cell responders compared to super-optimal responders. In a multivariate model, CD4+CD38+HLADR+ T-cells were associated with suboptimal CD4 reconstitution [AOR, 5.7 (95% CI, 1.4-23, P = 0.014)]. T-cell exhaustion (CD4+PD1+ and CD8+PD1+) was higher among suboptimal relative to optimal (P < 0.001) and super-optimal responders (P < 0.001). T-cell exhaustion was significantly associated with suboptimal responders [AOR, 1.5 (95%CI, 1.1-2.1), P = 0.022].T-cell activation and exhaustion persist among HIV-infected patients despite long-term, sustained HIV-RNA viral suppression. These immune abnormalities were associated with suboptimal CD4 reconstitution and their regulation may modify immune recovery among suboptimal responders to ART.Although antiretroviral therapy (ART) partially corrects immune dysfunction associated with HIV infection, abnormalities of immune activation markers persist in many patients [1-3]. ART reduces the levels of T-cell activation by mechanisms independent of viral load [1-3]. Nevertheless, immune activation (as measured by expression of HLA-DR and CD38 on monocytes and T-cells) remained significantly higher among HIV-infected patients relative to the HIV-negative controls one year after viral suppression [4].Up to 40% of individuals receiving ART have suboptimal CD4 T-cell recovery despite sustained HIV-RNA viral suppression [5-7]. HIV-RNA viremia and T-cell immune activation have been previously shown to be strong predictors of HIV disease progression [8]. In c
Role of interferon-gamma release assays in the diagnosis of pulmonary tuberculosis in patients with advanced HIV infection
Adithya Cattamanchi, Isaac Ssewenyana, J Lucian Davis, Laurence Huang, William Worodria, Saskia den Boon, Samuel Yoo, Alfred Andama, Philip C Hopewell, Huyen Cao
BMC Infectious Diseases , 2010, DOI: 10.1186/1471-2334-10-75
Abstract: We enrolled HIV-infected patients admitted to Mulago Hospital in Kampala, Uganda with cough ≥ 2 weeks. All patients underwent standard medical evaluation. We collected peripheral blood specimens at enrollment and performed a commercial, ELISPOT-based IGRA according to the manufacturer's recommendations. IGRA sensitivity and specificity were determined using mycobacterial culture results as the reference standard.Overall, 236 patients were enrolled. The median CD4+ T-lymphocyte count was 49 cells/μl and 126 (53%) patients were diagnosed with active pulmonary tuberculosis. IGRAs were not performed in 24 (10%) patients due to insufficient mononuclear cell counts. In the remaining 212 patients, results were indeterminate in 54 (25%). IGRAs were positive in 95 of 158 (60%) patients with interpretable results. The proportion of positive test results was similar across CD4+ count strata. IGRA sensitivity was 73% and specificity 54%. IGRA results did not meaningfully alter the probability of active tuberculosis in patients with negative sputum smears.An ELISPOT-based IGRA detected a high prevalence of latent tuberculosis infection in a hospitalized population of tuberculosis suspects with advanced HIV/AIDS but had limited utility for diagnosis of active tuberculosis in a high prevalence setting. Further research is needed to identify stronger and more specific immune responses in patients with active tuberculosis.T-cell interferon-gamma release assays (IGRAs) measure interferon-gamma release by sensitized T-lymphocytes stimulated with Mycobacterium tuberculosis (M. TB)-specific antigens. Though IGRAs are highly accurate for diagnosis of latent tuberculosis infection (LTBI) [1], their use as a diagnostic tool for active tuberculosis (TB) poses several challenges. IGRAs measure the host immune response to M. TB rather than the presence or absence of the organism in clinical specimens. In addition, IGRAs cannot distinguish an immune response to current active TB from an immune
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