Optimal Exponential Utility in a Jump Bond Market

We consider the optimal exponential utility in a bond market with jumps basing on a model similar to Björk et al. [4 Björk , T. , Kabanov , Y. , and Runggaldier , W. 1997 . Bond market structure in the presence of marked point processes . Math. Finance 7 : 211 – 223 .[Crossref], [Web of Science ®] , [Google Scholar]], which is arbitrage free. Similar to the normalized integral with respect to the cylindrical martingale first introduced in Mikulevicius and Rozovskii [13 Mikulevicius , R. , and Rozovskii , B.L. 1998 . Normalized stochastic integrals in topological vector spaces . In : Séminaire de probabilités XXXII (Lecture Notes in Mathematics) . Springer , Berlin , pp. 137 – 165 . [Google Scholar]], we introduce the (𝕄, Q ⁰)-normalized martingale and local (𝕄, Q ⁰)-normalized martingale. For a given maturity T ₀ ∈ [0, T*], we describe the minimal entropy martingale (MEM) based on [T ₀, T*] by a backward semimartingale equation (BSE) w.r.t. the (𝕄, Q ⁰)-normalized martingale. Then we give an explicit form of the optimal approximate wealth to the optimal exp-utility problem by making use of the solution of the BSE. Finally, we describe the dynamics of the exp utility indifference valuation of a bounded contingent claim H ∈ L ^∞(? _{T 0} ) by another BSE under the minimal entropy martingale measure in the incomplete market.     

Local and Global Existence for an Aggregation Equation

The purpose of this work is to develop a satisfactory existence theory for a general class of aggregation equations. An aggregation equation is a non-linear, non-local partial differential equation that is a regularization of a backward diffusion process. The non-locality arises via convolution with a potential. Depending on how regular the potential is, we prove either local or global existence for the solutions. Aggregation equations have been used recently to model the dynamics of populations in which the individuals attract each other (Bodnar and Velazquez, 2005 Bodnar , M. , Velazquez , J. J. L. ( 2005 ). Derivation of macroscopic equations for individual cell-based models: a formal approach . Math. Methods Appl. Sci. 28 ( 15 ): 1757 – 1779 .[Crossref], [Web of Science ®] , [Google Scholar]; Holm and Putkaradze, 2005 Holm , D. D. , Putkaradze , V. ( 2005 ). Aggregation of finite size particles with variable mobility . Phys. Rev. Lett. 95 : 226106 . [Google Scholar]; Mogilner and Edelstein-Keshet, 1999 Mogilner , A. , Edelstein-Keshet , L. ( 1999 ). A non-local model for a swarm . J. Math. Biol. 38 ( 6 ): 534 – 570 .[Crossref], [Web of Science ®] , [Google Scholar]; Morale et al., 2005 Morale , D. , Capasso , V. , Oelschläger , K. ( 2005 ). An interacting particle system modelling aggregation behavior: from individuals to populations . J. Math. Biol. 50 ( 1 ): 49 – 66 .[Crossref], [PubMed], [Web of Science ®] , [Google Scholar]; Topaz and Bertozzi, 2004 Topaz , C. M. , Bertozzi , A. L. ( 2004 ). Swarming patterns in a two-dimensional kinematic model for biological groups . SIAM J. Appl. Math. 65 ( 1 ): 152 – 174 (electronic) .[Crossref], [Web of Science ®] , [Google Scholar]; Topaz et al., 2006 Topaz , C. M. , Bertozzi , A. L. , Lewis , M. A. ( 2006 ). A nonlocal continuum model for biological aggregation . Bull. Math. Biol. 68 ( 7 ): 1601 – 1623 .[Crossref], [PubMed], [Web of Science ®] , [Google Scholar]).     

Analytic Wave Front Set for Solutions to Schrödinger Equations II – Long Range Perturbations

This paper is a continuation of [9 Martinez , A. , Nakamura , S. , Sordoni , V. ( 2009 ). Analytic wave front set for solutions to Schrödinger equations . Adv. Math. 222 : 1277 – 1307 .[Crossref], [Web of Science ®] , [Google Scholar]], where short range perturbations of the flat Euclidian metric where considered. Here, we generalize the results of [9 Martinez , A. , Nakamura , S. , Sordoni , V. ( 2009 ). Analytic wave front set for solutions to Schrödinger equations . Adv. Math. 222 : 1277 – 1307 .[Crossref], [Web of Science ®] , [Google Scholar]] to long-range perturbations (in particular, we can allow potentials growing like ?x?^2?? at infinity). More precisely, we construct a modified quantum free evolution G ₀(?s, hD _z ) acting on Sjöstrand's spaces, and we characterize the analytic wave front set of the solution e ^?itH u ₀ of the Schrödinger equation, in terms of the semiclassical exponential decay of G ₀(?th ^?1, hD _z )T u ₀, where T stands for the Bargmann-transform. The result is valid for t < 0 near the forward non trapping points, and for t > 0 near the backward non trapping points. It is an extension of [12 Nakamura , S. ( 2009 ). Semiclassical singularities propagation properties for the Schrödinger equations . J. Math. Soc. Japan 61 : 177 – 211 . [Google Scholar]] to the analytic framework.     

Determining an Unbounded Potential from Cauchy Data in Admissible Geometries

In [4 Dos Santos Ferreira , D. , Kenig , C.E. , Salo , M. , Uhlmann , G. ( 2009 ). Limiting Carleman weights and anisotropic inverse problems . Invent. Math. 178 : 119 – 171 .[Crossref], [Web of Science ®] , [Google Scholar]] anisotropic inverse problems were considered in certain admissible geometries, that is, on compact Riemannian manifolds with boundary which are conformally embedded in a product of the Euclidean line and a simple manifold. In particular, it was proved that a bounded smooth potential in a Schrödinger equation was uniquely determined by the Dirichlet-to-Neumann map in dimensions n ≥ 3. In this article we extend this result to the case of unbounded potentials, namely those in L ^n/2. In the process, we derive L ^p Carleman estimates with limiting Carleman weights similar to the Euclidean estimates of Jerison and Kenig [8 Jerison , D. , Kenig , C.E. ( 1985 ). Unique continuation and absence of positive eigenvalues for Schrödinger operators . Ann. Math. 121 : 463 – 494 .[Crossref], [Web of Science ®] , [Google Scholar]] and Kenig et al. [9 Kenig , C.E. , Ruiz , A. , Sogge , C.D. ( 1987 ). Uniform Sobolev inequalities and unique continuation for second order constant coefficient differential operators . Duke Math. J. 55 : 329 – 347 .[Crossref], [Web of Science ®] , [Google Scholar]].     

Algebraic Entropy of Generalized Shifts on Direct Products

For a set Γ, a function λ: Γ → Γ and a nontrivial abelian group K, the \emphgeneralized shift σ_λ: K ^Γ → K ^Γ is defined by (x _i ) _i∈Γ ? (x _λ(i)) _i∈Γ [3 Ayatollah Zadeh Shirazi , F. , Heidari Ardi , F. , Karami Kabir , N. ( 2008 ). A note on shift theory . Math. Pannon. 19 : 187 – 195 . [Google Scholar]]. In this article we compute the algebraic entropy of σ_λ; it is either zero or infinite, depending exclusively on the properties of λ. This solves two problems posed in [2 Akhavin , M. , Ayatollah Zadeh Shirazi , F. , Dikranjan , D. , Giordano Bruno , A. , Hosseini , A. ( 2009 ). Algebraic entropy of shift endomorphisms on abelian groups . Quaest. Math. 32 : 529 – 550 .[Crossref], [Web of Science ®] , [Google Scholar]].     

Calderón problem for connections

In this paper, we consider the problem of identifying a connection ? on a vector bundle up to gauge equivalence from the Dirichlet-to-Neumann map of the connection Laplacian ?*? over conformally transversally anisotropic (CTA) manifolds. This was proved in [9 Dos Santos Ferreira, D., Kenig, C., Salo, M., Uhlmann, G. (2009). Limiting Carleman weights and anisotropic inverse problems. Invent. Math. 178:119–171.[Crossref], [Web of Science ®] , [Google Scholar]] for line bundles in the case of the transversal manifold being simple—we generalize this result to the case where the transversal manifold only has an injective ray transform. Moreover, the construction of suitable Gaussian beam solutions on vector bundles is given for the case of the connection Laplacian and a potential, following the works of [11 Dos Santos Ferreira, D., Kurylev, Y., Lassas, M., Salo, M. (2016). The Calderón problem in transversally anisotropic geometries. J. Eur. Math. Soc., 18:2579–2626.[Crossref], [Web of Science ®] , [Google Scholar]]. This in turn enables us to construct the Complex Geometrical Optics (CGO) solutions and prove our main uniqueness result. We also reduce the problem to a new non-abelian X-ray transform for the case of simple transversal manifolds and higher rank vector bundles. Finally, we prove the recovery of a flat connection in general from the DN map, up to gauge equivalence, using an argument relating the Cauchy data of the connection Laplacian and the holonomy.     

Applications of two-sided α-generalized derivations to 3-prime near rings

Let N be a zero symmetric 3-prime right near ring and α:N→N be an endomorphism. In this paper, the notions of two-sided α-(generalized) derivations on N are studied. Some results characterize commutativity of 3-prime near rings are obtained. Examples proving the necessity of the 3-primeness hypothesis are given. When α = id_N, one can easily obtain the main results of [5 Bell, H. E., Boua, A., Oukhtite, L. (2015). Semigroup ideals and commutativity in 3-prime near rings. Commun. Algebra 43:1757–1770.[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]].     

Splitting of operations for alternative and Malcev structures

In this paper, we define pre-Malcev algebras and alternative quadri-algebras and prove that they generalize pre-Lie algebras and quadri-algebras, respectively, to the alternative setting. We use the results and techniques from [4 Bai, C., Bellier, O., Guo, L., Ni, X. (2013). Splitting of operations, Manin products, and Rota-Baxter operators. Int. Math. Res. Not. 2013(3):485–524. [Google Scholar], 14 Gubarev, V. Y., Kolesnikov, P. S. (2013). Embedding of dendriform algebras into Rota-Baxter algebras. Cent. Eur. J. Math. 11(2):226–245.[Crossref], [Web of Science ®] , [Google Scholar]] to discuss and give explicit computations of different constructions in terms of bimodules, splitting of operations, and Rota–Baxter operators.     

Scattering Theory Below Energy for a Class of Hartree Type Equations

We prove the global existence and scattering for the Hartree-type equation in H ^s (?³) the low regularity space s < 1. We follow the ideas in Colliander et al. (2004 Colliander , J. , Keel , M. , Staffilani , G. , Takaoka , H. , Tao , T. ( 2004 ). Global existence and scattering for rough solutions of a nonlinear Schrödinger equation on ?³ . Comm. Pure Appl. Math. 57 : 987 – 1014 .[Crossref], [Web of Science ®] , [Google Scholar]) to the Hartree-type nonlinearity, and also develop the theory of the classical multilinear operator modifying the L ^p estimate in Coifman and Meyer (1978 Coifman , R. , Meyer , Y. ( 1978 ). Au delá des opérateurs pseudo-differentiel . Astérisque, Société Mathématique de France 57 . [Google Scholar]).