Convex ordering criteria for Lévy processes

Modelling financial and insurance time series with Lévy processes or with exponential Lévy processes is a relevant actual practice and an active area of research. It allows qualitatively and quantitatively good adaptation to the empirical statistical properties of asset returns. Due to model incompleteness it is a problem of considerable interest to determine the dependence of option prices in these models on the choice of pricing measures and to establish nontrivial price bounds. In this paper we review and extend ordering results of stochastic and convex type for this class of models. We also extend the ordering results to processes with independent increments (PII) and present several examples and applications as to α-stable processes, NIG-processes, GH-distributions, and others. Criteria are given for the Lévy measures which imply corresponding comparison results for European type options in (exponential) Lévy models.     

Solving the Gleason problem on linearly convex domains

Let be a bounded, connected linearly convex set in with boundary. We show that the maximal ideal (both in ) and ) consisting of all functions vanishing at is generated by the coordinate functions . Received: 2 July 2001; in final form: 26 September 2001 / Published online: 28 February 2002     

A multivalued version of Sharkovskiĭ’s theorem holds with at most two exceptions

A multivalued version of Sharkovskiĭ’s theorem is formulated for M-maps on linear continua and, more generally, for triangular M-maps on a Cartesian product of linear continua. This improves the main result of [AP1] in the sense that our multivalued analogue holds with at most two exceptions. A further specification requires some additional restrictions. For instance, 3- orbits of m-maps imply the existence of k-orbits for all k ? \mathbbNk \in {\mathbb{N}} , except possibly for k ?k \in {4, 6}. It is also shown that, on every connected linearly ordered topological space, an M-map with orbits of all periods can always be constructed. This demonstrates that Baldwin’s classification of linear continua in terms of admissible periods [Ba] is useless for multivalued maps.     

An engine breaking the ΩEP-property

We present a construction which shows that some special continua do not have the nonwandering-eventually-periodic property. The construction applies e.g. to the topologist's sin curve and to the harmonic fan.     

Traces of functions with a dominating mixed derivative in ℝ<Superscript>3</Superscript>

We investigate traces of functions, belonging to a class of functions with dominating mixed smoothness in ℝ³, with respect to planes in oblique position. In comparison with the classical theory for isotropic spaces a few new phenomenona occur. We shall present two different approaches. One is based on the use of the Fourier transform and restricted to p = 2. The other one is applicable in the general case of Besov-Lizorkin-Triebel spaces and based on atomic decompositions.     

Aluminum(III) complexes containing O,O chelating ligand

The stoichiometric reactions of trimethylaluminum with 2,6‐(MeOCH₂)₂C₆H₃OH (LH) revealed compounds L₃Al ( 1 ) and L₂AlMe ( 2 ). On the other hand reaction of 1 equiv. of LH with trimethylaluminum did not lead to the formation of complex LAlMe₂ ( 3 ), rather 2 together with Me₃Al were observed as a result of a disproportionation of 3 . Compounds 1 and 2 were characterized by elemental analysis, ¹H and ¹³C NMR spectroscopy and in the case of 1 by X‐ray diffraction. Derivative 2 underwent transmetalation with Ph₃SnOH, giving LSnPh₃ ( 4 ) as the result of a migration of ligand L from the aluminum to the tin atom. The identity of 4 was established by elemental analysis, ¹H, ¹³C and ¹¹⁹Sn NMR spectroscopy and ¹H, ¹¹⁹Sn HMBC experiments. The system 2 and B(C₆F₅)₃ in a 1:1 molar ratio was shown to be active in the polymerization of propylene oxide and ε‐caprolactone. Copyright © 2007 John Wiley & Sons, Ltd.     

Coloring mixed hypertrees

A mixed hypergraph is a triple (V,C,D) where V is its vertex set and C and D are families of subsets of V, called C-edges and D-edges, respectively. For a proper coloring, we require that each C-edge contains two vertices with the same color and each D-edge contains two vertices with different colors. The feasible set of a mixed hypergraph is the set of all k's for which there exists a proper coloring using exactly k colors. A hypergraph is a hypertree if there exists a tree such that the edges of the hypergraph induce connected subgraphs of the tree.We prove that feasible sets of mixed hypertrees are gap-free, i.e., intervals of integers, and we show that this is not true for precolored mixed hypertrees. The problem to decide whether a mixed hypertree can be colored by k colors is NP-complete in general; we investigate complexity of various restrictions of this problem and we characterize their complexity in most of the cases.