Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing

We introduce a method for generating (W_x,T^(m,s),m_x,T^(m,s),M_x,T^(m,s))(W_{x,T}^{(\mu,\sigma)},m_{x,T}^{(\mu,\sigma)},M_{x,T}^{(\mu,\sigma)}) , where W_x,T^(m,s)W_{x,T}^{(\mu,\sigma)} denotes the final value of a Brownian motion starting in x with drift μ and volatility σ at some final time T, m_x,T^(m,s) = inf_{0 ￡ t ￡ T}W_x,t^(m,s)m_{x,T}^{(\mu,\sigma)} = {\rm inf}_{0\leq t \leq T}W_{x,t}^{(\mu,\sigma)} and M_x,T^(m,s) = sup_{0 ￡ t ￡ T} W_x,t^(m,s)M_{x,T}^{(\mu,\sigma)} = {\rm sup}_{0\leq t \leq T} W_{x,t}^{(\mu,\sigma)} . By using the trivariate distribution of (W_x,T^(m,s),m_x,T^(m,s),M_x,T^(m,s))(W_{x,T}^{(\mu,\sigma)},m_{x,T}^{(\mu,\sigma)},M_{x,T}^{(\mu,\sigma)}) , we obtain a fast method which is unaffected by the well-known random walk approximation errors. The method is extended to jump-diffusion models. As sample applications we include Monte Carlo pricing methods for European double barrier knock-out calls with continuous reset conditions under both models. The proposed methods feature simple importance sampling techniques for variance reduction.     

A Generalized Radon Transform on the Plane

A new generalized Radon transform R _α, β on the plane for functions even in each variable is defined which has natural connections with the bivariate Hankel transform, the generalized biaxially symmetric potential operator Δ _α, β , and the Jacobi polynomials P_k^(b, a)(t)P_{k}^{(\beta,\,\alpha)}(t). The transform R _α, β and its dual R_a, b^*R_{\alpha,\,\beta}^{\ast} are studied in a systematic way, and in particular, the generalized Fuglede formula and some inversion formulas for R _α, β for functions in L_a, b^p(\mathbbR²₊)L_{\alpha,\,\beta}^{p}(\mathbb{R}^{2}_{+}) are obtained in terms of the bivariate Hankel–Riesz potential. Moreover, the transform R _α, β is used to represent the solutions of the partial differential equations Lu:=?_j=1^ma_jD_a, b^ju=fLu:=\sum_{j=1}^{m}a_{j}\Delta_{\alpha,\,\beta}^{j}u=f with constant coefficients a _j and the Cauchy problem for the generalized wave equation associated with the operator Δ _α, β . Another application is that, by an invariant property of R _α, β , a new product formula for the Jacobi polynomials of the type P_k^(b, a)(s)C_2k^a+b+1(t)=còòP_k^(b, a)P_{k}^{(\beta,\,\alpha)}(s)C_{2k}^{\alpha+\beta+1}(t)=c\int\!\!\int P_{k}^{(\beta,\,\alpha)} is obtained.     

GKB-FP: an algorithm for large-scale discrete ill-posed problems

We describe an algorithm for large-scale discrete ill-posed problems, called GKB-FP, which combines the Golub-Kahan bidiagonalization algorithm with Tikhonov regularization in the generated Krylov subspace, with the regularization parameter for the projected problem being chosen by the fixed-point method by Bazán (Inverse Probl. 24(3), 2008). The fixed-point method selects as regularization parameter a fixed-point of the function ‖r _λ ‖₂/‖f _λ ‖₂, where f _λ is the regularized solution and r _λ is the corresponding residual. GKB-FP determines the sought fixed-point by computing a finite sequence of fixed-points of functions ||r_l^(k)||₂/||f_l^(k)||₂\|r_{\lambda}^{(k)}\|_{2}/\|f_{\lambda}^{(k)}\|_{2}, where f_l^(k)f_{\lambda}^{(k)} approximates f _λ in a k-dimensional Krylov subspace and r_l^(k)r_{\lambda}^{(k)} is the corresponding residual. Based on this and provided the sought fixed-point is reached, we prove that the regularized solutions f_l^(k)f_{\lambda}^{(k)} remain unchanged and therefore completely insensitive to the number of iterations. This and the performance of the method when applied to well-known test problems are illustrated numerically.     

On Linear Fractional Transformations Associated with Generalized J-Inner Matrix Functions

A class U_k1 (J){\mathcal{U}}_{\kappa 1} (J) of generalized J-inner mvf’s (matrix valued functions) W(λ) which appear as resolvent matrices for bitangential interpolation problems in the generalized Schur class of p ×q  mvf￠s S_k^{p ×q}p \times q \, {\rm mvf's}\, {\mathcal{S}}_{\kappa}^{p \times q} and some associated reproducing kernel Pontryagin spaces are studied. These spaces are used to describe the range of the linear fractional transformation T_W based on W and applied to S_k2^{p ×q}{\mathcal{S}}_{\kappa 2}^{p \times q}. Factorization formulas for mvf’s W in a subclass U^°_k1 (J) of U_k1(J){\mathcal{U}^{\circ}_{\kappa 1}} (J)\, {\rm of}\, {\mathcal{U}}_{\kappa 1}(J) found and then used to parametrize the set S_k1+k2^{p ×q} ?T_W [ S_k2^{p ×q} ]{\mathcal{S}}_{{\kappa 1}+{\kappa 2}}^{p \times q} \cap T_{W} \left[ {\mathcal{S}}_{\kappa 2}^{p \times q} \right]. Applications to bitangential interpolation problems in the class S_k1+k2^{p ×q}{\mathcal{S}}_{{\kappa 1}+{\kappa 2}}^{p \times q} will be presented elsewhere.     

Analytic Continuation of Dirichlet Series with Almost Periodic Coefficients

We consider Dirichlet series z_g,a(s)=?_n=1^￥ g(na) e^{-l_n s}{\zeta_{g,\alpha}(s)=\sum_{n=1}^\infty g(n\alpha) e^{-\lambda_n s}} for fixed irrational α and periodic functions g. We demonstrate that for Diophantine α and smooth g, the line Re(s) = 0 is a natural boundary in the Taylor series case λ _n  = n, so that the unit circle is the maximal domain of holomorphy for the almost periodic Taylor series ?_n=1^￥ g(na) zⁿ{\sum_{n=1}^{\infty} g(n\alpha) z^n}. We prove that a Dirichlet series z_g,a(s) = ?_n=1^￥ g(n a)/n^s{\zeta_{g,\alpha}(s) = \sum_{n=1}^{\infty} g(n \alpha)/n^s} has an abscissa of convergence σ ₀ = 0 if g is odd and real analytic and α is Diophantine. We show that if g is odd and has bounded variation and α is of bounded Diophantine type r, the abscissa of convergence σ ₀ satisfies σ ₀ ≤ 1 − 1/r. Using a polylogarithm expansion, we prove that if g is odd and real analytic and α is Diophantine, then the Dirichlet series ζ _g,α (s) has an analytic continuation to the entire complex plane.     

A convexity theorem for multiplicative functions

We generalize a well known convexity property of the multiplicative potential function. We prove that, given any convex function g : \mathbbR^m ? [0, ￥]{g : \mathbb{R}^m \rightarrow [{0}, {\infty}]}, the function ${({\rm \bf x},{\rm \bf y})\mapsto g({\rm \bf x})^{1+\alpha}{\bf y}^{-{\bf \beta}}, {\bf y}>{\bf 0}}${({\rm \bf x},{\rm \bf y})\mapsto g({\rm \bf x})^{1+\alpha}{\bf y}^{-{\bf \beta}}, {\bf y}>{\bf 0}}, is convex if β ≥ 0 and α ≥ β ₁ + ··· + β _n . We also provide further generalization to functions of the form (x,y₁, . . . , y_n)? g(x)^1+af₁(y₁)^-b₁ ···f_n(y_n)^-b_n{({\rm \bf x},{\rm \bf y}_1, . . . , {y_n})\mapsto g({\rm \bf x})^{1+\alpha}f_1({\rm \bf y}_1)^{-\beta_1} \cdot \cdot \cdot f_n({\rm \bf y}_n)^{-\beta_n} } with the f _k concave, positively homogeneous and nonnegative on their domains.     

The Ground State and the Long-Time Evolution in the CMC Einstein Flow

Let (g, K)(k) be a CMC (vacuum) Einstein flow over a compact three-manifold Σ with non-positive Yamabe invariant (Y(Σ)). As noted by Fischer and Moncrief, the reduced volume ${\mathcal{V}(k)=\left(\frac{-k}{3}\right)^{3}{\rm Vol}_{g(k)}(\Sigma)}Let (g, K)(k) be a CMC (vacuum) Einstein flow over a compact three-manifold Σ with non-positive Yamabe invariant (Y(Σ)). As noted by Fischer and Moncrief, the reduced volume V(k)=(\frac-k3)³Vol_g(k)(S){\mathcal{V}(k)=\left(\frac{-k}{3}\right)^{3}{\rm Vol}_{g(k)}(\Sigma)} is monotonically decreasing in the expanding direction and bounded below by V_inf=(\frac-16Y(S))^\frac32{\mathcal{V}_{\rm \inf}=\left(\frac{-1}{6}Y(\Sigma)\right)^{\frac{3}{2}}}. Inspired by this fact we define the ground state of the manifold Σ as “the limit” of any sequence of CMC states {(g _i , K _i )} satisfying: (i) k _i  = −3, (ii) V_iˉ V_inf{\mathcal{V}_{i}\downarrow \mathcal{V}_{\rm inf}}, (iii) Q ₀((g _i , K _i )) ≤ Λ, where Q ₀ is the Bel–Robinson energy and Λ is any arbitrary positive constant. We prove that (as a geometric state) the ground state is equivalent to the Thurston geometrization of Σ. Ground states classify naturally into three types. We provide examples for each class, including a new ground state (the Double Cusp) that we analyze in detail. Finally, consider a long time and cosmologically normalized flow ([(g)\tilde],[(K)\tilde])(s)=((\frac-k3)²g,(\frac-k3)K){(\tilde{g},\tilde{K})(\sigma)=\left(\left(\frac{-k}{3}\right)^{2}g,\left(\frac{-k}{3}\right)K\right)}, where s = -ln(-k) ? [a,￥){\sigma=-\ln (-k)\in [a,\infty)}. We prove that if [(E₁)\tilde]=E₁(([(g)\tilde],[(K)\tilde])) ￡ L{\tilde{\mathcal{E}_{1}}=\mathcal{E}_{1}((\tilde{g},\tilde{K}))\leq \Lambda} (where E₁=Q₀+Q₁{\mathcal{E}_{1}=Q_{0}+Q_{1}}, is the sum of the zero and first order Bel–Robinson energies) the flow ([(g)\tilde],[(K)\tilde])(s){(\tilde{g},\tilde{K})(\sigma)} persistently geometrizes the three-manifold Σ and the geometrization is the ground state if Vˉ V_inf{\mathcal{V}\downarrow \mathcal{V}_{\rm inf}}.     

Type II Hermite�CPad�� Approximations of Generalized Hypergeometric Series

We shall present short proofs for type II (simultaneous) Hermite–Padé approximations of the generalized hypergeometric and q-hypergeometric series

On the existence of a p-adic metaplectic Tate-type $\widetilde {\gamma}$-factor

Let \mathbbF\mathbb{F} be a p-adic field, let χ be a character of \mathbbF^*\mathbb{F}^{*}, let ψ be a character of \mathbbF\mathbb{F} and let g_y^-1\gamma_{\psi}^{-1} be the normalized Weil factor associated with a character of second degree. We prove here that one can define a meromorphic function [(g)\tilde](c,s,y)\widetilde{\gamma}(\chi ,s,\psi) via a similar functional equation to the one used for the definition of the Tate γ-factor replacing the role of the Fourier transform with an integration against y·g_y^-1\psi\cdot\gamma_{\psi}^{-1}. It turns out that γ and [(g)\tilde]\widetilde{\gamma} have similar integral representations. Furthermore, [(g)\tilde]\widetilde{\gamma} has a relation to Shahidi‘s metaplectic local coefficient which is similar to the relation γ has with (the non-metalpectic) Shahidi‘s local coefficient. Up to an exponential factor, [(g)\tilde](c,s,y)\widetilde{\gamma}(\chi,s,\psi) is equal to the ratio \fracg(c²,2s,y)g(c,s+\frac12,y)\frac{\gamma(\chi^{2},2s,\psi)}{\gamma(\chi,s+\frac{1}{2},\psi)}.     

Compact Toeplitz Operators for Weighted Bergman Spaces on Bounded Symmetric Domains

Let W ì \mathbb C^d{\Omega \subset{\mathbb C}^{d}} be an irreducible bounded symmetric domain of type (r, a, b) in its Harish–Chandra realization. We study Toeplitz operators Tⁿ_g{T^{\nu}_{g}} with symbol g acting on the standard weighted Bergman space H_n²{H_\nu^2} over Ω with weight ν. Under some conditions on the weights ν and ν ₀ we show that there exists C(ν, ν ₀) > 0, such that the Berezin transform [(g)\tilde]_n0{\tilde{g}_{\nu_{0}}} of g with respect to H²_n0{H^2_{\nu_0}} satisfies:

Micro-Local Analysis with Fourier Lebesgue Spaces. Part?I

Let ω,ω ₀ be appropriate weight functions and q∈[1,∞]. We introduce the wave-front set, WF_FL^q(w)(f)\mathrm{WF}_{\mathcal{F}L^{q}_{(\omega)}}(f) of f ? S￠f\in \mathcal{S}' with respect to weighted Fourier Lebesgue space FL^q_(w)\mathcal{F}L^{q}_{(\omega )}. We prove that usual mapping properties for pseudo-differential operators Op (a) with symbols a in S^(w₀)_r,0S^{(\omega _{0})}_{\rho ,0} hold for such wave-front sets. Especially we prove that

Smooth Universal Taylor Series

Let W í \Bbb C\Omega \subseteq {\Bbb C} be a simply connected domain in \Bbb C{\Bbb C} , such that {￥} è[ \Bbb C \[`(W)]]\{\infty\} \cup [ {\Bbb C} \setminus \bar{\Omega}] is connected. If g is holomorphic in Ω and every derivative of g extends continuously on [`(W)]\bar{\Omega} , then we write g ∈ A^∞ (Ω). For g ∈ A^∞ (Ω) and z ? [`(W)]\zeta \in \bar{\Omega} we denote S_N (g,z)(z) = ?^N_l=0\fracg^(l) (z)l ! (z-z)^lS_N (g,\zeta )(z)= \sum^{N}_{l=0}\frac{g^{(l)} (\zeta )}{l !} (z-\zeta )^l . We prove the existence of a function f ∈ A^∞(Ω), such that the following hold:

On approximation of periodic functions by Fourier sums

Let L _p , 1 ≤ p< ∞, be the space of 2π-periodic functions f with the norm || f ||_p = ( ò _{- p}^p | f |^p )^{1 \mathord}

Isometric Equivalence of Integration Operators

We are interested in the isometric equivalence problem for the Cesàro operator C(f) (z) = \frac1z ò₀^zf(x) \frac11-xd x{C(f) (z) =\frac{1}{z} \int_{0}^{z}f(\xi) \frac{1}{1-\xi}d \xi} and an operator T_g(f)(z)=\frac1zò₀^zf(x) g^￠(x) d x{T_{g}(f)(z)=\frac{1}{z}\int_{0}^{z}f(\xi) g^{\prime}(\xi) d \xi}, where g is an analytic function on the disc, on the Hardy and Bergman spaces. Then we generalize this to the isometric equivalence problem of two operators T_g1{T_{g_{1}}} and T_g2{T_{g_{2}}} on the Hardy space and Bergman space. We show that the operators T_g1{T_{g_{1}}} and T_g2{T_{g_{2}}} satisfy T_g1U₁=U₂T_g2{T_{g_{1}}U_{1}=U_{2}T_{g_{2}}} on H ^p , 1 ≤ p < ∞, p ≠ 2 if and only if g₂(z) = lg₁(e^iqz){g_{2}(z) =\lambda g_{1}(e^{i\theta}z) }, where λ is a modulus one constant and U _i , i = 1, 2 are surjective isometries of the Hardy Space. This is analogous to the Campbell-Wright result on isometrically equivalence of composition operators on the Hardy space.     

Grow-up of critical solutions for a non-local porous medium problem with Ohmic heating source

We investigate the behaviour of solution u = u(x, t; λ) at λ =  λ* for the non-local porous medium equation ${u_t = (u^n)_{xx} + {\lambda}f(u)/({\int_{-1}^1} f(u){\rm d}x)^2}We investigate the behaviour of solution u = u(x, t; λ) at λ =  λ* for the non-local porous medium equation u_t = (uⁿ)_xx + lf(u)/(ò_-1¹ f(u)dx)²{u_t = (u^n)_{xx} + {\lambda}f(u)/({\int_{-1}^1} f(u){\rm d}x)^2} with Dirichlet boundary conditions and positive initial data. The function f satisfies: f(s),−f ′ (s) > 0 for s ≥ 0 and s ^n-1 f(s) is integrable at infinity. Due to the conditions on f, there exists a critical value of parameter λ, say λ*, such that for λ > λ* the solution u = u(x, t; λ) blows up globally in finite time, while for λ ≥ λ* the corresponding steady-state problem does not have any solution. For 0 < λ < λ* there exists a unique steady-state solution w = w(x; λ) while u = u(x, t; λ) is global in time and converges to w as t → ∞. Here we show the global grow-up of critical solution u* =  u(x, t; λ*) (u* (x, t) → ∞, as t → ∞ for all x ? (-1,1){x\in(-1,1)}.     

Inequalities for irregular Gabor frames

In [C.K. Chui and X.L. Shi, Inequalities of Littlewood-Paley type for frames and wavelets, SIAM J. Math. Anal., 24 (1993), 263–277], the authors proved that if {e^imbxg(x-na): m,n ? \Bbb Z}\{e^{imbx}g(x-na): m,n\in{\Bbb Z}\} is a Gabor frame for L²(\Bbb R)L^2({\Bbb R}) with frame bounds A and B, then the following two inequalities hold: A ￡ \frac2pb?_{n ? \Bbb Z}|g(x-na)|² ￡ B,     a.e.A\le \frac{2\pi}{b}\sum_{n\in{\Bbb Z}}\vert g(x-na)\vert^2\le B, \quad a.e. and A ￡ \frac1a?_{m ? \Bbb Z}|[^(g)](w-mb)|² ￡ B,     a.e.A\le \frac{1}{a}\sum_{m\in{\Bbb Z}}\vert \hat{g}(\omega-mb)\vert^2\le B, \quad a.e. . In this paper, we show that similar inequalities hold for multi-generated irregular Gabor frames of the form è_{1 ￡ k ￡ r}{e^{iáx, l?}g_k(x-m): m ? D_k, l ? L_k }\bigcup_{1\le k\le r}\{e^{i\langle x, \lambda\rangle}g_{k}(x-\mu):\, \mu\in \Delta_k, \lambda\in\Lambda_k \} , where Δ _k and Λ _k are arbitrary sequences of points in \Bbb R^d{\Bbb R}^d and g_k ? L²(\Bbb R^d)g_k\in{L^2{(\Bbb R}^d)} , 1 ≤ k ≤ r.     

Toeplitz Operators on Generalized Bergman Spaces

We consider the weighted Bergman spaces HL²(\mathbb B^d, m_l){\mathcal {H}L^{2}(\mathbb {B}^{d}, \mu_{\lambda})}, where we set dm_l(z) = c_l(1-|z|²)^l dt(z){d\mu_{\lambda}(z) = c_{\lambda}(1-|z|^2)^{\lambda} d\tau(z)}, with τ being the hyperbolic volume measure. These spaces are nonzero if and only if λ > d. For 0 < λ ≤ d, spaces with the same formula for the reproducing kernel can be defined using a Sobolev-type norm. We define Toeplitz operators on these generalized Bergman spaces and investigate their properties. Specifically, we describe classes of symbols for which the corresponding Toeplitz operators can be defined as bounded operators or as a Hilbert–Schmidt operators on the generalized Bergman spaces.     

A regularity criterion for axially symmetric solutions to the Navier–Stokes equations

The axially symmetric solutions to the Navier–Stokes equations are studied. Assume that either the radial component (v _r ) of the velocity belongs to L _∞(0, T;L ₃(Ω₀)) or v _r /r belongs to L _∞(0, T;L _3/2(Ω₀)), where Ω₀ is a neighborhood of the axis of symmetry. Assume additionally that there exist subdomains Ω _k , k = 1, . . . , N, such that W₀ ì è_{k = 1}^N W_k {\Omega_0} \subset \bigcup\limits_{k = 1}^N {{\Omega_k}} , and assume that there exist constants α ₁, α ₂ such that either || v_r ||_{L￥ ( 0,T;L3( Wk ) )} ￡ a₁ or  || \fracv_rr ||_{L￥ ( 0,T;L3/2( Wk ) )} ￡ a₂ {\left\| {{v_r}} \right\|_{{L_\infty }\left( {0,T;{L_3}\left( {{\Omega_k}} \right)} \right)}} \leq {\alpha_1}\,or\;{\left\| {\frac{{{v_r}}}{r}} \right\|_{{L_\infty }\left( {0,T;{L_{3/2}}\left( {{\Omega_k}} \right)} \right)}} \leq {\alpha_2} for k = 1, . . . , N. Then the weak solution becomes strong ( v ? W₂^2,1( W×( 0,T ) ),?p ? L₂( W×( 0,T ) ) ) \left( {v \in W_2^{2,1}\left( {\Omega \times \left( {0,T} \right)} \right),\nabla p \in {L_2}\left( {\Omega \times \left( {0,T} \right)} \right)} \right) . Bibliography: 28 titles.     

Prime radicals of constants of algebraic derivations

Let R be a prime ring with extended centroid F and let δ be an F-algebraic continuous derivation of R with the associated inner derivation ad(b). Factorize the minimal polynomial μ(λ) of b over F into distinct irreducible factors m(l)=?_ip_i(l)^n_i{\mu(\lambda)=\prod_i\pi_i(\lambda)^{n_i}} . Set ℓ to be the maximum of n _i . Let R^(d)=^def.{x ? R | d(x)=0}{R^{(\delta)}{\mathop{=}\limits^{{\rm def.}}}\{x\in R\mid \delta(x)=0\}} be the subring of constants of δ on R. Denote the prime radical of a ring A by P(A){{\mathcal{P}}(A)} . It is shown among other things that

Maps Between Uniform Algebras Preserving Norms of Rational Functions

Let A, B be uniform algebras. Suppose that A ₀, B ₀ are subgroups of A ⁻¹, B ⁻¹ that contain exp A, exp B respectively. Let α be a non-zero complex number. Suppose that m, n are non-zero integers and d is the greatest common divisor of m and n. If T : A ₀ → B ₀ is a surjection with ||T(f)^mT(g)ⁿ - a||_￥ = ||f^mgⁿ - a||_￥{\|T(f)^{m}T(g)^{n} - \alpha\|_{\infty} = \|f^{m}g^{n} - \alpha\|_{\infty}} for all f,g ? A₀{f,g \in A_0}, then there exists a real-algebra isomorphism [(T)\tilde] : A ? B{\tilde{T} : A \rightarrow B} such that [(T)\tilde](f)^d = (T(f)/T(1))^d{\tilde{T}(f)^d = (T(f)/T(1))^d} for every f ? A₀{f \in A_0}. This result leads to the following assertion: Suppose that S _A , S _B are subsets of A, B that contain A ⁻¹, B ⁻¹ respectively. If m, n > 0 and a surjection T : S _A → S _B satisfies ||T(f)^mT(g)ⁿ - a||_￥ = ||f^mgⁿ - a||_￥{\|T(f)^{m}T(g)^{n} - \alpha\|_{\infty} = \|f^{m}g^{n} - \alpha\|_{\infty}} for all f, g ? S_A{f, g \in S_A}, then there exists a real-algebra isomorphism [(T)\tilde] : A ? B{\tilde{T} : A \rightarrow B} such that [(T)\tilde](f)^d = (T(f)/T(1))^d{\tilde{T}(f)^d = (T(f)/T(1))^d} for every f ? S_A{f \in S_A}. Note that in these results and elsewhere in this paper we do not assume that T(exp A) = exp B.